@Test
public void multiThreadedSecurityRequest() throws Exception {
ExternalIdBundle apvKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(APV_EQUITY_OPTION_TICKER));
ExternalIdBundle spxKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(SPX_INDEX_OPTION_TICKER));
ExternalIdBundle aaplKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(AAPL_EQUITY_TICKER));
ExternalIdBundle attKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(ATT_EQUITY_TICKER));
ExecutorService pool = Executors.newFixedThreadPool(4);
List<Future<Security>> apvresults = new ArrayList<Future<Security>>();
List<Future<Security>> spxresults = new ArrayList<Future<Security>>();
List<Future<Security>> aaplresults = new ArrayList<Future<Security>>();
List<Future<Security>> attresults = new ArrayList<Future<Security>>();
for (int i = 0; i < 10; i++) {
apvresults.add(pool.submit(new BSMGetSecurityCallable(apvKey)));
spxresults.add(pool.submit(new BSMGetSecurityCallable(spxKey)));
aaplresults.add(pool.submit(new BSMGetSecurityCallable(aaplKey)));
attresults.add(pool.submit(new BSMGetSecurityCallable(attKey)));
}
for (Future<Security> future : apvresults) {
// Check that each one didn't throw an exception and returns the expected
// APV security
Security sec = future.get();
assertAmericanVanillaEquityOptionSecurity(EXPECTED_APVL_EQUITYOPTION_SEC, sec);
}
for (Future<Security> future : spxresults) {
// Check that each one didn't throw an exception and returns the expected
// SPX security
Security sec = future.get();
assertEuropeanVanillaEquityIndexOptionSecurity(EXPECTED_SPX_INDEXOPTION_SEC, sec);
}
for (Future<Security> future : aaplresults) {
// Check that each one didn't throw an exception and returns the expected
// AAPL security
Security sec = future.get();
assertEquitySecurity(EXPECTED_AAPL_EQUITY_SEC, sec);
}
for (Future<Security> future : attresults) {
// Check that each one didn't throw an exception and returns the expected
// AT&T security
Security sec = future.get();
assertEquitySecurity(EXPECTED_ATT_EQUITY_SEC, sec);
}
}
static {
s_ref.setExternalIdBundle(
ExternalId.of(ExternalSchemes.BLOOMBERG_INDEX_FAMILY, "ICE LIBOR USD").toBundle());
SortedMap<Tenor, ExternalId> entries = new TreeMap<>();
entries.put(Tenor.ON, ExternalSchemes.bloombergTickerSecurityId("US00O/N Index"));
entries.put(Tenor.THREE_MONTHS, ExternalSchemes.bloombergTickerSecurityId("US0003M Index"));
entries.put(Tenor.SIX_MONTHS, ExternalSchemes.bloombergTickerSecurityId("US0006M Index"));
entries.put(Tenor.NINE_MONTHS, ExternalSchemes.bloombergTickerSecurityId("US0009M Index"));
entries.put(Tenor.TWELVE_MONTHS, ExternalSchemes.bloombergTickerSecurityId("US0012M Index"));
s_ref.setMembers(entries);
s_ref.setName("ICE LIBOR USD");
s_ref.addAttribute("Test", "Value");
}
/**
* 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;
}
private IRFutureOptionTrade createIRFutureOptionTrade() {
String exchange = "TestExchange";
ExerciseType exerciseType = new EuropeanExerciseType();
double pointValue = Double.NaN;
boolean margined = true;
double strike = 0.99;
OptionType optionType = OptionType.PUT;
ExternalId irFutureId = Iterables.getOnlyElement(_irFuture.getExternalIdBundle());
IRFutureOptionSecurity irFutureOption =
new IRFutureOptionSecurity(
exchange,
_irFuture.getExpiry(),
exerciseType,
irFutureId,
pointValue,
margined,
_irFuture.getCurrency(),
strike,
optionType);
// Need this for time series lookup
irFutureOption.setExternalIdBundle(
ExternalSchemes.syntheticSecurityId("Test future option").toBundle());
Counterparty counterparty =
new SimpleCounterparty(ExternalId.of(Counterparty.DEFAULT_SCHEME, "COUNTERPARTY"));
BigDecimal tradeQuantity = BigDecimal.valueOf(1);
SimpleTrade trade =
new SimpleTrade(irFutureOption, tradeQuantity, counterparty, TRADE_DATE, TRADE_TIME);
trade.setPremium(10.0);
trade.setPremiumCurrency(Currency.USD);
return new IRFutureOptionTrade(trade);
}
// -------------------------------------------------------------------------
protected ManageableExchange example() {
ManageableExchange exchange = new ManageableExchange();
exchange.setUniqueId(UID);
exchange.setName("NYSE");
exchange.setRegionIdBundle(ExternalIdBundle.of(ExternalSchemes.countryRegionId(Country.US)));
return exchange;
}
@Test
public void invalidSecurity() throws Exception {
ExternalIdBundle invalidKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("INVALID"));
Security sec = _securityProvider.getSecurity(invalidKey);
assertNull(sec);
}
@Test
public void invalidSecurities() throws Exception {
ExternalIdBundle invalidKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("INVALID"));
Map<ExternalIdBundle, Security> securities =
_securityProvider.getSecurities(ImmutableSet.of(invalidKey));
assertNotNull(securities);
assertTrue(securities.isEmpty());
}
@Test(enabled = false)
public void currencyFuture() throws Exception {
ExternalIdBundle id =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("LNM0 Curncy"));
Security audUsd = _securityProvider.getSecurity(id);
assertNotNull(audUsd);
assertTrue(audUsd instanceof FXFutureSecurity);
assertSecurity(EXPECTED_AUDUSD_FUTURE_SEC, audUsd);
}
private static MarketDataEnvironment createSuppliedData() {
LocalDateDoubleTimeSeries optionPrice =
ImmutableLocalDateDoubleTimeSeries.of(VALUATION_TIME.toLocalDate(), 0.975);
RawId<Double> optionRawId =
RawId.of(ExternalSchemes.syntheticSecurityId("Test future option").toBundle());
MarketDataEnvironmentBuilder builder = new MarketDataEnvironmentBuilder();
builder.add(optionRawId, optionPrice);
builder.add(VolatilitySurfaceId.of("TestExchange"), new VolatilitySurface(TEST_SURFACE));
builder.valuationTime(VALUATION_TIME);
return builder.build();
}
private HistoricalTimeSeriesInfoDocument loadTimeSeries(ExternalIdBundle idBundle) {
ReferenceDataProvider referenceDataProvider =
((BloombergToolContext) 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
BiMap<String, ExternalIdBundle> map =
BloombergDataUtils.convertToBloombergBuidKeys(
Collections.singleton(idBundle), referenceDataProvider);
if (map.size() != 1) {
throw new OpenGammaRuntimeException("Failed to get buid");
}
for (String key : map.keySet()) {
ReferenceDataResult buidResult =
referenceDataProvider.getFields(
Collections.singleton(key),
Collections.singleton(BloombergConstants.FIELD_ID_BBG_UNIQUE));
String buid =
buidResult
.getResult(key)
.getFieldData()
.getString(BloombergConstants.FIELD_ID_BBG_UNIQUE);
idBundle = idBundle.withExternalId(ExternalSchemes.bloombergTickerSecurityId(buid));
}
}
ExternalIdBundle searchBundle =
idBundle.withoutScheme(
ExternalSchemes
.ISIN); // For things which move country, e.g. ISIN(VALE5 BZ Equity) == ISIN(RIODF
// US Equity)
Map<ExternalId, UniqueId> timeSeries =
getToolContext()
.getHistoricalTimeSeriesLoader()
.addTimeSeries(
searchBundle.getExternalIds(),
"CMPL",
"PX_LAST",
LocalDate.now().minusYears(1),
null);
if (timeSeries.size() != 1) {
throw new OpenGammaRuntimeException(
"Failed to load time series " + idBundle + " " + timeSeries);
}
for (UniqueId uid : timeSeries.values()) {
return getToolContext().getHistoricalTimeSeriesMaster().get(uid);
}
throw new OpenGammaRuntimeException("Unexpected state");
}
private InterestRateFutureSecurity createIRFuture() {
Expiry expiry =
new Expiry(ZonedDateTime.of(LocalDate.of(2014, 6, 18), LocalTime.of(0, 0), ZoneOffset.UTC));
String tradingExchange = "";
String settlementExchange = "";
Currency currency = Currency.USD;
double unitAmount = 1000;
ExternalId underlyingId = InterestRateMockSources.getLiborIndexId();
String category = "";
InterestRateFutureSecurity irFuture =
new InterestRateFutureSecurity(
expiry,
tradingExchange,
settlementExchange,
currency,
unitAmount,
underlyingId,
category);
// Need this for time series lookup
ExternalId irFutureId = ExternalSchemes.syntheticSecurityId("Test future");
irFuture.setExternalIdBundle(irFutureId.toBundle());
return irFuture;
}
@Test(groups = {"bbgSecurityFutureTests"})
public void euroBondFuture() throws Exception {
ExternalIdBundle euroBund =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("RXA Comdty"));
Security bond = _securityProvider.getSecurity(euroBund);
assertNotNull(bond);
assertTrue(bond instanceof BondFutureSecurity);
BondFutureSecurity euroBondFuture = (BondFutureSecurity) bond;
assertEquals("FUTURE", euroBondFuture.getSecurityType());
assertEquals("Bond", euroBondFuture.getContractCategory());
assertEquals(EUR, euroBondFuture.getCurrency());
String displayName = euroBondFuture.getName();
assertNotNull(displayName);
assertTrue(displayName.contains("EURO-BUND FUTURE"));
Expiry expiry = euroBondFuture.getExpiry();
assertNotNull(expiry);
assertTrue(expiry.toInstant().isAfter(getTodayInstant()));
assertEquals("XEUR", euroBondFuture.getTradingExchange());
assertEquals("XEUR", euroBondFuture.getSettlementExchange());
// assert identifiers are set
Collection<ExternalId> identifiers = euroBondFuture.getExternalIdBundle().getExternalIds();
assertNotNull(identifiers);
assertTrue(identifiers.size() >= EXPECTED_IDENTIFICATION_SCHEME.length);
ExternalIdBundle identifierBundle = ExternalIdBundle.of(identifiers);
for (ExternalScheme expectedIDScheme : EXPECTED_IDENTIFICATION_SCHEME) {
assertNotNull(identifierBundle.getExternalId(expectedIDScheme));
}
// assert deliverables are not empty
Collection<BondFutureDeliverable> basket = euroBondFuture.getBasket();
assertNotNull(basket);
for (BondFutureDeliverable bondFutureDeliverable : basket) {
ExternalIdBundle bundle = bondFutureDeliverable.getIdentifiers();
assertNotNull(bundle);
assertNotNull(bundle.getExternalId(ExternalSchemes.BLOOMBERG_BUID));
assertTrue(bondFutureDeliverable.getConversionFactor() > 0);
}
}
public static synchronized void addFixedIncomeInstrumentConventions(
final ConventionBundleMaster conventionMaster) {
Validate.notNull(conventionMaster, "convention master");
final BusinessDayConvention modified =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
final BusinessDayConvention following =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
final DayCount thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
final Frequency quarterly =
SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
final Frequency semiAnnual =
SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
final ExternalId ch = ExternalSchemes.financialRegionId("CH");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
// TODO check that it's actually libor that we need
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF00O/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR O/N")),
"CHF LIBOR O/N",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF00S/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR S/N")),
"CHF LIBOR S/N",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF00T/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR T/N")),
"CHF LIBOR T/N",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0001W Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 1w")),
"CHF LIBOR 1w",
act360,
following,
Period.ofDays(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0002W Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 2w")),
"CHF LIBOR 2w",
act360,
following,
Period.ofDays(14),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0001M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 1m")),
"CHF LIBOR 1m",
act360,
following,
Period.ofMonths(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0002M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 2m")),
"CHF LIBOR 2m",
act360,
following,
Period.ofMonths(2),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0003M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 3m")),
"CHF LIBOR 3m",
act360,
following,
Period.ofMonths(3),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0004M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 4m")),
"CHF LIBOR 4m",
act360,
following,
Period.ofMonths(4),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0005M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 5m")),
"CHF LIBOR 5m",
act360,
following,
Period.ofMonths(5),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0006M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 6m"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFLIBORP6M")),
"CHF LIBOR 6m",
act360,
following,
Period.ofMonths(6),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0007M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 7m")),
"CHF LIBOR 7m",
act360,
following,
Period.ofMonths(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0008M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 8m")),
"CHF LIBOR 8m",
act360,
following,
Period.ofMonths(8),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0009M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 9m")),
"CHF LIBOR 9m",
act360,
following,
Period.ofMonths(9),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0010M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 10m")),
"CHF LIBOR 10m",
act360,
following,
Period.ofMonths(10),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0011M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 11m")),
"CHF LIBOR 11m",
act360,
following,
Period.ofMonths(11),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0012M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 12m")),
"CHF LIBOR 12m",
act360,
following,
Period.ofMonths(12),
2,
false,
ch);
// TODO need to check that these are right for deposit rates
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR1T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 1d")),
"CHF DEPOSIT 1d",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR2T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 2d")),
"CHF DEPOSIT 2d",
act360,
following,
Period.ofDays(1),
1,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR3T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 3d")),
"CHF DEPOSIT 3d",
act360,
following,
Period.ofDays(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR1Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 1w")),
"CHF DEPOSIT 1w",
act360,
following,
Period.ofDays(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR2Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 2w")),
"CHF DEPOSIT 2w",
act360,
following,
Period.ofDays(14),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR3Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 3w")),
"CHF DEPOSIT 3w",
act360,
following,
Period.ofDays(21),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRA Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 1m")),
"CHF DEPOSIT 1m",
act360,
following,
Period.ofMonths(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRB Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 2m")),
"CHF DEPOSIT 2m",
act360,
following,
Period.ofMonths(2),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRC Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 3m")),
"CHF DEPOSIT 3m",
act360,
following,
Period.ofMonths(3),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRD Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 4m")),
"CHF DEPOSIT 4m",
act360,
following,
Period.ofMonths(4),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRE Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 5m")),
"CHF DEPOSIT 5m",
act360,
following,
Period.ofMonths(5),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRF Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 6m")),
"CHF DEPOSIT 6m",
act360,
following,
Period.ofMonths(6),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRG Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 7m")),
"CHF DEPOSIT 7m",
act360,
following,
Period.ofMonths(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRH Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 8m")),
"CHF DEPOSIT 8m",
act360,
following,
Period.ofMonths(8),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRI Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 9m")),
"CHF DEPOSIT 9m",
act360,
following,
Period.ofMonths(9),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRJ Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 10m")),
"CHF DEPOSIT 10m",
act360,
following,
Period.ofMonths(10),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRK Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 11m")),
"CHF DEPOSIT 11m",
act360,
following,
Period.ofMonths(11),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR1 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 1y")),
"CHF DEPOSIT 1y",
act360,
following,
Period.ofYears(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR2 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 2y")),
"CHF DEPOSIT 2y",
act360,
following,
Period.ofYears(2),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR3 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 3y")),
"CHF DEPOSIT 3y",
act360,
following,
Period.ofYears(3),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR4 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 4y")),
"CHF DEPOSIT 4y",
act360,
following,
Period.ofYears(4),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR5 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 5y")),
"CHF DEPOSIT 5y",
act360,
following,
Period.ofYears(5),
2,
false,
ch);
// TODO check reference rate
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_SWAP")),
"CHF_SWAP",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
semiAnnual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 6m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_3M_SWAP")),
"CHF_3M_SWAP",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
quarterly,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 3m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_6M_SWAP")),
"CHF_6M_SWAP",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
semiAnnual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 6m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_3M_FRA")),
"CHF_3M_FRA",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
quarterly,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 3m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_6M_FRA")),
"CHF_6M_FRA",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
semiAnnual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 6m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, IndexType.Libor + "_CHF_P3M")),
IndexType.Libor + "_CHF_P3M",
thirty360,
modified,
null,
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, IndexType.Libor + "_CHF_P6M")),
IndexType.Libor + "_CHF_P6M",
thirty360,
modified,
null,
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, IndexType.Euribor + "_CHF_P3M")),
IndexType.Euribor + "_CHF_P3M",
thirty360,
modified,
null,
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, IndexType.Euribor + "_CHF_P6M")),
IndexType.Euribor + "_CHF_P6M",
thirty360,
modified,
null,
2,
false,
ch);
// Overnight Index Swap Convention have additional flag, publicationLag
final Integer publicationLagON = 0; // TODO CASE PublicationLag CHF - Confirm 0
// CHF Overnight Index
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("TOISTOIS Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF TOISTOIS")),
"CHF TOIS TOIS",
act360,
following,
Period.ofDays(1),
2,
false,
ch,
publicationLagON);
// OIS
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_OIS_SWAP")),
"CHF_OIS_SWAP",
act360,
modified,
annual,
2,
ch,
act360,
modified,
annual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF TOISTOIS"),
ch,
true,
publicationLagON);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_IBOR_INDEX")),
"CHF_IBOR_INDEX",
act360,
following,
2,
false);
// Identifiers for external data
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP1D"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP1D")),
"CHFCASHP1D",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP1M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP1M")),
"CHFCASHP1M",
act360,
modified,
Period.ofMonths(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP2M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP2M")),
"CHFCASHP2M",
act360,
modified,
Period.ofMonths(2),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP3M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP3M")),
"CHFCASHP3M",
act360,
modified,
Period.ofMonths(3),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP4M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP4M")),
"CHFCASHP4M",
act360,
modified,
Period.ofMonths(4),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP5M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP5M")),
"CHFCASHP5M",
act360,
modified,
Period.ofMonths(5),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP6M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP6M")),
"CHFCASHP6M",
act360,
modified,
Period.ofMonths(6),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP7M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP7M")),
"CHFCASHP7M",
act360,
modified,
Period.ofMonths(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP8M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP8M")),
"CHFCASHP8M",
act360,
modified,
Period.ofMonths(8),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP9M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP9M")),
"CHFCASHP9M",
act360,
modified,
Period.ofMonths(9),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP10M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP10M")),
"CHFCASHP10M",
act360,
modified,
Period.ofMonths(10),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP11M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP11M")),
"CHFCASHP11M",
act360,
modified,
Period.ofMonths(11),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP12M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP12M")),
"CHFCASHP12M",
act360,
modified,
Period.ofMonths(12),
2,
false,
ch);
}
/**
* Tests the fields of an equity index. This test is intended to pick up any changes before
* databases are affected.
*/
@Test(groups = TestGroup.UNIT)
public class EquityIndexTest {
/** The index name */
private static final String NAME = "BOND INDEX";
/** The index description */
private static final String DESCRIPTION = "BOND INDEX DESCRIPTION";
/** The first index member */
private static final ExternalIdBundle ID1 =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("A"));
/** The second index member */
private static final ExternalIdBundle ID2 =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("B"));
/** The components */
private static final List<EquityIndexComponent> COMPONENTS =
Arrays.asList(
new EquityIndexComponent(ID1, new BigDecimal(0.7)),
new EquityIndexComponent(ID2, new BigDecimal(0.3)));
/** The weighting type */
private static final IndexWeightingType WEIGHTING_TYPE = IndexWeightingType.EQUAL;
/** The index */
private static final EquityIndex INDEX_NO_DESCRIPTION =
new EquityIndex(NAME, COMPONENTS, WEIGHTING_TYPE);
/** The index */
private static final EquityIndex INDEX_WITH_DESCRIPTION =
new EquityIndex(NAME, DESCRIPTION, COMPONENTS, WEIGHTING_TYPE);
/** Tests that the components cannot be null */
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullComponents() {
new EquityIndex(NAME, DESCRIPTION, null, WEIGHTING_TYPE);
}
/** Tests that the components cannot be empty */
@Test
public void testEmptyComponents() {
new EquityIndex(NAME, DESCRIPTION, new ArrayList<EquityIndexComponent>(), WEIGHTING_TYPE);
}
/** Tests that the weighting type cannot be null */
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullWeightingType() {
new EquityIndex(NAME, DESCRIPTION, COMPONENTS, null);
}
/** Tests the number of fields in the index. Will pick up additions / removals. */
@Test
public void testNumberOfFields() {
List<Field> fields = IndexTestUtils.getFields(INDEX_NO_DESCRIPTION.getClass());
assertEquals(15, fields.size());
fields = IndexTestUtils.getFields(INDEX_WITH_DESCRIPTION.getClass());
assertEquals(15, fields.size());
}
/** Tests that fields are set correctly and that fields that should be null are. */
@Test
public void test() {
assertEquals(NAME, INDEX_NO_DESCRIPTION.getName());
assertEquals(NAME, INDEX_WITH_DESCRIPTION.getName());
assertNull(INDEX_NO_DESCRIPTION.getDescription());
assertEquals(DESCRIPTION, INDEX_WITH_DESCRIPTION.getDescription());
assertEquals(COMPONENTS, INDEX_NO_DESCRIPTION.getEquityComponents());
assertEquals(COMPONENTS, INDEX_WITH_DESCRIPTION.getEquityComponents());
assertEquals(WEIGHTING_TYPE, INDEX_NO_DESCRIPTION.getWeightingType());
assertEquals(WEIGHTING_TYPE, INDEX_WITH_DESCRIPTION.getWeightingType());
}
}
/**
* Sets the currency, stored in the identifier set.
*
* @param currency the currency to set, null to remove any currency
*/
public void setCurrency(Currency currency) {
setExternalIdBundle(getExternalIdBundle().withoutScheme(ExternalSchemes.ISO_CURRENCY_ALPHA3));
if (currency != null) {
addExternalId(ExternalSchemes.currencyRegionId(currency));
}
}
/**
* Adds conventions for deposits, implied deposits and cash.
*
* @param conventionMaster The convention master, not null
*/
public static synchronized void addFixedIncomeInstrumentConventions(
final ConventionBundleMaster conventionMaster) {
ArgumentChecker.notNull(conventionMaster, "convention master");
final BusinessDayConvention following = BusinessDayConventions.FOLLOWING;
final BusinessDayConvention modified = BusinessDayConventions.MODIFIED_FOLLOWING;
final DayCount act360 = DayCounts.ACT_360;
final DayCount act365 = DayCounts.ACT_365;
final Frequency quarterly =
SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
final ExternalId kr = ExternalSchemes.financialRegionId("KR");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
for (int i = 1; i < 3; i++) {
final String dayDepositName = "KRW DEPOSIT " + i + "d";
final ExternalId dayBbgDeposit = bloombergTickerSecurityId("KWDR" + i + "T Curncy");
final ExternalId daySimpleDeposit = simpleNameSecurityId(dayDepositName);
final String weekDepositName = "KRW DEPOSIT " + i + "w";
final ExternalId weekBbgDeposit = bloombergTickerSecurityId("KWDR" + i + "Z Curncy");
final ExternalId weekSimpleDeposit = simpleNameSecurityId(weekDepositName);
utils.addConventionBundle(
ExternalIdBundle.of(dayBbgDeposit, daySimpleDeposit),
dayDepositName,
act360,
following,
Period.ofDays(i),
0,
false,
kr);
utils.addConventionBundle(
ExternalIdBundle.of(weekBbgDeposit, weekSimpleDeposit),
weekDepositName,
act360,
following,
Period.ofDays(i * 7),
0,
false,
kr);
}
for (int i = 1; i < 12; i++) {
final String depositName = "KRW DEPOSIT " + i + "m";
final ExternalId bbgDeposit =
bloombergTickerSecurityId("KWDR" + BBG_MONTH_CODES[i - 1] + " Curncy");
final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
final String impliedDepositName = "KRW IMPLIED DEPOSIT " + i + "m";
final ExternalId tullettImpliedDeposit =
tullettPrebonSecurityId("AMIDPKRWSPT" + (i < 10 ? "0" : "") + i + "M");
final ExternalId simpleImpliedDeposit = simpleNameSecurityId(impliedDepositName);
utils.addConventionBundle(
ExternalIdBundle.of(bbgDeposit, simpleDeposit),
depositName,
act360,
following,
Period.ofMonths(i),
0,
false,
kr);
utils.addConventionBundle(
ExternalIdBundle.of(tullettImpliedDeposit, simpleImpliedDeposit),
impliedDepositName,
act360,
following,
Period.ofMonths(i),
0,
false,
kr);
}
for (int i = 1; i < 5; i++) {
if (i == 1) {
final String depositName = "KRW IMPLIED DEPOSIT 1y";
final ExternalId tullettImpliedDeposit = tullettPrebonSecurityId("AMIDPKRWSPT12M");
final ExternalId simpleImpliedDeposit = simpleNameSecurityId(depositName);
utils.addConventionBundle(
ExternalIdBundle.of(tullettImpliedDeposit, simpleImpliedDeposit),
depositName,
act360,
following,
Period.ofYears(1),
0,
false,
kr);
}
final String depositName = "KRW DEPOSIT " + i + "y";
final ExternalId bbgDeposit = bloombergTickerSecurityId("KWDR" + i + " Curncy");
final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
utils.addConventionBundle(
ExternalIdBundle.of(bbgDeposit, simpleDeposit),
depositName,
act360,
following,
Period.ofYears(i),
0,
false,
kr);
}
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("KWCDC Curncy"),
bloombergTickerSecurityId("KWCDC Index"),
simpleNameSecurityId("KRW SWAP FIXING 3m")),
"KRW SWAP FIXING 3m",
act365,
modified,
Period.ofMonths(3),
0,
false,
kr);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("KRW_SWAP")),
"KRW_SWAP",
act365,
modified,
quarterly,
2,
kr,
act365,
modified,
quarterly,
2,
simpleNameSecurityId("KRW SWAP FIXING 3m"),
kr,
true);
}
public static synchronized void addFixedIncomeInstrumentConventions(
final ConventionBundleMaster conventionMaster) {
Validate.notNull(conventionMaster, "convention master");
final BusinessDayConvention modified =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
final BusinessDayConvention following =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
final Frequency semiAnnual =
SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
final Frequency quarterly =
SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
final ExternalId ca = ExternalSchemes.financialRegionId("CA");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
// TODO looked at BSYM and the codes seem right but need to check
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD00O/N Index"), simpleNameSecurityId("CAD LIBOR O/N")),
"CAD LIBOR O/N",
act360,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD00S/N Index"), simpleNameSecurityId("CAD LIBOR S/N")),
"CAD LIBOR S/N",
act360,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD00T/N Index"), simpleNameSecurityId("CAD LIBOR T/N")),
"CAD LIBOR T/N",
act360,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0001W Index"), simpleNameSecurityId("CAD LIBOR 1w")),
"CAD LIBOR 1w",
act360,
following,
Period.ofDays(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0002W Index"), simpleNameSecurityId("CAD LIBOR 2w")),
"CAD LIBOR 2w",
act360,
following,
Period.ofDays(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0001M Index"), simpleNameSecurityId("CAD LIBOR 1m")),
"CAD LIBOR 1m",
act360,
following,
Period.ofMonths(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0002M Index"), simpleNameSecurityId("CAD LIBOR 2m")),
"CAD LIBOR 2m",
act360,
following,
Period.ofMonths(2),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0003M Index"), simpleNameSecurityId("CAD LIBOR 3m")),
"CAD LIBOR 3m",
act360,
following,
Period.ofMonths(3),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0004M Index"), simpleNameSecurityId("CAD LIBOR 4m")),
"CAD LIBOR 4m",
act360,
following,
Period.ofMonths(4),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0005M Index"), simpleNameSecurityId("CAD LIBOR 5m")),
"CAD LIBOR 5m",
act360,
following,
Period.ofMonths(5),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0006M Index"), simpleNameSecurityId("CAD LIBOR 6m")),
"CAD LIBOR 6m",
act360,
following,
Period.ofMonths(6),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0007M Index"), simpleNameSecurityId("CAD LIBOR 7m")),
"CAD LIBOR 7m",
act360,
following,
Period.ofMonths(7),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0008M Index"), simpleNameSecurityId("CAD LIBOR 8m")),
"CAD LIBOR 8m",
act360,
following,
Period.ofMonths(8),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0009M Index"), simpleNameSecurityId("CAD LIBOR 9m")),
"CAD LIBOR 9m",
act360,
following,
Period.ofMonths(9),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0010M Index"), simpleNameSecurityId("CAD LIBOR 10m")),
"CAD LIBOR 10m",
act360,
following,
Period.ofMonths(10),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0011M Index"), simpleNameSecurityId("CAD LIBOR 11m")),
"CAD LIBOR 11m",
act360,
following,
Period.ofMonths(11),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0012M Index"), simpleNameSecurityId("CAD LIBOR 12m")),
"CAD LIBOR 12m",
act360,
following,
Period.ofMonths(12),
2,
false,
ca);
// TODO need to check that these are right for deposit rates
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR1T Curncy"), simpleNameSecurityId("CAD DEPOSIT 1d")),
"CAD DEPOSIT 1d",
act365,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR2T Curncy"), simpleNameSecurityId("CAD DEPOSIT 2d")),
"CAD DEPOSIT 2d",
act365,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR3T Curncy"), simpleNameSecurityId("CAD DEPOSIT 3d")),
"CAD DEPOSIT 3d",
act365,
following,
Period.ofDays(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR1Z Curncy"), simpleNameSecurityId("CAD DEPOSIT 1w")),
"CAD DEPOSIT 1w",
act365,
following,
Period.ofDays(7),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR2Z Curncy"), simpleNameSecurityId("CAD DEPOSIT 2w")),
"CAD DEPOSIT 2w",
act365,
following,
Period.ofDays(14),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR3Z Curncy"), simpleNameSecurityId("CAD DEPOSIT 3w")),
"CAD DEPOSIT 3w",
act365,
following,
Period.ofDays(21),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRA Curncy"), simpleNameSecurityId("CAD DEPOSIT 1m")),
"CAD DEPOSIT 1m",
act365,
following,
Period.ofMonths(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRB Curncy"), simpleNameSecurityId("CAD DEPOSIT 2m")),
"CAD DEPOSIT 2m",
act365,
following,
Period.ofMonths(2),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRC Curncy"), simpleNameSecurityId("CAD DEPOSIT 3m")),
"CAD DEPOSIT 3m",
act365,
following,
Period.ofMonths(3),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRD Curncy"), simpleNameSecurityId("CAD DEPOSIT 4m")),
"CAD DEPOSIT 4m",
act365,
following,
Period.ofMonths(4),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRE Curncy"), simpleNameSecurityId("CAD DEPOSIT 5m")),
"CAD DEPOSIT 5m",
act365,
following,
Period.ofMonths(5),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRF Curncy"), simpleNameSecurityId("CAD DEPOSIT 6m")),
"CAD DEPOSIT 6m",
act365,
following,
Period.ofMonths(6),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRG Curncy"), simpleNameSecurityId("CAD DEPOSIT 7m")),
"CAD DEPOSIT 7m",
act365,
following,
Period.ofMonths(7),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRH Curncy"), simpleNameSecurityId("CAD DEPOSIT 8m")),
"CAD DEPOSIT 8m",
act365,
following,
Period.ofMonths(8),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRI Curncy"), simpleNameSecurityId("CAD DEPOSIT 9m")),
"CAD DEPOSIT 9m",
act365,
following,
Period.ofMonths(9),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRJ Curncy"), simpleNameSecurityId("CAD DEPOSIT 10m")),
"CAD DEPOSIT 10m",
act365,
following,
Period.ofMonths(10),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRK Curncy"), simpleNameSecurityId("CAD DEPOSIT 11m")),
"CAD DEPOSIT 11m",
act365,
following,
Period.ofMonths(11),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR1 Curncy"), simpleNameSecurityId("CAD DEPOSIT 1y")),
"CAD DEPOSIT 1y",
act365,
following,
Period.ofYears(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR2 Curncy"), simpleNameSecurityId("CAD DEPOSIT 2y")),
"CAD DEPOSIT 2y",
act365,
following,
Period.ofYears(2),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR3 Curncy"), simpleNameSecurityId("CAD DEPOSIT 3y")),
"CAD DEPOSIT 3y",
act365,
following,
Period.ofYears(3),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR4 Curncy"), simpleNameSecurityId("CAD DEPOSIT 4y")),
"CAD DEPOSIT 4y",
act365,
following,
Period.ofYears(4),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR5 Curncy"), simpleNameSecurityId("CAD DEPOSIT 5y")),
"CAD DEPOSIT 5y",
act365,
following,
Period.ofYears(5),
2,
false,
ca);
// TODO check daycount
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR01 Index"),
bloombergTickerSecurityId("CDOR01 RBC Index"),
simpleNameSecurityId("CDOR 1m")),
"CDOR 1m",
act365,
following,
Period.ofMonths(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR02 Index"),
bloombergTickerSecurityId("CDOR02 RBC Index"),
simpleNameSecurityId("CDOR 2m")),
"CDOR 2m",
act365,
following,
Period.ofMonths(2),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR03 Index"),
bloombergTickerSecurityId("CDOR03 RBC Index"),
simpleNameSecurityId("CDOR 3m")),
"CDOR 3m",
act365,
following,
Period.ofMonths(3),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR06 Index"),
bloombergTickerSecurityId("CDOR06 RBC Index"),
simpleNameSecurityId("CDOR 6m")),
"CDOR 6m",
act365,
following,
Period.ofMonths(6),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR12 Index"),
bloombergTickerSecurityId("CDOR12 RBC Index"),
simpleNameSecurityId("CDOR 12m")),
"CDOR 12m",
act365,
following,
Period.ofMonths(12),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CAONREPO Index"),
simpleNameSecurityId("RBC OVERNIGHT REPO")),
"RBC OVERNIGHT REPO",
act365,
following,
Period.ofDays(1),
0,
false,
ca,
0);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_SWAP")),
"CAD_SWAP",
act365,
modified,
semiAnnual,
0,
ca,
act365,
modified,
quarterly,
0,
simpleNameSecurityId("CDOR 3m"),
ca,
true);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_1Y_SWAP")),
"CAD_1Y_SWAP",
act365,
modified,
annual,
0,
ca,
act365,
modified,
quarterly,
0,
simpleNameSecurityId("CDOR 3m"),
ca,
true);
// Overnight Index Swap Convention have additional flag, publicationLag
final Integer publicationLag = 1;
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_OIS_SWAP")),
"CAD_OIS_SWAP",
act365,
modified,
annual,
0,
ca,
act365,
modified,
annual,
0,
simpleNameSecurityId("RBC OVERNIGHT REPO"),
ca,
true,
publicationLag);
// TODO check the following details - copied from old CAD_FRA
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_3M_FRA")),
"CAD_3M_FRA",
act365,
following,
quarterly,
2,
ca,
act365,
following,
quarterly,
2,
simpleNameSecurityId("CDOR 3m"),
ca,
false);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("USD_6M_FRA")),
"USD_6M_FRA",
act365,
following,
semiAnnual,
2,
ca,
act365,
following,
semiAnnual,
2,
simpleNameSecurityId("CDOR 6m"),
ca,
false);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_FRA")),
"CAD_FRA",
act365,
following,
quarterly,
2,
ca,
act365,
following,
quarterly,
2,
simpleNameSecurityId("CDOR 3m"),
ca,
false);
// TODO according to my information:
// "Floating leg compounded quarterly at CDOR Flat paid semi-annually or annually for 1y"
// Don't know how we're going to put that in
}
public static synchronized void addFixedIncomeInstrumentConventions(
final ConventionBundleMaster conventionMaster) {
ArgumentChecker.notNull(conventionMaster, "convention master");
final BusinessDayConvention following =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
final ExternalId sg = ExternalSchemes.financialRegionId("TR");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
// TODO need to check that these are right for deposit rates
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR1T Curncy"), simpleNameSecurityId("TRY DEPOSIT 1d")),
"TRY DEPOSIT 1d",
act360,
following,
Period.ofDays(1),
0,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR2T Curncy"), simpleNameSecurityId("TRY DEPOSIT 2d")),
"TRY DEPOSIT 2d",
act360,
following,
Period.ofDays(1),
0,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR3T Curncy"), simpleNameSecurityId("TRY DEPOSIT 3d")),
"TRY DEPOSIT 3d",
act360,
following,
Period.ofDays(1),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR1Z Curncy"), simpleNameSecurityId("TRY DEPOSIT 1w")),
"TRY DEPOSIT 1w",
act360,
following,
Period.ofDays(7),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR2Z Curncy"), simpleNameSecurityId("TRY DEPOSIT 2w")),
"TRY DEPOSIT 2w",
act360,
following,
Period.ofDays(14),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR3Z Curncy"), simpleNameSecurityId("TRY DEPOSIT 3w")),
"TRY DEPOSIT 3w",
act360,
following,
Period.ofDays(21),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRA Curncy"), simpleNameSecurityId("TRY DEPOSIT 1m")),
"TRY DEPOSIT 1m",
act360,
following,
Period.ofMonths(1),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRB Curncy"), simpleNameSecurityId("TRY DEPOSIT 2m")),
"TRY DEPOSIT 2m",
act360,
following,
Period.ofMonths(2),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRC Curncy"), simpleNameSecurityId("TRY DEPOSIT 3m")),
"TRY DEPOSIT 3m",
act360,
following,
Period.ofMonths(3),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRD Curncy"), simpleNameSecurityId("TRY DEPOSIT 4m")),
"TRY DEPOSIT 4m",
act360,
following,
Period.ofMonths(4),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRE Curncy"), simpleNameSecurityId("TRY DEPOSIT 5m")),
"TRY DEPOSIT 5m",
act360,
following,
Period.ofMonths(5),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRF Curncy"), simpleNameSecurityId("TRY DEPOSIT 6m")),
"TRY DEPOSIT 6m",
act360,
following,
Period.ofMonths(6),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRG Curncy"), simpleNameSecurityId("TRY DEPOSIT 7m")),
"TRY DEPOSIT 7m",
act360,
following,
Period.ofMonths(7),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRH Curncy"), simpleNameSecurityId("TRY DEPOSIT 8m")),
"TRY DEPOSIT 8m",
act360,
following,
Period.ofMonths(8),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRI Curncy"), simpleNameSecurityId("TRY DEPOSIT 9m")),
"TRY DEPOSIT 9m",
act360,
following,
Period.ofMonths(9),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRJ Curncy"), simpleNameSecurityId("TRY DEPOSIT 10m")),
"TRY DEPOSIT 10m",
act360,
following,
Period.ofMonths(10),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRK Curncy"), simpleNameSecurityId("TRY DEPOSIT 11m")),
"TRY DEPOSIT 11m",
act360,
following,
Period.ofMonths(11),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR1 Curncy"), simpleNameSecurityId("TRY DEPOSIT 1y")),
"TRY DEPOSIT 1y",
act360,
following,
Period.ofYears(1),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR2 Curncy"), simpleNameSecurityId("TRY DEPOSIT 2y")),
"TRY DEPOSIT 2y",
act360,
following,
Period.ofYears(2),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR3 Curncy"), simpleNameSecurityId("TRY DEPOSIT 3y")),
"TRY DEPOSIT 3y",
act360,
following,
Period.ofYears(3),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR4 Curncy"), simpleNameSecurityId("TRY DEPOSIT 4y")),
"TRY DEPOSIT 4y",
act360,
following,
Period.ofYears(4),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR5 Curncy"), simpleNameSecurityId("TRY DEPOSIT 5y")),
"TRY DEPOSIT 5y",
act360,
following,
Period.ofYears(5),
2,
false,
sg);
}
private void addNodes(
final ManageablePortfolioNode rootNode,
final String underlying,
final boolean includeUnderlying,
final Period[] expiries) {
final ExternalId ticker = ExternalSchemes.bloombergTickerSecurityId(underlying);
ManageableSecurity underlyingSecurity = null;
if (includeUnderlying) {
underlyingSecurity = getOrLoadEquity(ticker);
}
final ExternalIdBundle bundle =
underlyingSecurity == null
? ExternalIdBundle.of(ticker)
: underlyingSecurity.getExternalIdBundle();
final HistoricalTimeSeriesInfoDocument timeSeriesInfo = getOrLoadTimeSeries(ticker, bundle);
final double estimatedCurrentStrike = getOrLoadMostRecentPoint(timeSeriesInfo);
final Set<ExternalId> optionChain = getOptionChain(ticker);
// TODO: reuse positions/nodes?
final String longName = underlyingSecurity == null ? "" : underlyingSecurity.getName();
final String formattedName =
MessageFormatter.format("[{}] {}", underlying, longName).getMessage();
final ManageablePortfolioNode equityNode = new ManageablePortfolioNode(formattedName);
final BigDecimal underlyingAmount =
VALUE_OF_UNDERLYING.divide(
BigDecimal.valueOf(estimatedCurrentStrike), BigDecimal.ROUND_HALF_EVEN);
if (includeUnderlying) {
addPosition(equityNode, underlyingAmount, ticker);
}
final TreeMap<LocalDate, Set<BloombergTickerParserEQOption>> optionsByExpiry =
new TreeMap<LocalDate, Set<BloombergTickerParserEQOption>>();
for (final ExternalId optionTicker : optionChain) {
s_logger.debug("Got option {}", optionTicker);
final BloombergTickerParserEQOption optionInfo =
BloombergTickerParserEQOption.getOptionParser(optionTicker);
s_logger.debug("Got option info {}", optionInfo);
final LocalDate key = optionInfo.getExpiry();
Set<BloombergTickerParserEQOption> set = optionsByExpiry.get(key);
if (set == null) {
set = new HashSet<BloombergTickerParserEQOption>();
optionsByExpiry.put(key, set);
}
set.add(optionInfo);
}
final Set<ExternalId> tickersToLoad = new HashSet<ExternalId>();
final BigDecimal expiryCount = BigDecimal.valueOf(expiries.length);
final BigDecimal defaultAmountAtExpiry =
underlyingAmount.divide(expiryCount, BigDecimal.ROUND_DOWN);
final BigDecimal spareAmountAtExpiry = defaultAmountAtExpiry.add(BigDecimal.ONE);
int spareCount =
underlyingAmount.subtract(defaultAmountAtExpiry.multiply(expiryCount)).intValue();
for (final Period bucketPeriod : expiries) {
final ManageablePortfolioNode bucketNode =
new ManageablePortfolioNode(bucketPeriod.toString().substring(1));
final LocalDate nowish =
LocalDate.now()
.withDayOfMonth(
20); // This avoids us picking different options every time this script is run
final LocalDate targetExpiry = nowish.plus(bucketPeriod);
final LocalDate chosenExpiry = optionsByExpiry.floorKey(targetExpiry);
if (chosenExpiry == null) {
s_logger.info("No options for {} on {}", targetExpiry, underlying);
continue;
}
s_logger.info(
"Using time {} for bucket {} ({})",
new Object[] {chosenExpiry, bucketPeriod, targetExpiry});
final Set<BloombergTickerParserEQOption> optionsAtExpiry = optionsByExpiry.get(chosenExpiry);
final TreeMap<Double, Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>>
optionsByStrike = new TreeMap<>();
for (final BloombergTickerParserEQOption option : optionsAtExpiry) {
// s_logger.info("option {}", option);
final double key = option.getStrike();
Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption> pair =
optionsByStrike.get(key);
if (pair == null) {
pair = Pair.of(null, null);
}
if (option.getOptionType() == OptionType.CALL) {
pair = Pair.of(option, pair.getSecond());
} else {
pair = Pair.of(pair.getFirst(), option);
}
optionsByStrike.put(key, pair);
}
// cascading collar?
final BigDecimal amountAtExpiry =
spareCount-- > 0 ? spareAmountAtExpiry : defaultAmountAtExpiry;
s_logger.info(" est strike {}", estimatedCurrentStrike);
final Double[] strikes = optionsByStrike.keySet().toArray(new Double[0]);
int strikeIndex = Arrays.binarySearch(strikes, estimatedCurrentStrike);
if (strikeIndex < 0) {
strikeIndex = -(1 + strikeIndex);
}
s_logger.info(
"strikes length {} index {} strike of index {}",
new Object[] {
Integer.valueOf(strikes.length),
Integer.valueOf(strikeIndex),
Double.valueOf(strikes[strikeIndex])
});
int minIndex = strikeIndex - _numOptions;
minIndex = Math.max(0, minIndex);
int maxIndex = strikeIndex + _numOptions;
maxIndex = Math.min(strikes.length - 1, maxIndex);
s_logger.info("min {} max {}", Integer.valueOf(minIndex), Integer.valueOf(maxIndex));
final StringBuffer sb = new StringBuffer("strikes: [");
for (int j = minIndex; j <= maxIndex; j++) {
sb.append(" ");
sb.append(strikes[j]);
}
sb.append(" ]");
s_logger.info(sb.toString());
// Short Calls
final ArrayList<Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>> calls =
new ArrayList<Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>>();
for (int j = minIndex; j < strikeIndex; j++) {
final Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption> pair =
optionsByStrike.get(strikes[j]);
if (pair == null) {
throw new OpenGammaRuntimeException("no pair for strike" + strikes[j]);
}
calls.add(pair);
}
spreadOptions(
bucketNode,
calls,
OptionType.CALL,
-1,
tickersToLoad,
amountAtExpiry,
includeUnderlying,
calls.size());
// Long Puts
final ArrayList<Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>> puts =
new ArrayList<Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>>();
for (int j = strikeIndex + 1; j <= maxIndex; j++) {
final Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption> pair =
optionsByStrike.get(strikes[j]);
if (pair == null) {
throw new OpenGammaRuntimeException("no pair for strike" + strikes[j]);
}
puts.add(pair);
}
spreadOptions(
bucketNode,
puts,
OptionType.PUT,
1,
tickersToLoad,
amountAtExpiry,
includeUnderlying,
puts.size());
if (bucketNode.getChildNodes().size() + bucketNode.getPositionIds().size() > 0) {
equityNode.addChildNode(bucketNode); // Avoid generating empty nodes
}
}
for (final ExternalId optionTicker : tickersToLoad) {
final ManageableSecurity loaded = getOrLoadSecurity(optionTicker);
if (loaded == null) {
throw new OpenGammaRuntimeException("Unexpected option type " + loaded);
}
// TODO [LAPANA-29] Should be able to do this for index options too
if (includeUnderlying) {
try {
final HistoricalTimeSeriesInfoDocument loadedTs =
getOrLoadTimeSeries(optionTicker, loaded.getExternalIdBundle());
if (loadedTs == null) {
throw new OpenGammaRuntimeException("Failed to get time series for " + loaded);
}
} catch (final Exception ex) {
s_logger.info("Failed to get time series for " + loaded, ex);
}
}
}
if (equityNode.getPositionIds().size() + equityNode.getChildNodes().size() > 0) {
rootNode.addChildNode(equityNode);
}
}
/**
* Parses the specified file to populate the master.
*
* @param in the input reader to read, not closed, not null
*/
public void parse(Reader in) {
String name = null;
try {
Map<String, ManageableRegion> regions = new HashMap<String, ManageableRegion>();
Map<UniqueId, Set<String>> subRegions = new HashMap<UniqueId, Set<String>>();
// open CSV file
@SuppressWarnings("resource")
CSVReader reader = new CSVReader(in);
List<String> columns = Arrays.asList(reader.readNext());
// identify columns
final int nameColumnIdx = columns.indexOf(NAME_COLUMN);
final int formalNameColumnIdx = columns.indexOf(FORMAL_NAME_COLUMN);
final int classificationColumnIdx = columns.indexOf(CLASSIFICATION_COLUMN);
final int sovereignityColumnIdx = columns.indexOf(SOVEREIGNITY_COLUMN);
final int countryColumnIdx = columns.indexOf(ISO_COUNTRY_2_COLUMN);
final int currencyColumnIdx = columns.indexOf(ISO_CURRENCY_3_COLUMN);
final int subRegionsColumnIdx = columns.indexOf(SUB_REGIONS_COLUMN);
// parse
String[] row = null;
while ((row = reader.readNext()) != null) {
name = row[nameColumnIdx].trim(); // the primary key
String fullName = StringUtils.trimToNull(row[formalNameColumnIdx]);
if (fullName == null) {
fullName = name;
}
RegionClassification classification =
RegionClassification.valueOf(row[classificationColumnIdx].trim());
String sovereignity = StringUtils.trimToNull(row[sovereignityColumnIdx]);
String countryISO = StringUtils.trimToNull(row[countryColumnIdx]);
String currencyISO = StringUtils.trimToNull(row[currencyColumnIdx]);
Set<String> rowSubRegions =
new HashSet<String>(Arrays.asList(row[subRegionsColumnIdx].split(";")));
rowSubRegions = trim(rowSubRegions);
ManageableRegion region = new ManageableRegion();
region.setClassification(classification);
region.setName(name);
region.setFullName(fullName);
if (countryISO != null) {
region.setCountry(Country.of(countryISO));
region.addExternalId(ExternalSchemes.financialRegionId(countryISO)); // TODO: looks odd
}
if (currencyISO != null) {
region.setCurrency(Currency.of(currencyISO));
}
if (sovereignity != null) {
ManageableRegion parent = regions.get(sovereignity);
if (parent == null) {
throw new OpenGammaRuntimeException(
"Cannot find parent '" + sovereignity + "' for '" + name + "'");
}
region.getParentRegionIds().add(parent.getUniqueId());
}
for (Entry<UniqueId, Set<String>> entry : subRegions.entrySet()) {
if (entry.getValue().remove(name)) {
region.getParentRegionIds().add(entry.getKey());
}
}
// store
RegionDocument doc = getRegionMaster().add(new RegionDocument(region));
if (rowSubRegions.size() > 0) {
subRegions.put(doc.getUniqueId(), rowSubRegions);
}
regions.put(name, region);
}
for (Set<String> set : subRegions.values()) {
if (set.size() > 0) {
throw new OpenGammaRuntimeException("Cannot find children: " + set);
}
}
} catch (Exception ex) {
String detail = (name != null ? " while processing " + name : "");
throw new OpenGammaRuntimeException(
"Cannot open region data file (or file I/O problem)" + detail, ex);
}
}
/**
* Sets the time-zone, stored in the identifier set.
*
* @param timeZone the time-zone to set, null to remove any time-zone
*/
public void setTimeZone(TimeZone timeZone) {
setExternalIdBundle(getExternalIdBundle().withoutScheme(ExternalSchemes.TZDB_TIME_ZONE));
if (timeZone != null) {
addExternalId(ExternalSchemes.timeZoneRegionId(timeZone));
}
}
/**
* Sets the country, stored in the identifier set.
*
* @param country the country to set, null to remove any defined country
*/
public void setCountry(Country country) {
setExternalIdBundle(getExternalIdBundle().withoutScheme(ExternalSchemes.ISO_CURRENCY_ALPHA3));
if (country != null) {
addExternalId(ExternalSchemes.countryRegionId(country));
}
}
/**
* Source of random, but reasonable, FX security instances.
*
* @param <T> the sub-type of the security
*/
public abstract class AbstractFXSecurityGenerator<T extends ManageableSecurity>
extends SecurityGenerator<T> {
private static final ExternalId REGION = ExternalSchemes.countryRegionId(Country.US);
private static final double NOTIONAL = 100000;
private static final DecimalFormat RATE_FORMATTER = new DecimalFormat("###.######");
private static final DecimalFormat NOTIONAL_FORMATTER = new DecimalFormat("########.###");
/** Structured random information for creating the security. */
protected class Bundle {
private final boolean _long;
private final boolean _up;
private final Currency _firstCurrency;
private final Currency _secondCurrency;
private final Currency _paymentCurrency;
private final int _daysOffset;
private final ZonedDateTime _tradeDate;
public Bundle() {
_long = getRandom().nextBoolean();
_up = getRandom().nextBoolean();
_firstCurrency = getRandomCurrency();
Currency secondCurrency;
do {
secondCurrency = getRandomCurrency();
} while (secondCurrency == _firstCurrency);
_secondCurrency = secondCurrency;
_daysOffset = 100 + getRandom().nextInt(600);
_tradeDate =
previousWorkingDay(
ZonedDateTime.now().minusDays(getRandom(30)), _firstCurrency, _secondCurrency);
_paymentCurrency = getRandom().nextBoolean() ? _firstCurrency : _secondCurrency;
}
}
protected Bundle createBundle() {
return new Bundle();
}
protected FXBarrierOptionSecurity createFXBarrierOptionSecurity(final Bundle bundle) {
final Currency putCurrency = bundle._firstCurrency;
final Currency callCurrency = bundle._secondCurrency;
final double putAmount = putCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
final ZonedDateTime settlementDate =
nextWorkingDay(
bundle._tradeDate.plusDays(bundle._daysOffset),
bundle._firstCurrency,
bundle._secondCurrency);
final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
final Double fxRate =
getApproxFXRate(
settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
if (fxRate == null) {
return null;
}
final double callAmount = NOTIONAL * fxRate;
final String dateString = settlementDate.toString(DATE_FORMATTER);
final BarrierType barrierType = bundle._up ? BarrierType.UP : BarrierType.DOWN;
final BarrierDirection barrierDirection = BarrierDirection.KNOCK_IN;
final MonitoringType monitoringType = MonitoringType.CONTINUOUS;
final SamplingFrequency samplingFrequency = SamplingFrequency.DAILY_CLOSE;
final double barrierLevel = bundle._up ? fxRate * 1.5 : fxRate / 1.5;
final FXBarrierOptionSecurity fxBarrierOptionSecurity =
new FXBarrierOptionSecurity(
putCurrency,
callCurrency,
putAmount,
callAmount,
expiry,
settlementDate,
barrierType,
barrierDirection,
monitoringType,
samplingFrequency,
barrierLevel,
bundle._long);
final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
final String barrierLevelString = RATE_FORMATTER.format(barrierLevel);
final String barrierUnitString = callCurrency + "/" + putCurrency;
fxBarrierOptionSecurity.setName(
(bundle._long ? "Long " : "Short ")
+ (bundle._up ? "up" : "down")
+ " knock-in at "
+ barrierLevelString
+ " "
+ barrierUnitString
+ ", put "
+ putCurrency
+ " "
+ putAmountString
+ ", call "
+ callCurrency
+ " "
+ callAmountString
+ " on "
+ dateString);
return fxBarrierOptionSecurity;
}
protected FXDigitalOptionSecurity createFXDigitalOptionSecurity(final Bundle bundle) {
final Currency putCurrency = bundle._firstCurrency;
final Currency callCurrency = bundle._secondCurrency;
final Currency paymentCurrency = bundle._paymentCurrency;
final double putAmount = putCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
final ZonedDateTime expiry =
nextWorkingDay(bundle._tradeDate.plusDays(bundle._daysOffset), putCurrency, callCurrency);
final Double rate = getApproxFXRate(expiry.toLocalDate(), Pair.of(putCurrency, callCurrency));
if (rate == null) {
return null;
}
final double callAmount = rate * NOTIONAL;
final ZonedDateTime settlementDate =
nextWorkingDay(expiry.plusDays(2), putCurrency, callCurrency);
final FXDigitalOptionSecurity security =
new FXDigitalOptionSecurity(
putCurrency,
callCurrency,
putAmount,
callAmount,
paymentCurrency,
new Expiry(expiry),
settlementDate,
bundle._long);
final StringBuilder sb = new StringBuilder("Digital ");
sb.append(bundle._long ? "Long" : "Short");
sb.append(" put ").append(putCurrency).append(' ').append(NOTIONAL_FORMATTER.format(putAmount));
sb.append(", call ")
.append(callCurrency)
.append(' ')
.append(NOTIONAL_FORMATTER.format(callAmount));
sb.append(" on ").append(expiry.toString(DATE_FORMATTER));
security.setName(sb.toString());
return security;
}
protected FXForwardSecurity createFXForwardSecurity(final Bundle bundle) {
final double putAmount = bundle._firstCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
final ZonedDateTime forwardDate =
nextWorkingDay(
bundle._tradeDate.plusDays(bundle._daysOffset),
bundle._firstCurrency,
bundle._secondCurrency);
final Double fxRate =
getApproxFXRate(
forwardDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
if (fxRate == null) {
return null;
}
final double callAmount = NOTIONAL * fxRate;
final Currency payCurrency = bundle._long ? bundle._secondCurrency : bundle._firstCurrency;
final Currency receiveCurrency = bundle._long ? bundle._firstCurrency : bundle._secondCurrency;
final String dateString = forwardDate.toString(DATE_FORMATTER);
final FXForwardSecurity fxForwardSecurity =
new FXForwardSecurity(
payCurrency, callAmount, receiveCurrency, putAmount, forwardDate, REGION);
final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
fxForwardSecurity.setName(
"Pay "
+ payCurrency
+ " "
+ callAmountString
+ ", receive "
+ receiveCurrency
+ " "
+ putAmountString
+ " on "
+ dateString);
return fxForwardSecurity;
}
protected FXOptionSecurity createFXOptionSecurity(final Bundle bundle) {
final Currency putCurrency = bundle._firstCurrency;
final Currency callCurrency = bundle._secondCurrency;
final double putAmount = bundle._firstCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
final ZonedDateTime settlementDate = bundle._tradeDate.plusDays(bundle._daysOffset);
final Double fxRate =
getApproxFXRate(
settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
if (fxRate == null) {
return null;
}
final double callAmount = NOTIONAL * fxRate;
final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
final String dateString = settlementDate.toString(DATE_FORMATTER);
final FXOptionSecurity fxOptionSecurity =
new FXOptionSecurity(
putCurrency,
callCurrency,
putAmount,
callAmount,
expiry,
settlementDate,
bundle._long,
new EuropeanExerciseType());
final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
fxOptionSecurity.setName(
(bundle._long ? "Long " : "Short ")
+ "put "
+ putCurrency
+ " "
+ putAmountString
+ ", call "
+ callCurrency
+ " "
+ callAmountString
+ " on "
+ dateString);
return fxOptionSecurity;
}
protected ManageableTrade createFXBarrierOptionSecurityTrade(
final Bundle bundle, final BigDecimal quantity, final SecurityPersister persister) {
final FXBarrierOptionSecurity security = createFXBarrierOptionSecurity(bundle);
if (security == null) {
return null;
}
return new ManageableTrade(
quantity,
persister.storeSecurity(security),
bundle._tradeDate.toLocalDate(),
bundle._tradeDate.toOffsetTime(),
ExternalId.of("ID", "COUNTERPARTY"));
}
protected ManageableTrade createFXDigitalOptionSecurityTrade(
final Bundle bundle, final BigDecimal quantity, final SecurityPersister persister) {
final FXDigitalOptionSecurity security = createFXDigitalOptionSecurity(bundle);
if (security == null) {
return null;
}
return new ManageableTrade(
quantity,
persister.storeSecurity(security),
bundle._tradeDate.toLocalDate(),
bundle._tradeDate.toOffsetTime(),
ExternalId.of("ID", "COUNTERPARTY"));
}
protected ManageableTrade createFXForwardSecurityTrade(
final Bundle bundle, final BigDecimal quantity, final SecurityPersister persister) {
final FXForwardSecurity security = createFXForwardSecurity(bundle);
if (security == null) {
return null;
}
return new ManageableTrade(
quantity,
persister.storeSecurity(security),
bundle._tradeDate.toLocalDate(),
bundle._tradeDate.toOffsetTime(),
ExternalId.of("ID", "COUNTERPARTY"));
}
protected ManageableTrade createFXOptionSecurityTrade(
final Bundle bundle, final BigDecimal quantity, final SecurityPersister persister) {
final FXOptionSecurity security = createFXOptionSecurity(bundle);
if (security == null) {
return null;
}
return new ManageableTrade(
quantity,
persister.storeSecurity(security),
bundle._tradeDate.toLocalDate(),
bundle._tradeDate.toOffsetTime(),
ExternalId.of("ID", "COUNTERPARTY"));
}
}
/**
* Get US bond future security for testing
*
* @return the bond future security
*/
public static BondFutureSecurity getBondFutureSecurity() {
Expiry expiry =
new Expiry(
ZonedDateTime.of(LocalDateTime.of(2010, Month.JUNE, 21, 19, 0), ZoneOffset.UTC),
ExpiryAccuracy.MIN_HOUR_DAY_MONTH_YEAR);
Set<BondFutureDeliverable> basket = new HashSet<BondFutureDeliverable>();
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EV6")), 1.0858));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FB9")), 1.0132));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810PX0")), 0.7984));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FG8")), 0.9169));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QD3")), 0.7771));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FF0")), 0.9174));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810PW2")), 0.7825));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FE3")), 0.9454));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QH4")), 0.7757));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810PU6")), 0.8675));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EX2")), 1.0765));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FT0")), 0.8054));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FJ2")), 1.0141));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810PT9")), 0.8352));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QE1")), 0.8109));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FP8")), 0.9268));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QA9")), 0.6606));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FM5")), 1.0286));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EY0")), 1.0513));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QB7")), 0.7616));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QC5")), 0.795));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EZ7")), 1.0649));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EW4")), 1.0));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FA1")), 1.0396));
BondFutureSecurity sec =
new BondFutureSecurity(
expiry,
"XCBT",
"XCBT",
Currency.USD,
1000,
basket,
LocalDate.of(2010, 6, 01).atStartOfDay(ZoneOffset.UTC),
LocalDate.of(2010, 6, 01).atStartOfDay(ZoneOffset.UTC),
"Bond");
sec.setName("US LONG BOND(CBT) Jun10");
Set<ExternalId> identifiers = new HashSet<ExternalId>();
identifiers.add(ExternalSchemes.bloombergBuidSecurityId("IX8530684-0"));
identifiers.add(ExternalSchemes.cusipSecurityId("USM10"));
identifiers.add(ExternalSchemes.bloombergTickerSecurityId("USM10 Comdty"));
sec.setExternalIdBundle(ExternalIdBundle.of(identifiers));
return sec;
}
