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");
}
@Override
public Map<JmsTopicNameResolveRequest, String> resolve(
Collection<JmsTopicNameResolveRequest> requests) {
Map<JmsTopicNameResolveRequest, String> returnValue =
new HashMap<JmsTopicNameResolveRequest, String>();
Map<String, Collection<JmsTopicNameResolveRequest>> lookupKey2Requests =
new HashMap<String, Collection<JmsTopicNameResolveRequest>>();
for (JmsTopicNameResolveRequest request : requests) {
ExternalId marketDataUniqueId = request.getMarketDataUniqueId();
if (!marketDataUniqueId.getScheme().equals(SecurityUtils.BLOOMBERG_BUID)) {
s_logger.info("No Bloomberg BUID found, was given: " + marketDataUniqueId);
returnValue.put(request, null);
continue;
}
String lookupKey = BloombergDomainIdentifierResolver.toBloombergKey(marketDataUniqueId);
Collection<JmsTopicNameResolveRequest> requestsForLookupKey =
lookupKey2Requests.get(lookupKey);
if (requestsForLookupKey == null) {
requestsForLookupKey = new ArrayList<JmsTopicNameResolveRequest>();
lookupKey2Requests.put(lookupKey, requestsForLookupKey);
}
requestsForLookupKey.add(request);
}
if (!lookupKey2Requests.keySet().isEmpty()) {
ReferenceDataResult referenceData =
_referenceDataProvider.getFields(
lookupKey2Requests.keySet(), BloombergConstants.JMS_TOPIC_NAME_RESOLVER_FIELDS);
for (Map.Entry<String, Collection<JmsTopicNameResolveRequest>> entry :
lookupKey2Requests.entrySet()) {
String lookupKey = entry.getKey();
PerSecurityReferenceDataResult result = referenceData.getResult(lookupKey);
for (JmsTopicNameResolveRequest request : entry.getValue()) {
String jmsTopicName = getJmsTopicName(request, result);
returnValue.put(request, jmsTopicName);
}
}
}
return returnValue;
}
// -------------------------------------------------------------------------
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;
}