// -------------------------------------------------------------------------
@Test(enabled = false)
public void test_equity() throws Exception {
EquitySecurity sec = new EquitySecurity("London", "LON", "OpenGamma Ltd", Currency.GBP);
sec.setName("OpenGamma");
sec.setGicsCode(GICSCode.of("20102010"));
sec.setShortName("OG");
sec.setExternalIdBundle(ExternalIdBundle.of("Test", "OG"));
SecurityDocument addDoc = new SecurityDocument(sec);
SecurityDocument added = _secMaster.add(addDoc);
SecurityDocument loaded = _secMaster.get(added.getUniqueId());
assertEquals(added, loaded);
}
/**
* Returns AAPL equity security for testing
*
* @return the equity security
*/
public static EquitySecurity getEquitySecurity() {
EquitySecurity equitySecurity =
new EquitySecurity("NASDAQ/NGS (GLOBAL SELECT MARKET)", "XNGS", "APPLE INC", Currency.USD);
equitySecurity.addExternalId(ExternalSchemes.bloombergTickerSecurityId("AAPL US Equity"));
equitySecurity.addExternalId(ExternalSchemes.bloombergBuidSecurityId("EQ0010169500001000"));
equitySecurity.addExternalId(ExternalSchemes.cusipSecurityId("037833100"));
equitySecurity.addExternalId(ExternalSchemes.isinSecurityId("US0378331005"));
equitySecurity.addExternalId(ExternalSchemes.sedol1SecurityId("2046251"));
equitySecurity.setShortName("AAPL");
equitySecurity.setName("APPLE INC");
equitySecurity.setGicsCode(GICSCode.of("45202010"));
return equitySecurity;
}
// -------------------------------------------------------------------------
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;
}
// -------------------------------------------------------------------------
protected ManageablePortfolio generatePortfolio(String portfolioName) {
ReferenceDataProvider referenceDataProvider =
((BloombergToolContext) getToolContext()).getBloombergReferenceDataProvider();
ManageablePortfolio portfolio = new ManageablePortfolio(portfolioName);
// Is this a hack?
ManageablePortfolioNode rootNode = portfolio.getRootNode();
portfolio.setRootNode(rootNode);
// String indexTickerSuffix = " Index";
Set<String> memberEquities = new HashSet<String>();
for (Entry<String, String> entry : INDEXES_TO_EXCHANGE.entrySet()) {
String indexTickerSuffix = " Index";
String underlying = entry.getKey();
String ticker = underlying + indexTickerSuffix;
// don't add index (delete at some point)
// addNodes(rootNode, ticker, false, INDEX_OPTION_PERIODS);
Set<String> indexMembers = BloombergDataUtils.getIndexMembers(referenceDataProvider, ticker);
for (String member : indexMembers) {
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
TreeMap<Double, String> equityByMarketCap = new TreeMap<Double, String>();
ReferenceDataResult fields =
referenceDataProvider.getFields(
memberEquities,
Sets.newHashSet(
BloombergFields.CURRENT_MARKET_CAP_FIELD,
BloombergConstants.FIELD_GICS_SUB_INDUSTRY));
for (String equity : memberEquities) {
PerSecurityReferenceDataResult result = fields.getResult(equity);
String gicsCodeString =
result.getFieldData().getString(BloombergConstants.FIELD_GICS_SUB_INDUSTRY);
GICSCode gicsCode = GICSCode.of(gicsCodeString);
if (EXCLUDED_SECTORS.contains(gicsCode.getSectorDescription())) {
continue;
}
Double marketCap = result.getFieldData().getDouble(BloombergFields.CURRENT_MARKET_CAP_FIELD);
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;
List<String> chosenEquities = new ArrayList<String>();
for (Entry<Double, String> entry : equityByMarketCap.descendingMap().entrySet()) {
if (count++ >= _numMembers) {
break;
}
addNodes(rootNode, entry.getValue(), true, MEMBER_OPTION_PERIODS);
chosenEquities.add(entry.getValue());
}
s_logger.info("Generated collar portfolio for {}", chosenEquities);
return portfolio;
}