Package org.fudgemsg

Examples of org.fudgemsg.MutableFudgeMsg

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  /** The type field */
  private static final String TYPE_FIELD = "typeField";

  @Override
  public MutableFudgeMsg buildMessage(final FudgeSerializer serializer, final StaticCurveInstrumentProvider object) {
    final MutableFudgeMsg message = serializer.newMessage();
    message.add(null, 0, object.getClass().getName());
    serializer.addToMessage(message, INSTRUMENT_FIELD, null, object.getInstrument(null, null));
    message.add(DATA_FIELD, object.getMarketDataField());
    message.add(TYPE_FIELD, object.getDataFieldType().toString());
    return message;
  }
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@FudgeBuilderFor(BloombergEquityOptionVolatilitySurfaceInstrumentProvider.class)
public class BloombergEquityOptionVolatilitySurfaceInstrumentProviderFudgeBuilderDeprecated implements FudgeBuilder<BloombergEquityOptionVolatilitySurfaceInstrumentProvider> {

  @Override
  public MutableFudgeMsg buildMessage(final FudgeSerializer serializer, final BloombergEquityOptionVolatilitySurfaceInstrumentProvider object) {
    final MutableFudgeMsg message = serializer.newMessage();
    FudgeSerializer.addClassHeader(message, BloombergEquityOptionVolatilitySurfaceInstrumentProvider.class);
    message.add(PREFIX_FIELD_NAME, object.getUnderlyingPrefix());
    message.add(POSTFIX_FIELD_NAME, object.getPostfix());
    message.add(DATA_FIELD_NAME, object.getDataFieldName());
    return message;
  }
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  private static final String CONTINUOUS_ZERO_DEPOSIT = "continuousZeroDepositInstrumentProviders";
  private static final String SWAP_28D = "swap28DInstrumentProviders";

  @Override
  public MutableFudgeMsg buildMessage(final FudgeSerializer serializer, final CurveSpecificationBuilderConfiguration object) {
    final MutableFudgeMsg message = serializer.newMessage();
    FudgeSerializer.addClassHeader(message, CurveSpecificationBuilderConfiguration.class);

    if (object.getCashInstrumentProviders() != null) {
      final MutableFudgeMsg cashInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getCashInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(cashInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(CASH, cashInstrumentProvidersMessage);
    }

    if (object.getFra3MInstrumentProviders() != null) {
      final MutableFudgeMsg fra3MInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getFra3MInstrumentProviders().entrySet()) {
        if (entry.getKey().getPeriod().toString() == null) {
          throw new OpenGammaRuntimeException("null");
        }
        serializer.addToMessageWithClassHeaders(fra3MInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(FRA_3M, fra3MInstrumentProvidersMessage);
    }

    if (object.getFra6MInstrumentProviders() != null) {
      final MutableFudgeMsg fra6MInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getFra6MInstrumentProviders().entrySet()) {
        if (entry.getKey().getPeriod().toString() == null) {
          throw new OpenGammaRuntimeException("null");
        }
        serializer.addToMessageWithClassHeaders(fra6MInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(FRA_6M, fra6MInstrumentProvidersMessage);
    }

    if (object.getFutureInstrumentProviders() != null) {
      final MutableFudgeMsg futureInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getFutureInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(futureInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(FUTURE, futureInstrumentProvidersMessage);
    }

    if (object.getLiborInstrumentProviders() != null) {
      final MutableFudgeMsg liborInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getLiborInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(liborInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(LIBOR, liborInstrumentProvidersMessage);
    }

    if (object.getEuriborInstrumentProviders() != null) {
      final MutableFudgeMsg euriborInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getEuriborInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(euriborInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(EURIBOR, euriborInstrumentProvidersMessage);
    }

    if (object.getCDORInstrumentProviders() != null) {
      final MutableFudgeMsg cdorInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getCDORInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(cdorInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(CDOR, cdorInstrumentProvidersMessage);
    }

    if (object.getCiborInstrumentProviders() != null) {
      final MutableFudgeMsg ciborInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getCiborInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(ciborInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(CIBOR, ciborInstrumentProvidersMessage);
    }

    if (object.getStiborInstrumentProviders() != null) {
      final MutableFudgeMsg stiborInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getStiborInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(stiborInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(STIBOR, stiborInstrumentProvidersMessage);
    }

    if (object.getSwap3MInstrumentProviders() != null) {
      final MutableFudgeMsg swap3MInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getSwap3MInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(swap3MInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(SWAP_3M, swap3MInstrumentProvidersMessage);
    }

    if (object.getSwap6MInstrumentProviders() != null) {
      final MutableFudgeMsg swap6MInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getSwap6MInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(swap6MInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(SWAP_6M, swap6MInstrumentProvidersMessage);
    }

    if (object.getSwap12MInstrumentProviders() != null) {
      final MutableFudgeMsg swap12MInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getSwap12MInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(swap12MInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(SWAP_12M, swap12MInstrumentProvidersMessage);
    }

    if (object.getSwap28DInstrumentProviders() != null) {
      final MutableFudgeMsg swap28DInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getSwap28DInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(swap28DInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(SWAP_28D, swap28DInstrumentProvidersMessage);
    }

    if (object.getBasisSwapInstrumentProviders() != null) {
      final MutableFudgeMsg basisSwapInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getBasisSwapInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(basisSwapInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(BASIS_SWAP, basisSwapInstrumentProvidersMessage);
    }

    if (object.getTenorSwapInstrumentProviders() != null) {
      final MutableFudgeMsg tenorSwapInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getTenorSwapInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(tenorSwapInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(TENOR_SWAP, tenorSwapInstrumentProvidersMessage);
    }

    if (object.getOISSwapInstrumentProviders() != null) {
      final MutableFudgeMsg oisSwapInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getOISSwapInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(oisSwapInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(OIS_SWAP, oisSwapInstrumentProvidersMessage);
    }

    if (object.getSimpleZeroDepositInstrumentProviders() != null) {
      final MutableFudgeMsg simpleZeroDepositInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getSimpleZeroDepositInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(simpleZeroDepositInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(SIMPLE_ZERO_DEPOSIT, simpleZeroDepositInstrumentProvidersMessage);
    }

    if (object.getPeriodicZeroDepositInstrumentProviders() != null) {
      final MutableFudgeMsg periodicZeroDepositInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getPeriodicZeroDepositInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(periodicZeroDepositInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(PERIODIC_ZERO_DEPOSIT, periodicZeroDepositInstrumentProvidersMessage);
    }

    if (object.getContinuousZeroDepositInstrumentProviders() != null) {
      final MutableFudgeMsg continuousZeroDepositInstrumentProvidersMessage = serializer.newMessage();
      for (final Entry<Tenor, CurveInstrumentProvider> entry : object.getContinuousZeroDepositInstrumentProviders().entrySet()) {
        serializer.addToMessageWithClassHeaders(continuousZeroDepositInstrumentProvidersMessage, entry.getKey().getPeriod().toString(), null, entry.getValue(), CurveInstrumentProvider.class);
      }
      message.add(CONTINUOUS_ZERO_DEPOSIT, continuousZeroDepositInstrumentProvidersMessage);
    }
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@FudgeBuilderFor(BloombergEquityFuturePriceCurveInstrumentProvider.class)
public class BloombergEquityFuturePriceCurveInstrumentProviderFudgeBuilder implements FudgeBuilder<BloombergEquityFuturePriceCurveInstrumentProvider> {

  @Override
  public MutableFudgeMsg buildMessage(final FudgeSerializer serializer, final BloombergEquityFuturePriceCurveInstrumentProvider object) {
    final MutableFudgeMsg message = serializer.newMessage();
    FudgeSerializer.addClassHeader(message, BloombergEquityFuturePriceCurveInstrumentProvider.class);
    message.add("futurePrefix", object.getFuturePrefix());
    message.add("postfix", object.getPostfix());
    message.add("dataFieldName", object.getDataFieldName());
    message.add("tickerScheme", object.getTickerScheme());
    message.add("exchange", object.getExchange());
    return message;
  }
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@FudgeBuilderFor(TullettPrebonFXOptionVolatilitySurfaceInstrumentProvider.class)
public class TullettPrebonFXOptionVolatilitySurfaceInstrumentProviderBuilder implements FudgeBuilder<TullettPrebonFXOptionVolatilitySurfaceInstrumentProvider> {

  @Override
  public MutableFudgeMsg buildMessage(final FudgeSerializer serializer, final TullettPrebonFXOptionVolatilitySurfaceInstrumentProvider object) {
    final MutableFudgeMsg message = serializer.newMessage();
    message.add("fxPrefix", object.getFXPrefix());
    message.add("ccyPair", object.getCurrencyPair());
    message.add("dataFieldName", object.getDataFieldName());
    return message;
  }
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  /** Field name. */
  public static final String AMOUNT_FIELD_NAME = "amount";

  @Override
  public MutableFudgeMsg buildMessage(FudgeSerializer serializer, CashFlowSecurity object) {
    final MutableFudgeMsg msg = serializer.newMessage();
    CashFlowSecurityFudgeBuilder.toFudgeMsg(serializer, object, msg);
    return msg;
  }
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  /** Field name. */
  public static final String COMPONENTS_FLD = "components";
  @Override
  public MutableFudgeMsg buildMessage(FudgeSerializer serializer, CreditDefaultSwapIndexDefinitionSecurity object) {
    final MutableFudgeMsg msg = serializer.newMessage();
    CDSIndexDefinitionSecurityFudgeBuilder.toFudgeMsg(serializer, object, msg);
    return msg;
  }
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public class ImpliedVolatilityCalculatorTest {

  ImpliedVolatilityCalculator _calculator = new ImpliedVolatilityCalculator();

  public void best() {
    MutableFudgeMsg msg = OpenGammaFudgeContext.getInstance().newMessage();
    msg.add(MarketDataRequirementNames.BEST_IMPLIED_VOLATILITY, 50.80);
    msg.add(MarketDataRequirementNames.MID_IMPLIED_VOLATILITY, 50.81);
   
    FieldHistoryStore store = new FieldHistoryStore();
    store.liveDataReceived(msg);
   
    MutableFudgeMsg normalized = _calculator.apply(msg, "123", store);
    assertEquals(3, normalized.getAllFields().size());
    assertEquals(50.80, normalized.getDouble(MarketDataRequirementNames.IMPLIED_VOLATILITY), 0.0001);
  }
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  public MutableFudgeMsg buildMessage(FudgeSerializer serializer, LiveDataValueUpdateBean object) {
    return LiveDataValueUpdateBeanFudgeBuilder.toFudgeMsg(serializer, object);
  }

  public static MutableFudgeMsg toFudgeMsg(FudgeSerializer serializer, LiveDataValueUpdateBean object) {
    final MutableFudgeMsg msg = serializer.newMessage();
    LiveDataValueUpdateBeanFudgeBuilder.toFudgeMsg(serializer, object, msg);
    return msg;
  }
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    assertEquals(3, normalized.getAllFields().size());
    assertEquals(50.80, normalized.getDouble(MarketDataRequirementNames.IMPLIED_VOLATILITY), 0.0001);
  }

  public void mid() {
    MutableFudgeMsg msg = OpenGammaFudgeContext.getInstance().newMessage();
    msg.add(MarketDataRequirementNames.MID_IMPLIED_VOLATILITY, 50.80);
    msg.add(MarketDataRequirementNames.LAST_IMPLIED_VOLATILITY, 50.81);
   
    FieldHistoryStore store = new FieldHistoryStore();
    store.liveDataReceived(msg);
   
    MutableFudgeMsg normalized = _calculator.apply(msg, "123", store);
    assertEquals(3, normalized.getAllFields().size());
    assertEquals(50.80, normalized.getDouble(MarketDataRequirementNames.IMPLIED_VOLATILITY), 0.0001);
  }
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