private HistoricalTimeSeriesInfoDocument loadTimeSeries(ExternalIdBundle idBundle) {
final ReferenceDataProvider referenceDataProvider =
getToolContext().getBloombergReferenceDataProvider();
if (idBundle.getExternalId(ExternalSchemes.BLOOMBERG_BUID) == null
&& idBundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER) != null) {
// For some reason loading some series by TICKER fails, but BUID works
final BiMap<String, ExternalIdBundle> map =
BloombergDataUtils.convertToBloombergBuidKeys(
Collections.singleton(idBundle), referenceDataProvider);
if (map.size() != 1) {
throw new OpenGammaRuntimeException("Failed to get buid");
}
for (final String key : map.keySet()) {
final String buid =
referenceDataProvider.getReferenceDataValue(
key, BloombergConstants.FIELD_ID_BBG_UNIQUE);
idBundle = idBundle.withExternalId(ExternalSchemes.bloombergBuidSecurityId(buid));
}
}
final ExternalIdBundle searchBundle =
idBundle.withoutScheme(
ExternalSchemes
.ISIN); // For things which move country, e.g. ISIN(VALE5 BZ Equity) == ISIN(RIODF
// US Equity)
final Map<ExternalId, UniqueId> timeSeries =
getToolContext()
.getHistoricalTimeSeriesLoader()
.loadTimeSeries(
searchBundle.getExternalIds(),
"UNKNOWN",
"PX_LAST",
LocalDate.now().minusYears(1),
null);
if (timeSeries.size() != 1) {
throw new OpenGammaRuntimeException(
"Failed to load time series " + idBundle + " " + timeSeries);
}
for (final UniqueId uid : timeSeries.values()) {
return getToolContext().getHistoricalTimeSeriesMaster().get(uid);
}
throw new OpenGammaRuntimeException("Unexpected state");
}
// -------------------------------------------------------------------------
protected ManageablePortfolio generatePortfolio(final String portfolioName) {
final ReferenceDataProvider referenceDataProvider =
getToolContext().getBloombergReferenceDataProvider();
final ManageablePortfolio portfolio = new ManageablePortfolio(portfolioName);
// Is this a hack?
final ManageablePortfolioNode rootNode = portfolio.getRootNode();
portfolio.setRootNode(rootNode);
// String indexTickerSuffix = " Index";
final Set<String> memberEquities = new HashSet<String>();
for (final Entry<String, String> entry : INDEXES_TO_EXCHANGE.entrySet()) {
final String indexTickerSuffix = " Index";
final String underlying = entry.getKey();
final String ticker = underlying + indexTickerSuffix;
// don't add index (delete at some point)
// addNodes(rootNode, ticker, false, INDEX_OPTION_PERIODS);
final Set<String> indexMembers =
BloombergDataUtils.getIndexMembers(referenceDataProvider, ticker);
for (final String member : indexMembers) {
final String symbol = getBloombergEquitySymbol(entry.getValue(), member);
// time series errors for Walmart
// Todo: investegate & fix
if ("WMT US Equity".equals(symbol)) {
continue;
}
memberEquities.add(symbol);
}
}
// Sort the symbols for the current index by market cap (highest to lowest), skipping any in the
// list of EXCLUDED_SECTORS
final TreeMap<Double, String> equityByMarketCap = new TreeMap<Double, String>();
final Map<String, FudgeMsg> refDataMap =
referenceDataProvider.getReferenceData(
memberEquities,
Sets.newHashSet(
BloombergFields.CURRENT_MARKET_CAP_FIELD,
BloombergConstants.FIELD_GICS_SUB_INDUSTRY));
for (final String equity : memberEquities) {
final FudgeMsg fieldData = refDataMap.get(equity);
if (fieldData == null) {
throw new OpenGammaRuntimeException("Information not found for equity: " + equity);
}
final String gicsCodeString = fieldData.getString(BloombergConstants.FIELD_GICS_SUB_INDUSTRY);
if (gicsCodeString == null) {
continue;
}
final GICSCode gicsCode = GICSCode.of(gicsCodeString);
if (EXCLUDED_SECTORS.contains(gicsCode.getSectorDescription())) {
continue;
}
final Double marketCap = fieldData.getDouble(BloombergFields.CURRENT_MARKET_CAP_FIELD);
if (marketCap != null) {
equityByMarketCap.put(marketCap, equity);
}
}
// Add a given number of symbols (MEMBERS_DEPTH) to the portfolio and store in a List
// When adding to the portfolio, add a collar of options with PVs distributed equally +/- around
// 0
int count = 0;
final List<String> chosenEquities = new ArrayList<String>();
for (final Entry<Double, String> entry : equityByMarketCap.descendingMap().entrySet()) {
try {
addNodes(rootNode, entry.getValue(), true, MEMBER_OPTION_PERIODS);
chosenEquities.add(entry.getValue());
if (++count >= _numMembers) {
break;
}
} catch (final RuntimeException e) {
s_logger.warn("Caught exception", e);
}
}
s_logger.info("Generated collar portfolio for {}", chosenEquities);
return portfolio;
}