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

    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_GAMMA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_GAMMA_P, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_RHO, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_PHI, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VOMMA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VANNA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_THETA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, SECURITY_IMPLIED_VOLATILITY, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
    return viewDefinition;
  }

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    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_GAMMA_P, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_RHO, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_PHI, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VOMMA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VANNA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_THETA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, SECURITY_IMPLIED_VOLATILITY, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
    return viewDefinition;
  }

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    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_RHO, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_PHI, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VOMMA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VANNA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_THETA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, SECURITY_IMPLIED_VOLATILITY, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
    return viewDefinition;
  }


  private ViewDefinition getAUDSwapView1Definition(final String portfolioName) {

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    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "DefaultThreeCurveAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());

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    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "DefaultThreeCurveAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());

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    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));

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        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));

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    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "ForwardFromDiscountingAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());

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    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "ForwardFromDiscountingAUDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));

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    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_CONFIG, curveConfig).get());
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "ForwardBasis3M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));

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