public static void fromFudgeMsg(
FudgeDeserializer deserializer, FudgeMsg msg, FXOptionSecurity object) {
FinancialSecurityFudgeBuilder.fromFudgeMsg(deserializer, msg, object);
object.setPutCurrency(msg.getValue(Currency.class, PUT_CURRENCY_FIELD_NAME));
object.setCallCurrency(msg.getValue(Currency.class, CALL_CURRENCY_FIELD_NAME));
object.setPutAmount(msg.getDouble(PUT_AMOUNT_FIELD_NAME));
object.setCallAmount(msg.getDouble(CALL_AMOUNT_FIELD_NAME));
object.setExpiry(
ExpiryFudgeBuilder.fromFudgeMsg(deserializer, msg.getMessage(EXPIRY_FIELD_NAME)));
object.setSettlementDate(
ZonedDateTimeFudgeBuilder.fromFudgeMsg(
deserializer, msg.getMessage(SETTLEMENT_DATE_FIELD_NAME)));
object.setLongShort(LongShort.ofLong(msg.getBoolean(IS_LONG_FIELD_NAME)));
}
@Override
public MoneynessPiecewiseSABRSurfaceFitter buildObject(
final FudgeDeserializer deserializer, final FudgeMsg message) {
final boolean useLogTime = message.getBoolean(TIME_FIELD_NAME);
final boolean useIntegratedVar = message.getBoolean(SPACE_FIELD_NAME);
final double lambda = message.getDouble(LAMBDA_FIELD_NAME);
return new MoneynessPiecewiseSABRSurfaceFitter(useLogTime, useIntegratedVar, lambda);
}
@Override
public BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider buildObject(
final FudgeDeserializer deserializer, final FudgeMsg message) {
String futureOptionPrefix = message.getString(PREFIX_FIELD_NAME);
// backward compatibility
if (futureOptionPrefix == null) {
futureOptionPrefix = message.getString("futureOptionPrefix");
}
String postfix = message.getString(POSTFIX_FIELD_NAME);
// backward compatibility
if (postfix == null) {
postfix = message.getString("postfix");
}
String dataFieldName = message.getString(DATA_FIELD_NAME);
// backward compatibility
if (dataFieldName == null) {
dataFieldName = message.getString("dataFieldName");
}
final Double useCallAboveValue = message.getDouble(CALL_FIELD_NAME);
if (message.hasField(EXCHANGE_ID_FIELD_NAME)) {
final String exchangeId = message.getString(EXCHANGE_ID_FIELD_NAME);
if (message.hasField(TICKER_SCHEME_NAME)) {
final String tickerScheme = message.getString(TICKER_SCHEME_NAME);
return new BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(
futureOptionPrefix,
postfix,
dataFieldName,
useCallAboveValue,
exchangeId,
tickerScheme);
}
return new BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(
futureOptionPrefix, postfix, dataFieldName, useCallAboveValue, exchangeId);
}
if (message.hasField(TICKER_SCHEME_NAME)) { // this will never be hit, but better to be safe
final String tickerScheme = message.getString(TICKER_SCHEME_NAME);
return new BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(
futureOptionPrefix,
postfix,
dataFieldName,
useCallAboveValue,
DEFAULT_EXCHANGE_ID,
tickerScheme);
}
return new BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(
futureOptionPrefix, postfix, dataFieldName, useCallAboveValue, DEFAULT_EXCHANGE_ID);
}
// -------------------------------------------------------------------------
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;
}