Package com.opengamma.financial.generator

Examples of com.opengamma.financial.generator.TreePortfolioNodeGenerator

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    final CMSSwapSecurityGenerator cmsSwap = new CMSSwapSecurityGenerator(TRADE_DATE, TENORS);
    final CMSCapFloorSpreadSecurityGenerator cmsSpreads = new CMSCapFloorSpreadSecurityGenerator(TRADE_DATE, PAY_TENORS, RECEIVE_TENORS, TENORS, STRIKES);
    configure(capFloors);
    configure(cmsSwap);
    configure(cmsSpreads);
    final TreePortfolioNodeGenerator rootNode = new TreePortfolioNodeGenerator(new StaticNameGenerator("Mixed CM Portfolio"));
    rootNode.addChildNode(capFloors);
    rootNode.addChildNode(cmsSwap);
    rootNode.addChildNode(cmsSpreads);
    return rootNode;
  }
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  @Override
  public PortfolioNodeGenerator createPortfolioNodeGenerator(final int portfolioSize) {
    final SecurityGenerator<ManageableSecurity> securities = new GovernmentBondSecurityGenerator<>(BONDS, AMOUNTS, "US Treasuries");
    configure(securities);
    final TreePortfolioNodeGenerator rootNode = new TreePortfolioNodeGenerator(new StaticNameGenerator("Government Bonds"));
    rootNode.addChildNode((PortfolioNodeGenerator) securities);
    return rootNode;
  }
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    final MySecurityGenerator<ManageableSecurity> fourthGenerator = getVanillaSwapSecurityGenerator();
    configure(firstGenerator);
    configure(secondGenerator);
    configure(thirdGenerator);
    configure(fourthGenerator);
    final TreePortfolioNodeGenerator rootNode = new TreePortfolioNodeGenerator(new StaticNameGenerator("EUR Fixed Income Portfolio"));
    rootNode.addChildNode(firstGenerator);
    rootNode.addChildNode(secondGenerator);
    rootNode.addChildNode(thirdGenerator);
    rootNode.addChildNode(fourthGenerator);
    return rootNode;
  }
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  @Override
  public PortfolioNodeGenerator createPortfolioNodeGenerator(final int size) {
    final FutureSecurityGenerator<ManageableSecurity> generator = getIRFutureSecurityGenerator();
    configure(generator);
    final TreePortfolioNodeGenerator rootNode = new TreePortfolioNodeGenerator(new StaticNameGenerator("ER Future Portfolio"));
    rootNode.addChildNode(generator);
    return rootNode;
  }
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    final MySecurityGenerator<ManageableSecurity> fourthGenerator = getSwaptionParityGenerator(securityMaster);
    configure(firstGenerator);
    configure(secondGenerator);
    configure(thirdGenerator);
    configure(fourthGenerator);
    final TreePortfolioNodeGenerator rootNode = new TreePortfolioNodeGenerator(new StaticNameGenerator("Swap / Swaption Portfolio"));
    rootNode.addChildNode(firstGenerator);
    rootNode.addChildNode(secondGenerator);
    rootNode.addChildNode(thirdGenerator);
    rootNode.addChildNode(fourthGenerator);
    return rootNode;
  }
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Related Classes of com.opengamma.financial.generator.TreePortfolioNodeGenerator

  • com.opengamma.core.position.impl.SimplePortfolioNode
  • com.opengamma.core.position.PortfolioNode
  • com.opengamma.examples.simulated.generator.BondPortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.ERFutureForCurvePortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.EURFixedIncomePortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.MixedCMPortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.SwaptionParityPortfolioGeneratorTool
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