Package com.opengamma.engine.view

Examples of com.opengamma.engine.view.ViewCalculationConfiguration

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        || !ObjectUtils.equals(myView.getResultModelDefinition(), otherView.getResultModelDefinition())) {
      return null;
    }
    // Check the calc configs are compatible
    for (final ViewCalculationConfiguration myConfig : myView.getAllCalculationConfigurations()) {
      final ViewCalculationConfiguration otherConfig = otherView.getCalculationConfiguration(myConfig.getName());
      if (!ObjectUtils.equals(myConfig.getDefaultProperties(), otherConfig.getDefaultProperties())
          || !ObjectUtils.equals(myConfig.getDeltaDefinition(), otherConfig.getDeltaDefinition())
          || !ObjectUtils.equals(myConfig.getResolutionRuleTransform(), otherConfig.getResolutionRuleTransform())) {
        // Configs aren't compatible
        return null;
      }
    }
    // Create a new view definition that is the union of all calc configs
    final ViewDefinition newView = myView.copyWith(myView.getName(), myView.getPortfolioId(), myView.getMarketDataUser());
    for (final ViewCalculationConfiguration otherConfig : otherView.getAllCalculationConfigurations()) {
      final ViewCalculationConfiguration newConfig = newView.getCalculationConfiguration(otherConfig.getName());
      if (newConfig == null) {
        myView.addViewCalculationConfiguration(newConfig);
      } else {
        newConfig.addSpecificRequirements(otherConfig.getSpecificRequirements());
      }
    }
    return createUnion(newView);
  }
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  public DependencyGraphBuildTrace build(DependencyGraphTraceBuilderProperties properties) {
    final DependencyGraphBuilder builder = _builderContext.getDependencyGraphBuilderFactory().newInstance();
    builder.setCalculationConfigurationName(properties.getCalculationConfigurationName());
    final FunctionCompilationContext context = _builderContext.getFunctionCompilationContext().clone();
    final ViewDefinition definition = new ViewDefinition("Mock View", "Test");
    final ViewCalculationConfiguration calcConfig = new ViewCalculationConfiguration(definition, properties.getCalculationConfigurationName());
    calcConfig.setDefaultProperties(properties.getDefaultProperties());
    context.setViewCalculationConfiguration(calcConfig);
    context.setComputationTargetResolver(context.getRawComputationTargetResolver().atVersionCorrection(properties.getResolutionTime()));
    builder.setCompilationContext(context);
    final Collection<ResolutionRule> rules = _builderContext.getFunctionResolver().compile((properties.getValuationTime() != null) ? properties.getValuationTime() : Instant.now())
        .getAllResolutionRules();
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   *
   * @param context the function compilation context - this must have a view calculation configuration bound to it
   * @return the default currency or null if there is none
   */
  protected static String getViewDefaultCurrencyISO(final FunctionCompilationContext context) {
    ViewCalculationConfiguration viewCalculationConfiguration = context.getViewCalculationConfiguration();
    if (viewCalculationConfiguration == null) {
      return null;
    }
    ValueProperties defaultProperties = viewCalculationConfiguration.getDefaultProperties();
    if (defaultProperties == null) {
      return null;
    }
    final Set<String> currencies = defaultProperties.getValues(ValuePropertyNames.CURRENCY);
    if (currencies == null) {
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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration curvesConfig = new ViewCalculationConfiguration(viewDefinition, "Curves");
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, CLEAN_PRICE,
        ValueProperties.with(CALCULATION_METHOD, BondFunction.FROM_CURVES_METHOD).get());
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, MACAULAY_DURATION,
        ValueProperties.none());
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, MODIFIED_DURATION,
        ValueProperties.none());
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CALCULATION_METHOD, BondFunction.FROM_CURVES_METHOD).get());
    curvesConfig.addPortfolioRequirement(BondSecurity.SECURITY_TYPE, YTM,
        ValueProperties.none());
    viewDefinition.addViewCalculationConfiguration(curvesConfig);
    return viewDefinition;
  }
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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxFullCalculationPeriod(30000L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMaxDeltaCalculationPeriod(30000L);
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    addValueRequirements(defaultCalConfig, EquityOptionSecurity.SECURITY_TYPE, new String[]{
      CARRY_RHO,
      DELTA,
      DELTA_BLEED,
      DRIFTLESS_THETA,
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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxFullCalculationPeriod(30000L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMaxDeltaCalculationPeriod(30000L);
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);

    addValueRequirements(defaultCalConfig, EquitySecurity.SECURITY_TYPE, new String[]{
      CAPM_BETA,
      FAIR_VALUE,
      HISTORICAL_VAR,
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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    defaultCalConfig.addPortfolioRequirementName(SwapSecurity.SECURITY_TYPE, PAR_RATE);
    // The name "Default" has no special meaning, but means that the currency conversion function can never be used and so we get the instrument's natural currency
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CurrencyConversionFunction.ORIGINAL_CURRENCY, "Default").withOptional(CurrencyConversionFunction.ORIGINAL_CURRENCY).get());
    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURRENCY, "USD").get());
    for (final Map.Entry<Currency, String> entry : CONFIGS_FOR_CURRENCY.entrySet()) {
      final String ccyName = entry.getKey().getCode();
      final ComputationTargetSpecification ccyTarget = ComputationTargetSpecification.of(entry.getKey());
      final Pair<String, String> curveNames = CURVES_FOR_CURRENCY.get(entry.getKey());
      final String discountingCurve = curveNames.getFirst();
      final String forwardCurve = curveNames.getSecond();
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ccyTarget,
          ValueProperties.with(CURVE, discountingCurve).with(CURVE_CALCULATION_CONFIG, entry.getValue())
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get()));
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
          ValueProperties.with(CURVE, forwardCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PV01,
          ValueProperties.with(CURVE, forwardCurve).with(CURVE_CURRENCY, ccyName)
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get());
      defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ccyTarget,
          ValueProperties.with(CURVE, forwardCurve).with(CURVE_CALCULATION_CONFIG, entry.getValue())
              .with(ValuePropertyNames.AGGREGATION, MISSING_INPUTS).withOptional(ValuePropertyNames.AGGREGATION).get()));
    }
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);
    return viewDefinition;
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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalculationConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    final Set<Currency> ccysAdded = new HashSet<>();
    for (final UnorderedCurrencyPair pair : ExampleVanillaFxOptionPortfolioLoader.CCYS) {
      final ComputationTargetSpecification target = ComputationTargetSpecification.of(pair.getUniqueId());
      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 String discountingCurve = CURVES_FOR_CURRENCY.get(pair.getFirstCurrency()).getFirst();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, discountingCurve)
            .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 String discountingCurve = CURVES_FOR_CURRENCY.get(pair.getSecondCurrency()).getFirst();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, discountingCurve)
            .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")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
    return viewDefinition;
  }
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    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalculationConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    final ValueProperties currencyProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .get();
    final ValueProperties currencyPropertyWithScale = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .with(ValuePropertyNames.SCALE, "1")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_DELTA, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_VEGA, currencyPropertyWithScale);
    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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    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    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());
    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()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE, "ForwardBasis6M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    defaultCalConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(Currency.AUD),
        ValueProperties.with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig).get()));
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);
    return viewDefinition;
  }
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