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 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;
}
/**
* Creates the output root data.
*
* @return the output root data, not null
*/
protected FlexiBean createRootData() {
FlexiBean out = super.createRootData();
HolidayDocument latestDoc = data().getHoliday();
HolidayDocument versionedHoliday = data().getVersioned();
out.put("latestHolidayDoc", latestDoc);
out.put("latestHoliday", latestDoc.getHoliday());
out.put("holidayDoc", versionedHoliday);
out.put("holiday", versionedHoliday.getHoliday());
out.put("deleted", !latestDoc.isLatest());
List<Pair<Year, List<LocalDate>>> map = new ArrayList<Pair<Year, List<LocalDate>>>();
List<LocalDate> dates = versionedHoliday.getHoliday().getHolidayDates();
if (dates.size() > 0) {
int year = dates.get(0).getYear();
int start = 0;
int pos = 0;
for (; pos < dates.size(); pos++) {
if (dates.get(pos).getYear() == year) {
continue;
}
map.add(Pair.of(Year.of(year), dates.subList(start, pos)));
year = dates.get(pos).getYear();
start = pos;
}
map.add(Pair.of(Year.of(year), dates.subList(start, pos)));
}
out.put("holidayDatesByYear", map);
return out;
}
private static void populateVolatilitySurfaceDefinitions(
final ConfigMaster configMaster, final UniqueIdentifiable target) {
final Tenor[] expiryTenors =
new Tenor[] {
Tenor.ofDays(7),
Tenor.ofDays(14),
Tenor.ofDays(21),
Tenor.ofMonths(1),
Tenor.ofMonths(3),
Tenor.ofMonths(6),
Tenor.ofMonths(9),
Tenor.ofYears(1),
Tenor.ofYears(5),
Tenor.ofYears(10)
};
@SuppressWarnings("unchecked")
final Pair<Number, FXVolQuoteType>[] deltaAndTypes =
new Pair[] {
Pair.of(25, FXVolQuoteType.BUTTERFLY),
Pair.of(25, FXVolQuoteType.RISK_REVERSAL),
Pair.of(15, FXVolQuoteType.BUTTERFLY),
Pair.of(15, FXVolQuoteType.RISK_REVERSAL),
Pair.of(0, FXVolQuoteType.ATM)
};
final VolatilitySurfaceDefinition<Tenor, Pair<Number, FXVolQuoteType>> volSurfaceDefinition =
new VolatilitySurfaceDefinition<Tenor, Pair<Number, FXVolQuoteType>>(
"SECONDARY_EURUSD_" + InstrumentTypeProperties.FOREX,
target,
expiryTenors,
deltaAndTypes);
ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(volSurfaceDefinition));
}
@SuppressWarnings("unchecked")
@Test
public void expandedRagged() {
Tenor[] xs =
new Tenor[] {Tenor.DAY, Tenor.ONE_WEEK, Tenor.TWO_WEEKS, Tenor.TWO_WEEKS, Tenor.ONE_MONTH};
Tenor[] ys =
new Tenor[] {
Tenor.ONE_YEAR, Tenor.ONE_YEAR, Tenor.ONE_YEAR, Tenor.TWO_YEARS, Tenor.TWO_YEARS
};
double[] vols = new double[] {10, 11, 12, 13, 14};
Map<Pair<Tenor, Tenor>, Double> values = Maps.newHashMap();
for (int i = 0; i < xs.length; i++) {
values.put(Pair.of(xs[i], ys[i]), vols[i]);
}
String name = "test";
UniqueIdentifiable target = Currency.USD;
VolatilitySurfaceData<Tenor, Tenor> data =
new VolatilitySurfaceData<>(name, name, target, xs, ys, values);
Map<String, Object> map =
(Map<String, Object>)
new VolatilitySurfaceDataFormatter()
.format(data, null, TypeFormatter.Format.EXPANDED, null);
assertEquals(
Lists.newArrayList("1D", "7D", "14D", "1M"), map.get(SurfaceFormatterUtils.X_LABELS));
assertEquals(Lists.newArrayList("1Y", "2Y"), map.get(SurfaceFormatterUtils.Y_LABELS));
assertEquals(
Lists.newArrayList(10d, 11d, 12d, null, null, null, 13d, 14d),
map.get(SurfaceFormatterUtils.VOL));
}
@Override
public synchronized YieldCurveDefinitionDocument update(YieldCurveDefinitionDocument document) {
ArgumentChecker.notNull(document, "document");
ArgumentChecker.notNull(document.getYieldCurveDefinition(), "document.yieldCurveDefinition");
final Currency currency = document.getYieldCurveDefinition().getCurrency();
final String name = document.getYieldCurveDefinition().getName();
final UniqueId uid = UniqueId.of(getUniqueIdScheme(), name + "_" + currency.getCode());
if (!uid.equals(document.getUniqueId())) {
throw new IllegalArgumentException("Invalid unique identifier");
}
final Pair<Currency, String> key = Pair.of(currency, name);
final TreeMap<Instant, YieldCurveDefinition> value = _definitions.get(key);
if (value == null) {
throw new DataNotFoundException("UID '" + uid + "' not found");
}
if (_sourceVersionCorrection.getVersionAsOf() != null) {
// Don't need to keep the old values before the one needed by "versionAsOfInstant"
final Instant oldestNeeded = value.floorKey(_sourceVersionCorrection.getVersionAsOf());
value.headMap(oldestNeeded).clear();
} else {
// Don't need any old values
value.clear();
}
Instant now = Instant.now();
value.put(now, document.getYieldCurveDefinition());
document.setUniqueId(uid);
changeManager().entityChanged(ChangeType.CHANGED, uid.getObjectId(), null, null, now);
return document;
}
// -------------------------------------------------------------------------
@Override
public synchronized YieldCurveDefinitionDocument add(YieldCurveDefinitionDocument document) {
ArgumentChecker.notNull(document, "document");
ArgumentChecker.notNull(document.getYieldCurveDefinition(), "document.yieldCurveDefinition");
final Currency currency = document.getYieldCurveDefinition().getCurrency();
final String name = document.getYieldCurveDefinition().getName();
final Pair<Currency, String> key = Pair.of(currency, name);
if (_definitions.containsKey(key)) {
throw new IllegalArgumentException("Duplicate definition");
}
final TreeMap<Instant, YieldCurveDefinition> value =
new TreeMap<Instant, YieldCurveDefinition>();
Instant now = Instant.now();
value.put(now, document.getYieldCurveDefinition());
_definitions.put(key, value);
final UniqueId uid = UniqueId.of(getUniqueIdScheme(), name + "_" + currency.getCode());
document.setUniqueId(uid);
changeManager()
.entityChanged(
ChangeType.ADDED,
document.getObjectId(),
document.getVersionFromInstant(),
document.getVersionToInstant(),
now);
return document;
}
@Override
public CurveBuildingBlockBundle buildObject(
final FudgeDeserializer deserializer, final FudgeMsg message) {
final List<FudgeField> curveNames = message.getAllByName(CURVE_NAME_FIELD);
final List<FudgeField> blocks = message.getAllByName(BLOCK_FIELD);
final List<FudgeField> matrices = message.getAllByName(MATRIX_FIELD);
final int n = curveNames.size();
if (blocks.size() != n) {
throw new IllegalStateException(
"Should have one block for each curve name; have " + curveNames + " and " + blocks);
}
if (matrices.size() != n) {
throw new IllegalStateException(
"Should have one matrix for each curve name; have " + curveNames + " and " + matrices);
}
final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> data =
new LinkedHashMap<>();
for (int i = 0; i < n; i++) {
final String curveName = (String) curveNames.get(i).getValue();
final CurveBuildingBlock block =
deserializer.fieldValueToObject(CurveBuildingBlock.class, blocks.get(i));
final DoubleMatrix2D m =
new DoubleMatrix2D(deserializer.fieldValueToObject(double[][].class, matrices.get(i)));
data.put(curveName, Pair.of(block, m));
}
return new CurveBuildingBlockBundle(data);
}
@Override
public CurveBuildingBlock buildObject(
final FudgeDeserializer deserializer, final FudgeMsg message) {
final List<FudgeField> curveNames = message.getAllByName(CURVE_NAME_FIELD);
final List<FudgeField> startIndices = message.getAllByName(START_INDEX_FIELD);
final int n = curveNames.size();
if (startIndices.size() != n) {
throw new IllegalStateException(
"Should have one start index for each curve name; have "
+ curveNames
+ " and "
+ startIndices);
}
final List<FudgeField> numbers = message.getAllByName(NUMBER_FIELD);
if (numbers.size() != n) {
throw new IllegalStateException(
"Should have one parameter number for each curve name; have "
+ curveNames
+ " and "
+ numbers);
}
final LinkedHashMap<String, Pair<Integer, Integer>> data = new LinkedHashMap<>();
for (int i = 0; i < n; i++) {
final String curveName = (String) curveNames.get(i).getValue();
final Integer startIndex = ((Number) startIndices.get(i).getValue()).intValue();
final Integer number = ((Number) numbers.get(i).getValue()).intValue();
data.put(curveName, Pair.of(startIndex, number));
}
return new CurveBuildingBlock(data);
}
@SuppressWarnings("unchecked")
public Pair<ResolveTask[], ResolvedValueProducer[]> getTasksProducing(
final ValueSpecification valueSpecification) {
do {
final MapEx<ResolveTask, ResolvedValueProducer> tasks =
getBuilder().getTasks(valueSpecification);
if (tasks != null) {
final ResolveTask[] resultTasks;
final ResolvedValueProducer[] resultProducers;
synchronized (tasks) {
if (tasks.containsKey(null)) {
continue;
}
if (tasks.isEmpty()) {
return null;
}
resultTasks = new ResolveTask[tasks.size()];
resultProducers = new ResolvedValueProducer[tasks.size()];
int i = 0;
for (final Map.Entry<ResolveTask, ResolvedValueProducer> task :
(Set<Map.Entry<ResolveTask, ResolvedValueProducer>>) tasks.entrySet()) {
// Don't ref-count the tasks; they're just used for parent comparisons
resultTasks[i] = task.getKey();
resultProducers[i++] = task.getValue();
task.getValue().addRef(); // We're holding the task lock
}
}
return Pair.of(resultTasks, resultProducers);
} else {
return null;
}
} while (true);
}
@Override
public synchronized YieldCurveDefinitionDocument get(
ObjectIdentifiable objectIdable, VersionCorrection versionCorrection) {
ArgumentChecker.notNull(objectIdable, "objectIdable");
ObjectId objectId = objectIdable.getObjectId();
if (!getUniqueIdScheme().equals(objectId.getScheme())) {
throw new DataNotFoundException(
"Scheme '" + objectId.getScheme() + "' not valid for '" + getUniqueIdScheme() + "'");
}
final int i = objectId.getValue().indexOf('_');
if (i <= 0) {
throw new DataNotFoundException(
"Identifier '" + objectId.getValue() + "' not valid for '" + getUniqueIdScheme() + "'");
}
final String name = objectId.getValue().substring(0, i);
final String iso = objectId.getValue().substring(i + 1);
final Currency currency;
try {
currency = Currency.of(iso);
} catch (IllegalArgumentException e) {
throw new DataNotFoundException(
"Identifier '" + objectId.getValue() + "' not valid for '" + getUniqueIdScheme() + "'",
e);
}
final TreeMap<Instant, YieldCurveDefinition> definitions =
_definitions.get(Pair.of(currency, name));
if (definitions == null) {
throw new DataNotFoundException("Curve definition not found");
}
final YieldCurveDefinition definition = definitions.lastEntry().getValue();
if (definition == null) {
throw new DataNotFoundException("Curve definition not found");
}
return new YieldCurveDefinitionDocument(objectId.atLatestVersion(), definition);
}
@SuppressWarnings("unchecked")
@Test
public void expandedRectangular() {
Tenor[] xVals = new Tenor[] {Tenor.DAY, Tenor.ONE_WEEK, Tenor.TWO_WEEKS};
Tenor[] yVals = new Tenor[] {Tenor.ONE_YEAR, Tenor.TWO_YEARS};
double[] vols = new double[] {10, 11, 12, 13, 14, 15};
Map<Pair<Tenor, Tenor>, Double> vol = Maps.newHashMap();
for (int y = 0; y < yVals.length; y++) {
for (int x = 0; x < xVals.length; x++) {
vol.put(Pair.of(xVals[x], yVals[y]), vols[x + (y * xVals.length)]);
}
}
String name = "test";
UniqueIdentifiable target = Currency.USD;
VolatilitySurfaceData<Tenor, Tenor> data =
new VolatilitySurfaceData<>(name, name, target, xVals, yVals, vol);
Map<String, Object> map =
(Map<String, Object>)
new VolatilitySurfaceDataFormatter()
.format(data, null, TypeFormatter.Format.EXPANDED, null);
assertEquals(Lists.newArrayList("1D", "7D", "14D"), map.get(SurfaceFormatterUtils.X_LABELS));
assertEquals(Lists.newArrayList("1Y", "2Y"), map.get(SurfaceFormatterUtils.Y_LABELS));
assertEquals(
Lists.newArrayList(10d, 11d, 12d, 13d, 14d, 15d), map.get(SurfaceFormatterUtils.VOL));
}
public static Collection<Pair<ValueSpecification, Object>> getValues(
final ViewComputationCache cache, final Collection<ValueSpecification> specifications) {
final Collection<Pair<ValueSpecification, Object>> values =
new ArrayList<Pair<ValueSpecification, Object>>(specifications.size());
for (ValueSpecification specification : specifications) {
values.add(Pair.of(specification, cache.getValue(specification)));
}
return values;
}
@Override
public synchronized void remove(ObjectIdentifiable objectIdentifiable) {
ArgumentChecker.notNull(objectIdentifiable, "objectIdentifiable");
if (!getUniqueIdScheme().equals(objectIdentifiable.getObjectId().getScheme())) {
throw new DataNotFoundException(
"Scheme '"
+ objectIdentifiable.getObjectId().getScheme()
+ "' not valid for '"
+ getUniqueIdScheme()
+ "'");
}
final int i = objectIdentifiable.getObjectId().getValue().indexOf('_');
if (i <= 0) {
throw new DataNotFoundException(
"Identifier '"
+ objectIdentifiable.getObjectId().getValue()
+ "' not valid for '"
+ getUniqueIdScheme()
+ "'");
}
final String name = objectIdentifiable.getObjectId().getValue().substring(0, i);
final String iso = objectIdentifiable.getObjectId().getValue().substring(i + 1);
final Currency currency;
try {
currency = Currency.of(iso);
} catch (IllegalArgumentException e) {
throw new DataNotFoundException(
"Identifier '"
+ objectIdentifiable.getObjectId().getValue()
+ "' not valid for '"
+ getUniqueIdScheme()
+ "'",
e);
}
final Pair<Currency, String> key = Pair.of(currency, name);
if (_sourceVersionCorrection.getVersionAsOf() != null) {
final TreeMap<Instant, YieldCurveDefinition> value = _definitions.get(key);
if (value == null) {
throw new DataNotFoundException("Curve definition not found");
}
// Don't need to keep the old values before the one needed by "versionAsOfInstant"
final Instant oldestNeeded = value.floorKey(_sourceVersionCorrection.getVersionAsOf());
if (oldestNeeded != null) {
value.headMap(oldestNeeded).clear();
}
// Store a null to indicate the delete
value.put(Instant.now(), null);
} else {
if (_definitions.remove(key) == null) {
throw new DataNotFoundException("Curve definition not found");
}
}
changeManager()
.entityChanged(
ChangeType.REMOVED, objectIdentifiable.getObjectId(), null, null, Instant.now());
}
/**
* @param priority The priority of the functions
* @param interpolatorName The volatility surface interpolator name
* @param leftExtrapolatorName The volatility surface left extrapolator name
* @param rightExtrapolatorName The volatility surface right extrapolator name
* @param propertyValuesByCurrencies Values for the properties per currency: an array of strings
* where the <i>i<sup>th</sup></i> currency has properties:
* <ul>
* <li><i>i</i> = first currency name,
* <li><i>i + 1</i> = first currency curve configuration name
* <li><i>i + 2</i> = first currency discounting curve name
* <li><i>i + 3</i> = second currency name,
* <li><i>i + 4</i> = second currency curve configuration name
* <li><i>i + 5</i> = second currency discounting curve name
* <li><i>i + 6</i> = surface name
* </ul>
*/
public FXOptionBlackDefaults(
final String priority,
final String interpolatorName,
final String leftExtrapolatorName,
final String rightExtrapolatorName,
final String... propertyValuesByCurrencies) {
super(ComputationTargetType.SECURITY, true);
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(interpolatorName, "interpolator name");
ArgumentChecker.notNull(leftExtrapolatorName, "left extrapolator name");
ArgumentChecker.notNull(rightExtrapolatorName, "right extrapolator name");
ArgumentChecker.notNull(propertyValuesByCurrencies, "property values by currency");
ArgumentChecker.isTrue(
propertyValuesByCurrencies.length % 7 == 0,
"Must have two currencies, one curve config and discounting curve name per currency pair and one surface name");
_priority = PriorityClass.valueOf(priority);
_interpolatorName = interpolatorName;
_leftExtrapolatorName = leftExtrapolatorName;
_rightExtrapolatorName = rightExtrapolatorName;
_propertyValuesByFirstCurrency = new HashMap<String, Pair<String, String>>();
_propertyValuesBySecondCurrency = new HashMap<String, Pair<String, String>>();
_surfaceNameByCurrencyPair = new HashMap<Pair<String, String>, String>();
for (int i = 0; i < propertyValuesByCurrencies.length; i += 7) {
final String firstCurrency = propertyValuesByCurrencies[i];
final Pair<String, String> firstCurrencyValues =
Pair.of(propertyValuesByCurrencies[i + 1], propertyValuesByCurrencies[i + 2]);
final String secondCurrency = propertyValuesByCurrencies[i + 3];
ArgumentChecker.isFalse(
firstCurrency.equals(secondCurrency),
"The two currencies must not be equal; have {} and {}",
firstCurrency,
secondCurrency);
final Pair<String, String> secondCurrencyValues =
Pair.of(propertyValuesByCurrencies[i + 4], propertyValuesByCurrencies[i + 5]);
final String surfaceName = propertyValuesByCurrencies[i + 6];
_propertyValuesByFirstCurrency.put(firstCurrency, firstCurrencyValues);
_propertyValuesBySecondCurrency.put(secondCurrency, secondCurrencyValues);
_surfaceNameByCurrencyPair.put(Pair.of(firstCurrency, secondCurrency), surfaceName);
}
}
@Override
public List<UniqueId> replaceAllVersions(
ObjectIdentifiable objectIdentifiable,
List<YieldCurveDefinitionDocument> replacementDocuments) {
ArgumentChecker.notNull(replacementDocuments, "replacementDocuments");
ArgumentChecker.notNull(objectIdentifiable, "objectIdentifiable");
final Instant now = Instant.now();
for (YieldCurveDefinitionDocument replacementDocument : replacementDocuments) {
ArgumentChecker.notNull(replacementDocument, "document");
ArgumentChecker.notNull(
replacementDocument.getYieldCurveDefinition(), "document.yieldCurveDefinition");
final Currency currency = replacementDocument.getYieldCurveDefinition().getCurrency();
final String name = replacementDocument.getYieldCurveDefinition().getName();
final UniqueId id = UniqueId.of(getUniqueIdScheme(), name + "_" + currency.getCode());
ArgumentChecker.isTrue(id.equals(objectIdentifiable), "Invalid object identifier");
}
YieldCurveDefinitionDocument storedDocument = get(objectIdentifiable, null);
if (storedDocument == null) {
throw new DataNotFoundException("Document not found: " + objectIdentifiable);
}
final Currency currency = storedDocument.getYieldCurveDefinition().getCurrency();
final String name = storedDocument.getYieldCurveDefinition().getName();
Pair<Currency, String> key = Pair.of(currency, name);
final TreeMap<Instant, YieldCurveDefinition> value = _definitions.get(key);
if (value == null) {
throw new DataNotFoundException("OID '" + objectIdentifiable + "' not found");
}
value.clear();
List<YieldCurveDefinitionDocument> orderedReplacementDocuments =
MasterUtils.adjustVersionInstants(now, null, null, replacementDocuments);
final Instant lowestVersionFrom = orderedReplacementDocuments.get(0).getVersionFromInstant();
ArgumentChecker.notNull(
lowestVersionFrom, "You must define version from of the first document");
for (YieldCurveDefinitionDocument replacementDocument : orderedReplacementDocuments) {
value.put(
replacementDocument.getVersionFromInstant(),
replacementDocument.getYieldCurveDefinition());
changeManager()
.entityChanged(ChangeType.CHANGED, replacementDocument.getObjectId(), null, null, now);
}
return MasterUtils.mapToUniqueIDs(orderedReplacementDocuments);
}
@Override
public ObjectsPair<Collection<LiveDataSpecification>, Collection<LiveDataSpecification>>
splitShouldFake(
FakeSubscriptionBloombergLiveDataServer server, Collection<LiveDataSpecification> specs) {
if (specs.isEmpty()) {
return Pair.of(
(Collection<LiveDataSpecification>) new ArrayList<LiveDataSpecification>(),
(Collection<LiveDataSpecification>) new ArrayList<LiveDataSpecification>());
}
Set<LiveDataSpecification> fakes = new HashSet<LiveDataSpecification>();
Set<LiveDataSpecification> underlyings = new HashSet<LiveDataSpecification>();
for (LiveDataSpecification liveDataSpecification : specs) {
if (shouldFake(liveDataSpecification)) {
fakes.add(liveDataSpecification);
} else {
underlyings.add(liveDataSpecification);
}
}
return Pair.of(
(Collection<LiveDataSpecification>) underlyings, (Collection<LiveDataSpecification>) fakes);
}
@Override
public ComputedValue getComputedValue(final ValueRequirement requirement) {
final Pair<String, Object> key =
Pair.of(
requirement.getValueName(),
targetSpecKey(_resolver.getTargetSpecification(requirement.getTargetReference())));
final ComputedValue[] values = _valuesByRequirement.get(key);
if (values != null) {
for (final ComputedValue value : values) {
// Shortcut to check the properties as we already know the name and target match
if (requirement.getConstraints().isSatisfiedBy(value.getSpecification().getProperties())) {
return value;
}
}
}
return null;
}
@Override
public YieldCurveDefinition getDefinition(
final Currency currency, final String name, final VersionCorrection versionCorrection) {
ArgumentChecker.notNull(currency, "currency");
ArgumentChecker.notNull(name, "name");
final TreeMap<Instant, YieldCurveDefinition> definitions =
_definitions.get(Pair.of(currency, name));
if (definitions == null) {
return null;
}
final Map.Entry<Instant, YieldCurveDefinition> entry =
definitions.floorEntry(versionCorrection.getVersionAsOf());
if (entry == null) {
return null;
}
return entry.getValue();
}
@Override
public ViewCalculationResultModel buildObject(FudgeDeserializer deserializer, FudgeMsg message) {
final Map<ComputationTargetSpecification, Map<Pair<String, ValueProperties>, ComputedValue>>
mapNames =
new HashMap<
ComputationTargetSpecification,
Map<Pair<String, ValueProperties>, ComputedValue>>();
for (FudgeField field : message) {
final ComputedValue value = deserializer.fieldValueToObject(ComputedValue.class, field);
final ComputationTargetSpecification target =
value.getSpecification().getTargetSpecification();
if (!mapNames.containsKey(target)) {
mapNames.put(target, new HashMap<Pair<String, ValueProperties>, ComputedValue>());
}
mapNames
.get(target)
.put(
Pair.of(
value.getSpecification().getValueName(),
value.getSpecification().getProperties()),
value);
}
return new ViewCalculationResultModel() {
@Override
public Collection<ComputationTargetSpecification> getAllTargets() {
return mapNames.keySet();
}
@Override
public Map<Pair<String, ValueProperties>, ComputedValue> getValues(
ComputationTargetSpecification target) {
return mapNames.get(target);
}
@Override
public Collection<ComputedValue> getAllValues(ComputationTargetSpecification target) {
Map<Pair<String, ValueProperties>, ComputedValue> targetValuesMap = mapNames.get(target);
return targetValuesMap != null
? Collections.unmodifiableCollection(targetValuesMap.values())
: null;
}
};
}
// -------------------------------------------------------------------------
@Override
public synchronized YieldCurveDefinition getDefinition(Currency currency, String name) {
ArgumentChecker.notNull(currency, "currency");
ArgumentChecker.notNull(name, "name");
final TreeMap<Instant, YieldCurveDefinition> definitions =
_definitions.get(Pair.of(currency, name));
if (definitions == null) {
return null;
}
final Map.Entry<Instant, YieldCurveDefinition> entry;
if (_sourceVersionCorrection.getVersionAsOf() == null) {
entry = definitions.lastEntry();
} else {
entry = definitions.floorEntry(_sourceVersionCorrection.getVersionAsOf());
}
if (entry == null) {
return null;
}
return entry.getValue();
}
@Override
public CompiledFunctionRepository compile(
final FunctionRepository repository,
final FunctionCompilationContext context,
final ExecutorService executor,
final InstantProvider atInstantProvider) {
clearInvalidCache(context.getFunctionInitId());
final Instant atInstant = Instant.of(atInstantProvider);
final Pair<FunctionRepository, Instant> key = Pair.of(repository, atInstant);
// Try a previous compilation
final InMemoryCompiledFunctionRepository previous = getPreviousCompilation(key);
if (previous != null) {
if (previous.getLatestInvocationTime() == null) {
return previous;
} else {
if (!atInstant.isAfter(previous.getLatestInvocationTime())) {
return previous;
}
}
}
// Try a future compilation
final InMemoryCompiledFunctionRepository next = getNextCompilation(key);
if (next != null) {
if (next.getEarliestInvocationTime() == null) {
return next;
} else {
if (!atInstant.isBefore(next.getEarliestInvocationTime())) {
return next;
}
}
}
// Try the exact timestamp
InMemoryCompiledFunctionRepository compiled = getCachedCompilation(key);
if (compiled != null) {
return compiled;
}
// Create a compilation, salvaging results from previous and next if possible
compiled = compile(context, repository, atInstant, previous, next, executor);
cacheCompilation(key, compiled);
return compiled;
}
private void addValue(final ComputedValue value) {
ArgumentChecker.notNull(value, "Computed Value");
if (value.getValue() instanceof ComputedValue) {
throw new IllegalArgumentException("Double-nested value");
}
_values.add(value);
_valuesByRequirementName.put(value.getSpecification().getValueName(), value);
final Pair<String, Object> key =
Pair.of(
value.getSpecification().getValueName(),
targetSpecKey(value.getSpecification().getTargetSpecification()));
final ComputedValue[] prev = _valuesByRequirement.get(key);
if (prev == null) {
_valuesByRequirement.put(key, new ComputedValue[] {value});
} else {
final ComputedValue[] values = new ComputedValue[prev.length + 1];
System.arraycopy(prev, 0, values, 0, prev.length);
values[prev.length] = value;
_valuesByRequirement.put(key, values);
}
}
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;
}
@Override
public synchronized YieldCurveDefinitionDocument addOrUpdate(
YieldCurveDefinitionDocument document) {
ArgumentChecker.notNull(document, "document");
ArgumentChecker.notNull(document.getYieldCurveDefinition(), "document.yieldCurveDefinition");
final Currency currency = document.getYieldCurveDefinition().getCurrency();
final String name = document.getYieldCurveDefinition().getName();
final Pair<Currency, String> key = Pair.of(currency, name);
TreeMap<Instant, YieldCurveDefinition> value = _definitions.get(key);
final UniqueId uid = UniqueId.of(getUniqueIdScheme(), name + "_" + currency.getCode());
Instant now = Instant.now();
if (value != null) {
if (_sourceVersionCorrection.getVersionAsOf() != null) {
// Don't need to keep the old values before the one needed by "versionAsOfInstant"
final Instant oldestNeeded = value.floorKey(_sourceVersionCorrection.getVersionAsOf());
if (oldestNeeded != null) {
value.headMap(oldestNeeded).clear();
}
} else {
// Don't need any old values
value.clear();
}
value.put(now, document.getYieldCurveDefinition());
changeManager().entityChanged(ChangeType.CHANGED, uid.getObjectId(), null, null, now);
} else {
value = new TreeMap<Instant, YieldCurveDefinition>();
value.put(now, document.getYieldCurveDefinition());
_definitions.put(key, value);
changeManager()
.entityChanged(
ChangeType.ADDED,
uid.getObjectId(),
document.getVersionFromInstant(),
document.getVersionToInstant(),
now);
}
document.setUniqueId(uid);
return document;
}
@Override
public synchronized YieldCurveDefinitionDocument get(UniqueId uid) {
ArgumentChecker.notNull(uid, "objectIdentifiable");
if (!uid.isLatest()) {
throw new IllegalArgumentException(
"Only latest version supported by '" + getUniqueIdScheme() + "'");
}
if (!getUniqueIdScheme().equals(uid.getScheme())) {
throw new DataNotFoundException(
"Scheme '" + uid.getScheme() + "' not valid for '" + getUniqueIdScheme() + "'");
}
final int i = uid.getValue().indexOf('_');
if (i <= 0) {
throw new DataNotFoundException(
"Identifier '" + uid.getValue() + "' not valid for '" + getUniqueIdScheme() + "'");
}
final String name = uid.getValue().substring(0, i);
final String iso = uid.getValue().substring(i + 1);
final Currency currency;
try {
currency = Currency.of(iso);
} catch (IllegalArgumentException e) {
throw new DataNotFoundException(
"Identifier '" + uid.getValue() + "' not valid for '" + getUniqueIdScheme() + "'", e);
}
final TreeMap<Instant, YieldCurveDefinition> definitions =
_definitions.get(Pair.of(currency, name));
if (definitions == null) {
throw new DataNotFoundException("Curve definition not found");
}
final YieldCurveDefinition definition = definitions.lastEntry().getValue();
if (definition == null) {
throw new DataNotFoundException("Curve definition not found");
}
return new YieldCurveDefinitionDocument(uid, definition);
}
@Override
protected Set<String> getDefaultValue(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue,
final String propertyName) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
if (!(_propertyValuesByFirstCurrency.containsKey(putCurrency)
|| _propertyValuesBySecondCurrency.containsKey(putCurrency))) {
s_logger.error(
"Could not get config for put currency " + putCurrency + "; should never happen");
return null;
}
if (!(_propertyValuesByFirstCurrency.containsKey(callCurrency)
|| _propertyValuesBySecondCurrency.containsKey(callCurrency))) {
s_logger.error(
"Could not get config for call currency " + callCurrency + "; should never happen");
return null;
}
final String putCurveConfig, callCurveConfig, putCurve, callCurve;
if (_propertyValuesByFirstCurrency.containsKey(putCurrency)) {
final Pair<String, String> firstCurrencyValues =
_propertyValuesByFirstCurrency.get(putCurrency);
putCurveConfig = firstCurrencyValues.getFirst();
putCurve = firstCurrencyValues.getSecond();
final Pair<String, String> secondCurrencyValues =
_propertyValuesBySecondCurrency.get(callCurrency);
callCurveConfig = secondCurrencyValues.getFirst();
callCurve = secondCurrencyValues.getSecond();
} else {
final Pair<String, String> firstCurrencyValues =
_propertyValuesByFirstCurrency.get(callCurrency);
callCurveConfig = firstCurrencyValues.getFirst();
callCurve = firstCurrencyValues.getSecond();
final Pair<String, String> secondCurrencyValues =
_propertyValuesBySecondCurrency.get(putCurrency);
putCurveConfig = secondCurrencyValues.getFirst();
putCurve = secondCurrencyValues.getSecond();
}
if (FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG.equals(propertyName)) {
return Collections.singleton(putCurveConfig);
}
if (FXOptionBlackFunction.PUT_CURVE.equals(propertyName)) {
return Collections.singleton(putCurve);
}
if (FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG.equals(propertyName)) {
return Collections.singleton(callCurveConfig);
}
if (FXOptionBlackFunction.CALL_CURVE.equals(propertyName)) {
return Collections.singleton(callCurve);
}
if (InterpolatedDataProperties.X_INTERPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_interpolatorName);
}
if (InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_leftExtrapolatorName);
}
if (InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
return Collections.singleton(_rightExtrapolatorName);
}
if (ValuePropertyNames.SURFACE.equals(propertyName)) {
Pair<String, String> pair = Pair.of(putCurrency, callCurrency);
if (_surfaceNameByCurrencyPair.containsKey(pair)) {
return Collections.singleton(_surfaceNameByCurrencyPair.get(pair));
}
pair = Pair.of(callCurrency, putCurrency);
if (_surfaceNameByCurrencyPair.containsKey(pair)) {
return Collections.singleton(_surfaceNameByCurrencyPair.get(pair));
}
}
return null;
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = snapshotClock.zonedDateTime();
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final InstrumentDefinition<InstrumentDerivative> definition =
(InstrumentDefinition<InstrumentDerivative>) security.accept(VISITOR);
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String putCurveName = desiredValue.getConstraint(PROPERTY_PUT_CURVE);
final String callCurveName = desiredValue.getConstraint(PROPERTY_CALL_CURVE);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String putForwardCurveName = desiredValue.getConstraint(PROPERTY_PUT_FORWARD_CURVE);
final String callForwardCurveName = desiredValue.getConstraint(PROPERTY_CALL_FORWARD_CURVE);
final String putCurveCalculationMethod =
desiredValue.getConstraint(PROPERTY_PUT_CURVE_CALCULATION_METHOD);
final String callCurveCalculationMethod =
desiredValue.getConstraint(PROPERTY_CALL_CURVE_CALCULATION_METHOD);
final String interpolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
final String leftExtrapolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
final String rightExtrapolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
final String spread = desiredValue.getConstraint(PROPERTY_CALL_SPREAD_VALUE);
final double spreadValue = Double.parseDouble(spread);
final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
final String[] curveNames;
if (FXUtils.isInBaseQuoteOrder(
putCurrency, callCurrency)) { // To get Base/quote in market standard order.
curveNames = new String[] {fullPutCurveName, fullCallCurveName};
} else {
curveNames = new String[] {fullCallCurveName, fullPutCurveName};
}
final YieldAndDiscountCurve putFundingCurve = getCurve(inputs, putCurrency, putCurveName);
final YieldAndDiscountCurve callFundingCurve = getCurve(inputs, callCurrency, callCurveName);
final YieldAndDiscountCurve[] curves;
final Map<String, Currency> curveCurrency = new HashMap<String, Currency>();
curveCurrency.put(fullPutCurveName, putCurrency);
curveCurrency.put(fullCallCurveName, callCurrency);
final String[] allCurveNames;
final Currency ccy1;
final Currency ccy2;
if (FXUtils.isInBaseQuoteOrder(
putCurrency, callCurrency)) { // To get Base/quote in market standard order.
ccy1 = putCurrency;
ccy2 = callCurrency;
curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
} else {
curves = new YieldAndDiscountCurve[] {callFundingCurve, putFundingCurve};
allCurveNames = new String[] {fullCallCurveName, fullPutCurveName};
ccy1 = callCurrency;
ccy2 = putCurrency;
}
final InstrumentDerivative fxOption = definition.toDerivative(now, curveNames);
final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get spot rate");
}
final double spot = (Double) spotObject;
final ValueRequirement fxVolatilitySurfaceRequirement =
getSurfaceRequirement(
surfaceName,
putCurrency,
callCurrency,
interpolatorName,
leftExtrapolatorName,
rightExtrapolatorName);
final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
}
final SmileDeltaTermStructureParametersStrikeInterpolation smiles =
(SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
final ValueProperties.Builder properties =
getResultProperties(
putCurveName,
putForwardCurveName,
putCurveCalculationMethod,
callCurveName,
callForwardCurveName,
callCurveCalculationMethod,
surfaceName,
spread,
interpolatorName,
leftExtrapolatorName,
rightExtrapolatorName,
target);
final ValueSpecification spec =
new ValueSpecification(_valueRequirementName, target.toSpecification(), properties.get());
final YieldCurveBundle curvesWithFX =
new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
final SmileDeltaTermStructureDataBundle smileBundle =
new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
return getResult(fxOption, spreadValue, smileBundle, spec);
}
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);
}
}
