/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.examples.bloomberg.loader;
import static com.google.common.collect.Sets.newHashSet;
import static com.opengamma.lambdava.streams.Lambdava.functional;
import java.util.ArrayList;
import java.util.Collection;
import java.util.List;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.LocalDate;
import com.google.common.collect.Lists;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.financial.analytics.ircurve.ConfigDBInterpolatedYieldCurveSpecificationBuilder;
import com.opengamma.financial.analytics.ircurve.FixedIncomeStripWithIdentifier;
import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecification;
import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationBuilder;
import com.opengamma.financial.analytics.ircurve.StripInstrumentType;
import com.opengamma.financial.analytics.ircurve.YieldCurveDefinition;
import com.opengamma.financial.convention.ConventionBundle;
import com.opengamma.financial.convention.ConventionBundleMaster;
import com.opengamma.financial.convention.DefaultConventionBundleSource;
import com.opengamma.financial.convention.InMemoryConventionBundleMaster;
import com.opengamma.financial.tool.ToolContext;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.id.VersionCorrection;
import com.opengamma.lambdava.functions.Function1;
import com.opengamma.master.config.ConfigDocument;
import com.opengamma.master.config.ConfigMaster;
import com.opengamma.master.config.ConfigSearchRequest;
import com.opengamma.master.config.impl.ConfigSearchIterator;
import com.opengamma.util.money.Currency;
/**
* Finds the historical time series that need to be loaded so that they can be used as instruments in the defined curves.
*/
public class CurveNodeHistoricalDataLoader {
/**
* Logger.
*/
private static Logger s_logger = LoggerFactory.getLogger(CurveNodeHistoricalDataLoader.class);
private Set<ExternalId> _curveNodesExternalIds;
private Set<ExternalId> _initialRateExternalIds;
private Set<ExternalIdBundle> _futuresExternalIds;
public Set<ExternalId> getCurveNodesExternalIds() {
return _curveNodesExternalIds;
}
public Set<ExternalId> getInitialRateExternalIds() {
return _initialRateExternalIds;
}
public Set<ExternalIdBundle> getFuturesExternalIds() {
return _futuresExternalIds;
}
public void run(final ToolContext tools) {
final ConfigSource configSource = tools.getConfigSource();
final ConfigMaster configMaster = tools.getConfigMaster();
final List<YieldCurveDefinition> curves = getForwardAndDiscountingCurves(configMaster);
final Set<Currency> currencies = newHashSet();
for (final YieldCurveDefinition curve : curves) {
currencies.add(curve.getCurrency());
}
_initialRateExternalIds = getInitialRateExternalIds(currencies);
final List<LocalDate> dates = buildDates();
final Set<String> curveNames = functional(curves).map(new Function1<YieldCurveDefinition, String>() {
@Override
public String execute(final YieldCurveDefinition yieldCurveDefinition) {
return yieldCurveDefinition.getName() + "_" + yieldCurveDefinition.getCurrency().getCode();
}
}).asSet();
_curveNodesExternalIds = getCurves(configSource, curveNames, dates);
_curveNodesExternalIds.add(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "EONIA Index"));
_futuresExternalIds = getFutures(configSource, curveNames, dates);
}
private Set<ExternalId> getInitialRateExternalIds(final Set<Currency> currencies) {
final ConventionBundleMaster cbm = new InMemoryConventionBundleMaster();
final DefaultConventionBundleSource cbs = new DefaultConventionBundleSource(cbm);
final Set<ExternalId> externalInitialRateId = newHashSet();
for (final Currency currency : currencies) {
for (final String swapType : new String[]{"SWAP", "3M_SWAP", "6M_SWAP"}) {
final String product = currency.getCode() + "_" + swapType;
final ConventionBundle convention = cbs.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, product));
if (convention != null) {
final ExternalId initialRate = convention.getSwapFloatingLegInitialRate();
final ConventionBundle realIdConvention = cbs.getConventionBundle(initialRate);
externalInitialRateId.add(realIdConvention.getIdentifiers().getExternalId(ExternalSchemes.BLOOMBERG_TICKER));
} else {
s_logger.info("No convention for {} product", product);
}
}
}
return externalInitialRateId;
}
/**
* Generate quarterly dates +/- 2 years around today to cover futures from past and near future
* @return list of dates
*/
private List<LocalDate> buildDates() {
final Clock clock = Clock.systemDefaultZone();
final List<LocalDate> dates = new ArrayList<>();
final LocalDate twoYearsAgo = LocalDate.now(clock).minusYears(2);
final LocalDate twoYearsTime = LocalDate.now(clock).plusYears(2);
for (LocalDate next = twoYearsAgo; next.isBefore(twoYearsTime); next = next.plusMonths(3)) {
dates.add(next);
}
return dates;
}
/**
* Get all the curves starting with Forward or Discounting
* @param configMaster
* @return list of yield curve definition config object names
*/
private List<YieldCurveDefinition> getForwardAndDiscountingCurves(final ConfigMaster configMaster) {
final List<YieldCurveDefinition> forwardCurves = getCurveDefinitionNames(configMaster, "Forward*");
final List<YieldCurveDefinition> discountingCurves = getCurveDefinitionNames(configMaster, "Discounting*");
final List<YieldCurveDefinition> allCurves = Lists.newArrayList();
allCurves.addAll(forwardCurves);
allCurves.addAll(discountingCurves);
return allCurves;
}
/**
* Get all the curve definition config object names specified by glob expression.
* @param configMaster
* @param nameExpr glob type expression - e.g. blah*
* @return list of names of config objects matching glob expression
*/
private List<YieldCurveDefinition> getCurveDefinitionNames(final ConfigMaster configMaster, final String nameExpr) {
final List<YieldCurveDefinition> results = new ArrayList<>();
final ConfigSearchRequest<YieldCurveDefinition> request = new ConfigSearchRequest<>(YieldCurveDefinition.class);
request.setName(nameExpr);
for (final ConfigDocument doc : ConfigSearchIterator.iterable(configMaster, request)) {
results.add((YieldCurveDefinition) doc.getConfig().getValue());
}
return results;
}
/**
* For a given list of curve names, on a given list of dates, get the superset of all ids required by those curves.
* @param configSource
* @param names
* @param dates
* @return list of all ids required by curves
*/
private Set<ExternalId> getCurves(final ConfigSource configSource, final Collection<String> names, final List<LocalDate> dates) {
final Set<ExternalId> externalIds = newHashSet();
for (final String name : names) {
s_logger.info("Processing curve " + name);
final YieldCurveDefinition curveDefinition = configSource.getSingle(YieldCurveDefinition.class, name, VersionCorrection.LATEST);
if (curveDefinition != null) {
final InterpolatedYieldCurveSpecificationBuilder builder = new ConfigDBInterpolatedYieldCurveSpecificationBuilder(configSource);
for (final LocalDate date : dates) {
s_logger.info("Processing curve date " + date);
final InterpolatedYieldCurveSpecification curveSpec = builder.buildCurve(date, curveDefinition);
for (final FixedIncomeStripWithIdentifier strip : curveSpec.getStrips()) {
s_logger.info("Processing strip " + strip.getSecurity());
externalIds.add(strip.getSecurity());
}
}
} else {
s_logger.warn("No curve definition with '{}' name", name);
}
}
return externalIds;
}
/**
* For a given list of curve names, on a given list of dates, get the superset of all ids which are futures
* @param configSource
* @param names
* @param dates
* @return list of all ids required by curves
*/
private Set<ExternalIdBundle> getFutures(final ConfigSource configSource, final Collection<String> names, final List<LocalDate> dates) {
final Set<ExternalIdBundle> externalIds = newHashSet();
for (final String name : names) {
s_logger.info("Processing curve " + name);
final YieldCurveDefinition curveDefinition = configSource.getSingle(YieldCurveDefinition.class, name, VersionCorrection.LATEST);
if (curveDefinition != null) {
final InterpolatedYieldCurveSpecificationBuilder builder = new ConfigDBInterpolatedYieldCurveSpecificationBuilder(configSource);
for (final LocalDate date : dates) {
s_logger.info("Processing curve date " + date);
final InterpolatedYieldCurveSpecification curveSpec = builder.buildCurve(date, curveDefinition);
for (final FixedIncomeStripWithIdentifier strip : curveSpec.getStrips()) {
s_logger.info("Processing strip " + strip.getSecurity());
if (strip.getStrip().getInstrumentType().equals(StripInstrumentType.FUTURE)) {
externalIds.add(ExternalIdBundle.of(strip.getSecurity()));
}
}
}
} else {
s_logger.warn("No curve definition with '{}' name", name);
}
}
return externalIds;
}
}