Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

Class com.opengamma.engine.view.ViewCalculationConfiguration

Examples of com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()

com.opengamma.engine.view.ViewCalculationConfiguration.addPortfolioRequirement()
Adds a required portfolio output for the given security type. This is an output produced at the position and aggregate position level, with respect to the reference portfolio. @param securityType the type of security for which the output should be produced, not null @param requiredOutput an output name, not null @param constraints constraints on the requirement, not null

        ValueProperties.with(CurrencyConversionFunction.ORIGINAL_CURRENCY, "Default").withOptional(CurrencyConversionFunction.ORIGINAL_CURRENCY).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE, ValueProperties.with(CURRENCY, "USD").get());
    for (int i = 0; i < s_swapCurrencies.length; i++) {
      final Currency ccy = s_swapCurrencies[i];
      final String ccyCode = ccy.getCode();
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CURRENCY, ccyCode).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CURRENCY, ccyCode).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));

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    for (int i = 0; i < s_swapCurrencies.length; i++) {
      final Currency ccy = s_swapCurrencies[i];
      final String ccyCode = ccy.getCode();
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CURRENCY, ccyCode).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CURRENCY, ccyCode).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      if (ccyCode.equals("USD")) {
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,

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      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CURRENCY, ccyCode).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      if (ccyCode.equals("USD")) {
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));

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      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
          ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      if (ccyCode.equals("USD")) {
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      } else {
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,

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        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      } else {
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
            ValueProperties.with(CURVE, "Forward6M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
            ValueProperties.with(CURVE, "Forward6M").with(ValuePropertyNames.CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
            ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));

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        defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
            ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      } else {
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
            ValueProperties.with(CURVE, "Forward6M").with(CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
            ValueProperties.with(CURVE, "Forward6M").with(ValuePropertyNames.CURVE_CURRENCY, ccyCode).get());
        defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(ccy),
            ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, s_curveConfigNames[i]).get()));
      }
    }

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      final ValueProperties properties = ValueProperties.builder()
          .with(SURFACE, "DEFAULT")
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)
          .get();
      defaultCalculationConfig.addSpecificRequirement(new ValueRequirement(VOLATILITY_SURFACE_DATA, target, properties));
      defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VEGA_QUOTE_MATRIX, properties);
      defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VEGA_MATRIX, properties);
      if (!ccysAdded.contains(pair.getFirstCurrency())) {
        final String ccy = pair.getFirstCurrency().getCode();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, "Discounting")

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          .with(SURFACE, "DEFAULT")
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)
          .get();
      defaultCalculationConfig.addSpecificRequirement(new ValueRequirement(VOLATILITY_SURFACE_DATA, target, properties));
      defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VEGA_QUOTE_MATRIX, properties);
      defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VEGA_MATRIX, properties);
      if (!ccysAdded.contains(pair.getFirstCurrency())) {
        final String ccy = pair.getFirstCurrency().getCode();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, "Discounting")
            .with(CURVE_CURRENCY, ccy)

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        final String ccy = pair.getFirstCurrency().getCode();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, "Discounting")
            .with(CURVE_CURRENCY, ccy)
            .get();
        defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, curveProperties);
        ccysAdded.add(pair.getFirstCurrency());
      }
      if (!ccysAdded.contains(pair.getSecondCurrency())) {
        final String ccy = pair.getSecondCurrency().getCode();
        final ValueProperties curveProperties = ValueProperties.builder()

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        final String ccy = pair.getSecondCurrency().getCode();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, "Discounting")
            .with(CURVE_CURRENCY, ccy)
            .get();
        defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, curveProperties);
        ccysAdded.add(pair.getSecondCurrency());
      }
    }
    final ValueProperties currencyProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")

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