Package com.opengamma.core.position

Examples of com.opengamma.core.position.Trade

679
680
681
682
683
684
685
686
687
688
689
690
691
  public void testTradeSpecific() {
    final DependencyGraphBuilder builder = createBuilder();
    final ViewCalculationConfiguration config = builder.getCompilationContext().getViewCalculationConfiguration();
    final PositionSource positions = builder.getCompilationContext().getPortfolioStructure().getPositionSource();
    final Trade trade1 = getTrade(positions, "TradeAttr");
    config.setDefaultProperties(ValueProperties.with("TRADE.*.DEFAULT_ForwardCurve." + trade1.getUniqueId(), "BarForward")
        .with("TRADE.Present Value.DEFAULT_FundingCurve." + trade1.getUniqueId(), "BarFunding").get());
    final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(trade1), ValueProperties.none());
    final ValueRequirement req2 = createValueRequirement(ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.none());
    builder.addTarget(req1);
    builder.addTarget(req2);
    builder.getDependencyGraph();
View Full Code Here
701
702
703
704
705
706
707
708
709
710
711
712
713
  public void testTradeSpecificOverride() {
    final DependencyGraphBuilder builder = createBuilder();
    final ViewCalculationConfiguration config = builder.getCompilationContext().getViewCalculationConfiguration();
    final PositionSource positions = builder.getCompilationContext().getPortfolioStructure().getPositionSource();
    final Trade trade1 = getTrade(positions, "TradeAttr");
    config.setDefaultProperties(ValueProperties.with("TRADE.Present Value.DEFAULT_ForwardCurve", "GenericForward").with("TRADE.*.DEFAULT_FundingCurve", "GenericFunding")
        .with("TRADE.*.DEFAULT_ForwardCurve." + trade1.getUniqueId(), "BarForward").with("TRADE.Present Value.DEFAULT_FundingCurve." + trade1.getUniqueId(), "BarFunding").get());
    final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(trade1), ValueProperties.none());
    final ValueRequirement req2 = createValueRequirement(ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.none());
    builder.addTarget(req1);
    builder.addTarget(req2);
    builder.getDependencyGraph();
View Full Code Here
104
105
106
107
108
109
110
111
112
113
114
115
  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final Trade trade = target.getTrade();
    final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
View Full Code Here
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
 
  @Override
  public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
   
    // Get security price (market value)
    final Trade trade = target.getTrade();
    final FutureSecurity security = (FutureSecurity) trade.getSecurity();
    final double price = (Double) inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY, security.getUniqueId()));
   
    // Get shift to price, if provided, and hence PNL
    final double pnl;
   
    ValueProperties constraints = desiredValues.iterator().next().getConstraints();
    String priceConstraint = constraints.getValues(s_priceShift).iterator().next();
    String priceShiftTypeConstraint = constraints.getValues(s_priceShiftType).iterator().next();
   
    if (priceConstraint.equals("")) {
      pnl = 0.0;
    } else {
     
      final Double priceShift = Double.valueOf(priceConstraint);
     
      if (priceShiftTypeConstraint.equals("Additive")) {
        // The shift is itself the pnl
        pnl = priceShift;
      } else if (priceShiftTypeConstraint.equals("Multiplicative")) {
        // The market value under shift, d = (1 + d ) * market_value, hence pnl = scenario_value - market_value = d * market_value
        pnl = priceShift * price;
      } else {
        s_logger.debug("Valid PriceShiftType's: Additive and Multiplicative. Found: " + priceShiftTypeConstraint + " Defaulting to Multiplicative.");
        pnl = priceShift * price;
      }
    }
    // Scale by unit notional of contract and trade size
    final Double scaledPnl = pnl * security.getUnitAmount() * trade.getQuantity().floatValue();
    // Return PNL with specification
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueSpecification valueSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), desiredValue.getConstraints());
    return Collections.singleton(new ComputedValue(valueSpec, scaledPnl));

View Full Code Here
79
80
81
82
83
84
85
86
87
88
89
90
    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Trade trade = target.getTrade();
    final InterestRateFutureSecurity security = (InterestRateFutureSecurity) trade.getSecurity();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
View Full Code Here
216
217
218
219
220
221
222
223
224
225
226
        .get();
    final ValueProperties curveProperties = ValueProperties
        .with(CURVE, curveNames)
        .get();
    final UnorderedCurrencyPair ccyPair = UnorderedCurrencyPair.of(payCurrency, receiveCurrency);
    final Trade trade = Iterables.getOnlyElement(target.getPosition().getTrades());
    requirements.add(new ValueRequirement(CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, curveProperties));
    requirements.add(ConventionBasedFXRateFunction.getSpotRateRequirement(ccyPair));
    requirements.add(new ValueRequirement(YIELD_CURVE_NODE_SENSITIVITIES, ComputationTargetSpecification.of(trade), properties));
    requirements.add(new ValueRequirement(CURVE_HISTORICAL_TIME_SERIES, ComputationTargetSpecification.NULL, tsProperties));
    requirements.add(new ValueRequirement(CURRENCY_PAIRS, ComputationTargetSpecification.NULL, ValueProperties.none()));
View Full Code Here
97
98
99
100
101
102
103
104
105
106
107
108
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    // 1. Build the analytic derivative to be priced
    final Trade trade = target.getTrade();
    final FutureSecurity security = (FutureSecurity) trade.getSecurity();

    final HistoricalTimeSeriesBundle timeSeriesBundle = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    Double lastMarginPrice = null;
    try {
      lastMarginPrice = timeSeriesBundle.get(MarketDataRequirementNames.MARKET_VALUE, security.getExternalIdBundle()).getTimeSeries().getLatestValue();
View Full Code Here
221
222
223
224
225
226
227
228
229
230
231
        .get();
    final ValueProperties curveProperties = ValueProperties
        .with(CURVE, fxForwardCurveName)
        .get();
    final UnorderedCurrencyPair ccyPair = UnorderedCurrencyPair.of(payCurrency, receiveCurrency);
    final Trade trade = Iterables.getOnlyElement(target.getPosition().getTrades());
    requirements.add(new ValueRequirement(CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, curveProperties));
    requirements.add(ConventionBasedFXRateFunction.getSpotRateRequirement(ccyPair));
    requirements.add(new ValueRequirement(FX_FORWARD_POINTS_NODE_SENSITIVITIES, ComputationTargetSpecification.of(trade), properties));
    requirements.add(new ValueRequirement(CURVE_HISTORICAL_TIME_SERIES, ComputationTargetSpecification.NULL, tsProperties));
    requirements.add(new ValueRequirement(CURRENCY_PAIRS, ComputationTargetSpecification.NULL, ValueProperties.none()));
View Full Code Here
93
94
95
96
97
98
99
100
101
102
103
104
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final Trade trade = target.getTrade();
    final FinancialSecurity security = (FinancialSecurity) trade.getSecurity();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
View Full Code Here
133
134
135
136
137
138
139
140
141
    return ComputationTargetType.TRADE;
  }

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final Trade trade = target.getTrade();
    final Security security = trade.getSecurity();
    return security instanceof BondSecurity || security instanceof BondFutureSecurity;
  }
View Full Code Here
TOP

Related Classes of com.opengamma.core.position.Trade

  • com.opengamma.core.position.impl.DataPositionSourceResource
  • com.opengamma.core.position.impl.EHCachingPositionSource
  • com.opengamma.core.position.impl.MockPositionSource
  • com.opengamma.engine.position.csv.CSVPositionSource
  • com.opengamma.engine.target.lazy.LazyComputationTargetResolverTest
  • com.opengamma.engine.target.lazy.LazyResolvedTradeTest
  • com.opengamma.engine.target.logger.LoggedResolutionPositionTest
  • com.opengamma.engine.target.logger.LoggedResolutionTradeTest
  • com.opengamma.financial.aggregation.CounterpartyAggregationFunction
  • com.opengamma.financial.aggregation.PortfolioAggregatorTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.