Package com.opengamma.engine.view

Examples of com.opengamma.engine.view.ViewDefinition

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    return viewDefinition;
  }

  private ViewDefinition getSwaptionParityViewDefinition(final String portfolioName) {
    final UniqueId portfolioId = getPortfolioId(portfolioName).toLatest();
    final ViewDefinition viewDefinition = new ViewDefinition("Swap / Swaption Parity", portfolioId, UserPrincipal.getTestUser());
    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig = "DefaultTwoCurveUSDConfig";
    final ViewCalculationConfiguration defaultCalConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);

    defaultCalConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());
    defaultCalConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig).with(CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION).withOptional(CALCULATION_METHOD).get());
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    return viewDefinition;
  }

  private ViewDefinition getEURFixedIncomeViewDefinition(final String portfolioName, final String viewName) {
    final UniqueId portfolioId = getPortfolioId(portfolioName).toLatest();
    final ViewDefinition viewDefinition = new ViewDefinition(viewName, portfolioId, UserPrincipal.getTestUser());
    viewDefinition.setDefaultCurrency(Currency.EUR);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final String curveConfig1 = "EUR-OIS-3M-6M";
    final String curveConfig2 = "EUR-OIS-3MFut-6M";
    final ViewCalculationConfiguration firstConfig = new ViewCalculationConfiguration(viewDefinition, "EUR-OIS-3M-6M");
    firstConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig1).get()));
    firstConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig1).get()));
    firstConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig1).get()));
    viewDefinition.addViewCalculationConfiguration(firstConfig);
    firstConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3M").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    firstConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, curveConfig1).get());
    viewDefinition.addViewCalculationConfiguration(firstConfig);
    final ViewCalculationConfiguration secondConfig = new ViewCalculationConfiguration(viewDefinition, "EUR-OIS-3MFut-6M");
    secondConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3MFut").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(SwapSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig2).get()));
    secondConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Forward3MFut").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig2).get()));
    secondConfig.addSpecificRequirement(new ValueRequirement(YIELD_CURVE, ComputationTargetSpecification.of(Currency.EUR),
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_METHOD, PAR_RATE_STRING).with(CURVE_CALCULATION_CONFIG, curveConfig2).get()));
    viewDefinition.addViewCalculationConfiguration(secondConfig);
    secondConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Discounting").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward3MFut").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    secondConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES,
        ValueProperties.with(CURVE, "Forward6M").with(CURVE_CALCULATION_CONFIG, curveConfig2).get());
    ViewCalculationConfiguration thirdConfig = new ViewCalculationConfiguration(viewDefinition, "STIR futures MtM");
    thirdConfig.addPortfolioRequirement(FutureSecurity.SECURITY_TYPE, PRESENT_VALUE,
        ValueProperties.with(CALCULATION_METHOD, "MarkToMarket").get());
    viewDefinition.addViewCalculationConfiguration(firstConfig);
    viewDefinition.addViewCalculationConfiguration(secondConfig);
    viewDefinition.addViewCalculationConfiguration(thirdConfig);
    return viewDefinition;
  }
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    return viewDefinition;
  }

  private ViewDefinition getFXForwardViewDefinition(final String portfolioName, final String viewName) {
    final UniqueId portfolioId = getPortfolioId(portfolioName).toLatest();
    final ViewDefinition viewDefinition = new ViewDefinition(viewName, portfolioId, UserPrincipal.getTestUser());
    viewDefinition.setDefaultCurrency(Currency.USD);
    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration calculationConfig1 = new ViewCalculationConfiguration(viewDefinition, "FX Implied Curves");
    final ViewCalculationConfiguration calculationConfig2 = new ViewCalculationConfiguration(viewDefinition, "FX Forward Points");
    calculationConfig1.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, PRESENT_VALUE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
                    .with(CURRENCY, Currency.USD.getCode()).get());
    calculationConfig2.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, PRESENT_VALUE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
                    .with(CURRENCY, Currency.USD.getCode()).get());
    calculationConfig1.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING).get());
    calculationConfig2.addPortfolioRequirement(FXForwardSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE,
            ValueProperties.with(CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS).get());
    viewDefinition.addViewCalculationConfiguration(calculationConfig1);
    viewDefinition.addViewCalculationConfiguration(calculationConfig2);
    return viewDefinition;
  }
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    return viewDefinition;
  }

  private ViewDefinition getEquityOptionViewDefinition(final String portfolioName, final String viewName) {
    final UniqueId portfolioId = getPortfolioId(portfolioName).toLatest();
    final ViewDefinition viewDefinition = new ViewDefinition(viewName, portfolioId, UserPrincipal.getTestUser());
    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);
    addValueRequirements(defaultCalConfig, EquitySecurity.SECURITY_TYPE, new String[]{
      VALUE_DELTA,
      DELTA,
      GAMMA,
      THETA,
      RHO,
      VEGA
    });
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, VALUE_DELTA, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, DELTA, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, GAMMA, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, THETA, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, RHO, ValueProperties.none());
    defaultCalConfig.addPortfolioRequirement(EquityOptionSecurity.SECURITY_TYPE, VEGA, ValueProperties.none());
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);
    return viewDefinition;
  }
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    return viewDefinition;
  }

  private ViewDefinition getFutureViewDefinition(final String portfolioName, final String viewName) {
    final UniqueId portfolioId = getPortfolioId(portfolioName).toLatest();
    final ViewDefinition viewDefinition = new ViewDefinition(viewName, portfolioId, UserPrincipal.getTestUser());
    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);
    addValueRequirements(defaultCalConfig, IndexFutureSecurity.SECURITY_TYPE, new String[]{
      PRESENT_VALUE,
      PV01,
      VALUE_DELTA,
      VALUE_RHO,
      FORWARD
    });
    viewDefinition.addViewCalculationConfiguration(defaultCalConfig);
    return viewDefinition;
  }
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    return viewDefinition;
  }
 
  private ViewDefinition getBondViewDefinition(final String portfolioName, final String viewName) {
    final UniqueId portfolioId = getPortfolioId(portfolioName).toLatest();
    final ViewDefinition viewDefinition = new ViewDefinition(viewName, portfolioId, UserPrincipal.getTestUser());
    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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  public UniqueId getViewDefinitionId(UniqueId baseViewDefinitionId, List<String> aggregatorNames) {
    // TODO: what about changes to the base view definition?
    ArgumentChecker.notNull(baseViewDefinitionId, "baseViewDefinitionId");
    ArgumentChecker.notNull(aggregatorNames, "aggregatorNames");
    ViewDefinition baseViewDefinition = (ViewDefinition) _combinedConfigSource.get(baseViewDefinitionId).getValue();
    if (baseViewDefinition == null) {
      throw new OpenGammaRuntimeException("Unknown view definition with unique ID " + baseViewDefinitionId);
    }
    UniqueId basePortfolioId = baseViewDefinition.getPortfolioId();
    if (aggregatorNames.isEmpty() || basePortfolioId == null) {
      return baseViewDefinitionId;
    }
    Pair<UniqueId, List<String>> aggregatedViewDefinitionKey = Pair.of(baseViewDefinition.getUniqueId(), aggregatorNames);
    Pair<UniqueId, List<String>> aggregatedPortfolioKey = Pair.of(basePortfolioId, aggregatorNames);
    _lock.lock();
    try {
      ViewDefinitionReference aggregatedViewDefinitionReference = _aggregatedViewDefinitions.get(aggregatedViewDefinitionKey);
      if (aggregatedViewDefinitionReference == null) {
        PortfolioReference aggregatedPortfolioReference = _aggregatedPortfolios.get(aggregatedPortfolioKey);
        if (aggregatedPortfolioReference == null) {
          UniqueId aggregatedPortfolioId = aggregatePortfolio(basePortfolioId, aggregatorNames);
          aggregatedPortfolioReference = new PortfolioReference(basePortfolioId, aggregatedPortfolioId);
          _aggregatedPortfolios.put(aggregatedPortfolioKey, aggregatedPortfolioReference);
        }
        String aggregatedViewDefinitionName = getAggregatedViewDefinitionName(baseViewDefinition.getName(), aggregatorNames);
        ViewDefinition aggregatedViewDefinition = baseViewDefinition.copyWith(aggregatedViewDefinitionName,
                                                                              aggregatedPortfolioReference.incrementReferenceCount(),
                                                                              baseViewDefinition.getMarketDataUser());
       
        // Treat as a transient view definition that should not be persistent
        //aggregatedViewDefinition.setPersistent(false);
       
        ConfigItem<ViewDefinition> configItem = ConfigItem.of(aggregatedViewDefinition);
        configItem.setName(aggregatedViewDefinition.getName());
        UniqueId viewDefinitionId = _userConfigMaster.add(new ConfigDocument(configItem)).getUniqueId();
        aggregatedViewDefinitionReference = new ViewDefinitionReference(viewDefinitionId, aggregatedPortfolioReference);
        _aggregatedViewDefinitions.put(aggregatedViewDefinitionKey, aggregatedViewDefinitionReference);
      }
      return aggregatedViewDefinitionReference.incrementReferenceCount();
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                                      GridColumnGroup.empty(),
                                      GridColumnGroups.empty(),
                                      rootNode,
                                      targetLookup,
                                      valueMappings,
                                      new ViewDefinition("empty", "dummy"));
  }
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    AnalyticsNode rootNode = AnalyticsNode.portfolioRoot(portfolio);
    List<PortfolioGridRow> rows = buildRows(portfolio);
    GridColumnGroup fixedColumns = buildFixedColumns(rows);
    UnversionedValueMappings valueMappings = new UnversionedValueMappings(compiledViewDef);
    TargetLookup targetLookup = new TargetLookup(valueMappings, rows);
    ViewDefinition viewDef = compiledViewDef.getViewDefinition();
    List<GridColumnGroup> analyticsColumns = buildAnalyticsColumns(viewDef, targetLookup);
    GridColumnGroups nonFixedColumns = new GridColumnGroups(analyticsColumns);
    return new PortfolioGridStructure(rows, fixedColumns, nonFixedColumns, rootNode, targetLookup, valueMappings, viewDef);
  }
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    ViewDefinitionJSONBuilder builder = ViewDefinitionJSONBuilder.INSTANCE;
    return builder.toJSON(getBlankView());
  }

  private static ViewDefinition getBlankView() {
    ViewDefinition blank = new ViewDefinition("Untitled", new UserPrincipal("", ""));
    blank.setDefaultCurrency(Currency.GBP);
    blank.setMaxDeltaCalculationPeriod(0L);
    blank.setMaxFullCalculationPeriod(0L);
    blank.setMinDeltaCalculationPeriod(0L);
    blank.setMinFullCalculationPeriod(0L);
    blank.addPortfolioRequirementName("", "", "");
    return blank;
  }
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