private void addNodes( ManageablePortfolioNode rootNode, String underlying, boolean includeUnderlying, Period[] expiries) { ExternalId ticker = ExternalSchemes.bloombergTickerSecurityId(underlying); ManageableSecurity underlyingSecurity = null; if (includeUnderlying) { underlyingSecurity = getOrLoadEquity(ticker); } ExternalIdBundle bundle = underlyingSecurity == null ? ExternalIdBundle.of(ticker) : underlyingSecurity.getExternalIdBundle(); HistoricalTimeSeriesInfoDocument timeSeriesInfo = getOrLoadTimeSeries(ticker, bundle); double estimatedCurrentStrike = getOrLoadMostRecentPoint(timeSeriesInfo); Set<ExternalId> optionChain = getOptionChain(ticker); // TODO: reuse positions/nodes? String longName = underlyingSecurity == null ? "" : underlyingSecurity.getName(); String formattedName = MessageFormatter.format("[{}] {}", underlying, longName); ManageablePortfolioNode equityNode = new ManageablePortfolioNode(formattedName); BigDecimal underlyingAmount = VALUE_OF_UNDERLYING.divide( BigDecimal.valueOf(estimatedCurrentStrike), BigDecimal.ROUND_HALF_EVEN); if (includeUnderlying) { addPosition(equityNode, underlyingAmount, ticker); } TreeMap<LocalDate, Set<BloombergTickerParserEQOption>> optionsByExpiry = new TreeMap<LocalDate, Set<BloombergTickerParserEQOption>>(); for (ExternalId optionTicker : optionChain) { s_logger.debug("Got option {}", optionTicker); BloombergTickerParserEQOption optionInfo = BloombergTickerParserEQOption.getOptionParser(optionTicker); s_logger.debug("Got option info {}", optionInfo); LocalDate key = optionInfo.getExpiry(); Set<BloombergTickerParserEQOption> set = optionsByExpiry.get(key); if (set == null) { set = new HashSet<BloombergTickerParserEQOption>(); optionsByExpiry.put(key, set); } set.add(optionInfo); } Set<ExternalId> tickersToLoad = new HashSet<ExternalId>(); BigDecimal expiryCount = BigDecimal.valueOf(expiries.length); BigDecimal defaultAmountAtExpiry = underlyingAmount.divide(expiryCount, BigDecimal.ROUND_DOWN); BigDecimal spareAmountAtExpiry = defaultAmountAtExpiry.add(BigDecimal.ONE); int spareCount = underlyingAmount.subtract(defaultAmountAtExpiry.multiply(expiryCount)).intValue(); for (int i = 0; i < expiries.length; i++) { Period bucketPeriod = expiries[i]; ManageablePortfolioNode bucketNode = new ManageablePortfolioNode(bucketPeriod.toString().substring(1)); LocalDate nowish = LocalDate.now() .withDayOfMonth( 20); // This avoids us picking different options every time this script is run LocalDate targetExpiry = nowish.plus(bucketPeriod); LocalDate chosenExpiry = optionsByExpiry.floorKey(targetExpiry); if (chosenExpiry == null) { s_logger.warn("No options for {} on {}", targetExpiry, underlying); continue; } s_logger.info( "Using time {} for bucket {} ({})", new Object[] {chosenExpiry, bucketPeriod, targetExpiry}); Set<BloombergTickerParserEQOption> optionsAtExpiry = optionsByExpiry.get(chosenExpiry); TreeMap<Double, Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>> optionsByStrike = new TreeMap< Double, Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>>(); for (BloombergTickerParserEQOption option : optionsAtExpiry) { // s_logger.info("option {}", option); 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? BigDecimal amountAtExpiry = spareCount-- > 0 ? spareAmountAtExpiry : defaultAmountAtExpiry; s_logger.info(" est strike {}", estimatedCurrentStrike); 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)); 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 ArrayList<Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>> calls = new ArrayList<Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>>(); for (int j = minIndex; j < strikeIndex; j++) { 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 ArrayList<Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>> puts = new ArrayList<Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption>>(); for (int j = strikeIndex + 1; j <= maxIndex; j++) { 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 (ExternalId optionTicker : tickersToLoad) { 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 { HistoricalTimeSeriesInfoDocument loadedTs = getOrLoadTimeSeries(optionTicker, loaded.getExternalIdBundle()); if (loadedTs == null) { throw new OpenGammaRuntimeException("Failed to get time series for " + loaded); } } catch (Exception ex) { s_logger.error("Failed to get time series for " + loaded, ex); } } } if (equityNode.getPositionIds().size() + equityNode.getChildNodes().size() > 0) { rootNode.addChildNode(equityNode); } }