/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.examples.bloomberg.function;
import java.util.List;
import com.opengamma.engine.function.config.CombiningFunctionConfigurationSource;
import com.opengamma.engine.function.config.FunctionConfiguration;
import com.opengamma.engine.function.config.FunctionConfigurationSource;
import com.opengamma.financial.analytics.model.forex.defaultproperties.FXForwardPropertiesFunctions;
import com.opengamma.financial.analytics.model.forex.defaultproperties.FXOptionPropertiesFunctions;
import com.opengamma.financial.analytics.model.option.AnalyticOptionDefaultCurveFunction;
import com.opengamma.financial.analytics.model.pnl.PNLFunctions;
import com.opengamma.financial.currency.CurrencyMatrixConfigPopulator;
import com.opengamma.financial.currency.CurrencyMatrixLookupFunction;
import com.opengamma.lambdava.functions.Function1;
import com.opengamma.web.spring.StandardFunctionConfiguration;
/**
*
*/
public class ExampleStandardFunctionConfiguration extends StandardFunctionConfiguration {
/**
* Gets an instance of the example function configuration.
*
* @return Gets the instance
*/
public static FunctionConfigurationSource instance() {
return new ExampleStandardFunctionConfiguration().getObjectCreating();
}
/**
* The function configuration.
*/
public ExampleStandardFunctionConfiguration() {
setMark2MarketField("CLOSE");
setCostOfCarryField("COST_OF_CARRY");
setAbsoluteTolerance(0.0001);
setRelativeTolerance(0.0001);
setMaximumIterations(1000);
}
@Override
protected CurrencyInfo audCurrencyInfo() {
final CurrencyInfo i = super.audCurrencyInfo();
i.setCurveConfiguration(null, "DefaultThreeCurveAUDConfig");
i.setCurveConfiguration("model/fxforward", "AUDFX");
i.setCurveConfiguration("mode/fxoption/black", "DefaultThreeCurveAUDConfig");
i.setCurveName(null, "Discounting");
i.setCurveName("model/fxforward", "DEFAULT");
i.setCurveName("model/fxoption/black", "Discounting");
return i;
}
@Override
protected CurrencyInfo chfCurrencyInfo() {
final CurrencyInfo i = super.chfCurrencyInfo();
i.setCurveConfiguration(null, "DefaultTwoCurveCHFConfig");
i.setCurveConfiguration("model/fxforward", "CHFFX");
i.setCurveConfiguration("model/swaption/black", "DefaultTwoCurveCHFConfig");
i.setCurveConfiguration("model/fxoption/black", "DefaultTwoCurveCHFConfig");
i.setCurveName(null, "Discounting");
i.setCurveName("model/fxforward", "DEFAULT");
i.setCurveName("model/fxoption/black", "Discounting");
i.setSurfaceName("model/swaption/black", "BLOOMBERG");
return i;
}
@Override
protected CurrencyInfo eurCurrencyInfo() {
final CurrencyInfo i = super.eurCurrencyInfo();
i.setCurveConfiguration(null, "DefaultTwoCurveEURConfig");
i.setCurveConfiguration("mode/future", "DefaultTwoCurveEURConfig");
i.setCurveConfiguration("model/fxforward", "EURFX");
i.setCurveConfiguration("model/fxoption/black", "DefaultTwoCurveEURConfig");
i.setCurveConfiguration("model/swaption/black", "DefaultTwoCurveEURConfig");
i.setCurveName(null, "Discounting");
i.setCurveName("model/fxforward", "DEFAULT");
i.setCurveName("model/fxoption/black", "Discounting");
i.setSurfaceName("model/swaption/black", "BLOOMBERG");
return i;
}
@Override
protected CurrencyInfo gbpCurrencyInfo() {
final CurrencyInfo i = super.gbpCurrencyInfo();
i.setCurveConfiguration(null, "DefaultTwoCurveGBPConfig");
i.setCurveConfiguration("model/fxforward", "GBPFX");
i.setCurveConfiguration("model/fxoption/black", "DefaultTwoCurveGBPConfig");
i.setCurveConfiguration("model/swaption/black", "DefaultTwoCurveGBPConfig");
i.setCurveName(null, "Discounting");
i.setCurveName("model/fxforward", "DEFAULT");
i.setCurveName("model/fxoption/black", "Discounting");
i.setSurfaceName("model/swaption/black", "BLOOMBERG");
return i;
}
@Override
protected CurrencyInfo jpyCurrencyInfo() {
final CurrencyInfo i = super.jpyCurrencyInfo();
i.setCurveConfiguration(null, "DefaultTwoCurveJPYConfig");
i.setCurveConfiguration("model/fxforward", "JPYFX");
i.setCurveConfiguration("model/fxforward/black", "DefaultTwoCurveJPYConfig");
i.setCurveConfiguration("model/swaption/black", "DefaultTwoCurveJPYConfig");
i.setCurveName(null, "Discounting");
i.setCurveName("model/fxforward", "DEFAULT");
i.setCurveName("model/fxoption/black", "Discounting");
i.setSurfaceName("model/swaption/black", "BLOOMBERG");
return i;
}
@Override
protected CurrencyInfo usdCurrencyInfo() {
final CurrencyInfo i = super.usdCurrencyInfo();
i.setCurveConfiguration(null, "DefaultTwoCurveUSDConfig");
i.setCurveConfiguration("model/fxforward", "DefaultTwoCurveUSDConfig");
i.setCurveConfiguration("model/fxforward/black", "DefaultTwoCurveUSDConfig");
i.setCurveConfiguration("model/swaption/black", "DefaultTwoCurveUSDConfig");
i.setCurveConfiguration("model/bond/riskFree", "DefaultTwoCurveUSDConfig");
i.setCurveConfiguration("model/bond/credit", "DefaultTwoCurveUSDConfig");
i.setCurveName(null, "Discounting");
i.setCurveName("model/fxforward", "Discounting");
i.setCurveName("model/fxoption/black", "Discounting");
i.setCurveName("model/bond/riskFree", "Discounting");
i.setCurveName("model/bond/credit", "Discounting");
i.setCubeName(null, "BLOOMBERG");
i.setForwardCurveName(null, "Forward3M");
i.setSurfaceName(null, "DEFAULT");
i.setSurfaceName("model/swaption/black", "DEFAULT");
return i;
}
@Override
protected CurrencyPairInfo usdEurCurrencyPairInfo() {
final CurrencyPairInfo i = super.usdEurCurrencyPairInfo();
i.setCurveName("model/volatility/surface/black", "Discounting");
i.setSurfaceName("model/volatility/surface/black", "DEFAULT");
i.setSurfaceName("model/fxoption/black", "DEFAULT");
i.setForwardCurveName("model/fxforward", "DEFAULT");
return i;
}
@Override
protected CurrencyPairInfo usdJpyCurrencyPairInfo() {
final CurrencyPairInfo i = super.usdJpyCurrencyPairInfo();
i.setSurfaceName("model/fxoption/black", "DEFAULT");
i.setForwardCurveName("model/fxforward", "DEFAULT");
return i;
}
@Override
protected CurrencyPairInfo usdChfCurrencyPairInfo() {
final CurrencyPairInfo i = super.usdJpyCurrencyPairInfo();
i.setSurfaceName("model/fxoption/black", "DEFAULT");
i.setForwardCurveName("model/fxforward", "DEFAULT");
return i;
}
@Override
protected CurrencyPairInfo usdAudCurrencyPairInfo() {
final CurrencyPairInfo i = super.usdJpyCurrencyPairInfo();
i.setSurfaceName("model/fxoption/black", "DEFAULT");
i.setForwardCurveName("model/fxforward", "DEFAULT");
return i;
}
@Override
protected CurrencyPairInfo usdGbpCurrencyPairInfo() {
final CurrencyPairInfo i = super.usdJpyCurrencyPairInfo();
i.setSurfaceName("model/fxoption/black", "DEFAULT");
i.setForwardCurveName("model/fxforward", "DEFAULT");
return i;
}
@Override
protected CurrencyPairInfo eurGbpCurrencyPairInfo() {
final CurrencyPairInfo i = super.usdJpyCurrencyPairInfo();
i.setSurfaceName("model/fxoption/black", "DEFAULT");
i.setForwardCurveName("model/fxforward", "DEFAULT");
return i;
}
@Override
protected CurrencyPairInfo chfJpyCurrencyPairInfo() {
final CurrencyPairInfo i = super.usdJpyCurrencyPairInfo();
i.setSurfaceName("model/fxoption/black", "DEFAULT");
i.setForwardCurveName("model/fxforward", "DEFAULT");
return i;
}
@Override
protected void addCurrencyConversionFunctions(final List<FunctionConfiguration> functionConfigs) {
super.addCurrencyConversionFunctions(functionConfigs);
functionConfigs.add(functionConfiguration(CurrencyMatrixLookupFunction.class, CurrencyMatrixConfigPopulator.BLOOMBERG_LIVE_DATA));
}
@Override
protected FunctionConfigurationSource forexFunctions() {
final FXForwardPropertiesFunctions fxForwardDefaults = new FXForwardPropertiesFunctions();
setForexForwardDefaults(fxForwardDefaults);
final FunctionConfigurationSource fxForwardRepository = getRepository(fxForwardDefaults);
final FXOptionPropertiesFunctions fxOptionDefaults = new FXOptionPropertiesFunctions();
setForexOptionDefaults(fxOptionDefaults);
final FunctionConfigurationSource fxOptionRepository = getRepository(fxOptionDefaults);
return CombiningFunctionConfigurationSource.of(fxForwardRepository, fxOptionRepository);
}
protected void setForexOptionDefaults(final FXOptionPropertiesFunctions defaults) {
defaults.setPerCurrencyInfo(getCurrencyInfo(new Function1<CurrencyInfo, FXOptionPropertiesFunctions.CurrencyInfo>() {
@Override
public FXOptionPropertiesFunctions.CurrencyInfo execute(final CurrencyInfo i) {
final FXOptionPropertiesFunctions.CurrencyInfo d = new FXOptionPropertiesFunctions.CurrencyInfo();
setForexOptionDefaults(i, d);
return d;
}
}));
defaults.setPerCurrencyPairInfo(getCurrencyPairInfo(new Function1<CurrencyPairInfo, FXOptionPropertiesFunctions.CurrencyPairInfo>() {
@Override
public FXOptionPropertiesFunctions.CurrencyPairInfo execute(final CurrencyPairInfo i) {
final FXOptionPropertiesFunctions.CurrencyPairInfo d = new FXOptionPropertiesFunctions.CurrencyPairInfo();
setForexOptionDefaults(i, d);
return d;
}
}));
}
protected void setForexForwardDefaults(final FXForwardPropertiesFunctions defaults) {
defaults.setPerCurrencyInfo(getCurrencyInfo(new Function1<CurrencyInfo, FXForwardPropertiesFunctions.CurrencyInfo>() {
@Override
public FXForwardPropertiesFunctions.CurrencyInfo execute(final CurrencyInfo i) {
final FXForwardPropertiesFunctions.CurrencyInfo d = new FXForwardPropertiesFunctions.CurrencyInfo();
setForexForwardDefaults(i, d);
return d;
}
}));
defaults.setPerCurrencyPairInfo(getCurrencyPairInfo(new Function1<CurrencyPairInfo, FXForwardPropertiesFunctions.CurrencyPairInfo>() {
@Override
public FXForwardPropertiesFunctions.CurrencyPairInfo execute(final CurrencyPairInfo i) {
final FXForwardPropertiesFunctions.CurrencyPairInfo d = new FXForwardPropertiesFunctions.CurrencyPairInfo();
setForexForwardDefaults(i, d);
return d;
}
}));
}
protected void setForexForwardDefaults(final CurrencyInfo i, final FXForwardPropertiesFunctions.CurrencyInfo defaults) {
defaults.setCurveConfiguration(i.getCurveConfiguration("model/fxforward"));
defaults.setDiscountingCurve(i.getCurveName("model/fxforward"));
}
protected void setForexForwardDefaults(final CurrencyPairInfo i, final FXForwardPropertiesFunctions.CurrencyPairInfo defaults) {
defaults.setForwardCurveName(i.getForwardCurveName("model/fxforward"));
}
protected void setForexOptionDefaults(final CurrencyInfo i, final FXOptionPropertiesFunctions.CurrencyInfo defaults) {
defaults.setCurveConfiguration(i.getCurveConfiguration("model/fxoption/black"));
defaults.setDiscountingCurve(i.getCurveName("model/fxoption/black"));
}
protected void setForexOptionDefaults(final CurrencyPairInfo i, final FXOptionPropertiesFunctions.CurrencyPairInfo defaults) {
defaults.setSurfaceName(i.getSurfaceName("model/fxoption/black"));
}
@Override
protected void addAllConfigurations(final List<FunctionConfiguration> functions) {
super.addAllConfigurations(functions);
functions.add(functionConfiguration(AnalyticOptionDefaultCurveFunction.class, "Discounting"));
}
@Override
protected void setPNLFunctionDefaults(final PNLFunctions.Defaults defaults) {
super.setPNLFunctionDefaults(defaults);
defaults.setCurveName("Discounting");
defaults.setPayCurveName("Discounting");
defaults.setReceiveCurveName("Discounting");
}
}