/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.integration.tool.marketdata;
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.HashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.apache.commons.cli.Option;
import org.apache.commons.cli.Options;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.LocalDate;
import com.opengamma.bbg.loader.BloombergBulkSecurityLoader;
import com.opengamma.component.tool.AbstractTool;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.SecuritySource;
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.security.future.InterestRateFutureSecurity;
import com.opengamma.financial.timeseries.exchange.DefaultExchangeDataProvider;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.integration.tool.IntegrationToolContext;
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.master.security.ManageableSecurity;
import com.opengamma.master.security.SecurityMaster;
import com.opengamma.master.security.SecurityMasterUtils;
import com.opengamma.scripts.Scriptable;
import com.opengamma.util.money.Currency;
/**
*/
@Scriptable
public class CurveFutureSecurityLoaderTool extends AbstractTool<IntegrationToolContext> {
/**
* Logger.
*/
private static Logger s_logger = LoggerFactory.getLogger(CurveFutureSecurityLoaderTool.class);
/** Portfolio name option flag*/
private static final String CURVE_NAME_OPT = "n";
/** Write option flag */
private static final String WRITE_OPT = "w";
/** Verbose option flag */
private static final String VERBOSE_OPT = "v";
//-------------------------------------------------------------------------
/**
* Main method to run the tool.
* No arguments are needed.
*
* @param args the arguments, unused
*/
public static void main(final String[] args) { // CSIGNORE
new CurveFutureSecurityLoaderTool().initAndRun(args, IntegrationToolContext.class);
System.exit(0);
}
//-------------------------------------------------------------------------
@Override
protected void doRun() {
final ConfigSource configSource = getToolContext().getConfigSource();
final ConfigMaster configMaster = getToolContext().getConfigMaster();
// Find all matching curves
final List<YieldCurveDefinition> curves = getCurveDefinitionNames(configMaster, getCommandLine().getOptionValue(CURVE_NAME_OPT));
// build list of curve dates so that we pre-load contracts out several years where possible.
final List<LocalDate> dates = buildDates();
// build list of futures ids
final Set<ExternalId> curveNodesExternalIds = getCurveFutureExternalIds(configSource, curves, dates);
// filter out ids that are already loaded into the sec master
final Set<ExternalId> unloadedIds = filterPresentIds(curveNodesExternalIds);
// Load the required future securities
loadSecuritylData(getCommandLine().hasOption(WRITE_OPT), unloadedIds);
}
/**
* 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<LocalDate>();
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 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<YieldCurveDefinition>();
final ConfigSearchRequest<YieldCurveDefinition> request = new ConfigSearchRequest<YieldCurveDefinition>(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 definitions, on a given list of dates, get all ids on futures required by those curves.
* @param configSource configuration source
* @param curveDefs curve definitions
* @param dates list of dates to construct the curve on
* @return list of all futures ids required by curves
*/
private Set<ExternalId> getCurveFutureExternalIds(final ConfigSource configSource, final Collection<YieldCurveDefinition> curveDefs, final List<LocalDate> dates) {
final Set<ExternalId> externalIds = newHashSet();
for (final YieldCurveDefinition curveDefinition : curveDefs) {
if (curveDefinition != null) {
InterpolatedYieldCurveSpecificationBuilder builder = new ConfigDBInterpolatedYieldCurveSpecificationBuilder(configSource);
for (LocalDate date : dates) {
if (isVerbose()) {
System.out.println("Processing curve " + curveDefinition.getName() + " for date " + date);
}
try {
final InterpolatedYieldCurveSpecification curveSpec = builder.buildCurve(date, curveDefinition);
for (final FixedIncomeStripWithIdentifier strip : curveSpec.getStrips()) {
s_logger.info("Processing strip " + strip.getSecurity());
if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
externalIds.add(strip.getSecurity());
}
}
} catch (final Throwable t) {
s_logger.warn("Unable to build curve " + t.getMessage());
}
}
} else {
s_logger.warn("Null curve definition, skipping.");
}
}
return externalIds;
}
private void loadSecuritylData(final boolean write, final Set<ExternalId> externalIds) {
BloombergBulkSecurityLoader bulkSecurityLoader = new BloombergBulkSecurityLoader(getToolContext().getBloombergReferenceDataProvider(), DefaultExchangeDataProvider.getInstance());
SecurityMaster secMaster = getToolContext().getSecurityMaster();
Set<ExternalIdBundle> externalIdBundles = new HashSet<>();
for (ExternalId externalId : externalIds) {
externalIdBundles.add(externalId.toBundle());
}
Map<ExternalIdBundle, ManageableSecurity> loadedSecurities = bulkSecurityLoader.loadSecurity(externalIdBundles);
for (Map.Entry<ExternalIdBundle, ManageableSecurity> entry : loadedSecurities.entrySet()) {
SecurityMasterUtils.addOrUpdateSecurity(secMaster, entry.getValue());
if (isVerbose()) {
System.out.println("Loading security " + entry.getKey().getExternalId(ExternalSchemes.BLOOMBERG_TICKER));
}
}
}
private boolean isVerbose() {
return getCommandLine().hasOption(VERBOSE_OPT);
}
private Set<ExternalId> filterPresentIds(Set<ExternalId> externalIds) {
Set<ExternalId> filtered = new HashSet<>();
SecuritySource securitySource = getToolContext().getSecuritySource();
for (ExternalId externalId : externalIds) {
Security security = securitySource.getSingle(externalId.toBundle());
if (security instanceof InterestRateFutureSecurity) {
continue;
}
filtered.add(externalId);
}
if (isVerbose()) {
System.out.println("Of " + externalIds.size() + " ids, " + filtered.size() + " were not present in the security master");
}
return filtered;
}
@Override
protected Options createOptions(final boolean contextProvided) {
final Options options = super.createOptions(contextProvided);
final Option curveNameOption = new Option(
CURVE_NAME_OPT, "name", true, "The name of the yield curve definition for which to resolve time series");
curveNameOption.setRequired(true);
options.addOption(curveNameOption);
final Option writeOption = new Option(
WRITE_OPT, "write", false,
"Actually persists the time series to the database if specified, otherwise pretty-prints without persisting");
options.addOption(writeOption);
final Option verboseOption = new Option(
VERBOSE_OPT, "verbose", false,
"Displays progress messages on the terminal");
options.addOption(verboseOption);
return options;
}
}