com.opengamma.examples.loader.ExampleCDSLoader.java Source code

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Here is the source code for com.opengamma.examples.loader.ExampleCDSLoader.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.examples.loader;

import java.math.BigDecimal;

import javax.time.calendar.LocalDate;
import javax.time.calendar.TimeZone;
import javax.time.calendar.ZonedDateTime;

import org.apache.commons.lang.math.RandomUtils;

import com.opengamma.component.tool.AbstractTool;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.security.Security;
import com.opengamma.financial.convention.StubType;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.frequency.SimpleFrequency;
import com.opengamma.financial.security.cds.CDSSecurity;
import com.opengamma.financial.tool.ToolContext;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.master.portfolio.ManageablePortfolio;
import com.opengamma.master.portfolio.ManageablePortfolioNode;
import com.opengamma.master.portfolio.PortfolioDocument;
import com.opengamma.master.portfolio.PortfolioMaster;
import com.opengamma.master.position.ManageablePosition;
import com.opengamma.master.position.ManageableTrade;
import com.opengamma.master.position.PositionDocument;
import com.opengamma.master.position.PositionMaster;
import com.opengamma.master.security.ManageableSecurity;
import com.opengamma.master.security.SecurityDocument;
import com.opengamma.master.security.SecurityMaster;
import com.opengamma.util.money.Currency;

/**
 * Load example CDS security and store for testing
 * @author Martin Traverse
 * @see CDSSecurity
 * @see CDSSimplePresentValueFunction
 */
public class ExampleCDSLoader extends AbstractTool<ToolContext> {

    public static void main(String[] args) { // CSIGNORE

        new ExampleCDSLoader().initAndRun(args, ToolContext.class);
        System.exit(0);
    }

    private int counter = 0;

    @Override
    protected void doRun() throws Exception {

        final SecurityMaster secMaster = getToolContext().getSecurityMaster();

        final ManageableSecurity cds = makeOneCDS();
        final SecurityDocument cdsDoc = new SecurityDocument(cds);

        secMaster.add(cdsDoc);

        portfolioWithSecurity(cds, "Test CDS Port 1");
    }

    private void portfolioWithSecurity(Security security, String portfolioName) {

        final PositionMaster posMaster = getToolContext().getPositionMaster();
        final PortfolioMaster portMaster = getToolContext().getPortfolioMaster();

        final ManageablePosition position = makePositionAndTrade(security);
        final PositionDocument positionDoc = new PositionDocument(position);
        posMaster.add(positionDoc);

        ManageablePortfolio portfolio = new ManageablePortfolio(portfolioName);
        ManageablePortfolioNode rootNode = portfolio.getRootNode();
        rootNode.setName("Root");
        rootNode.addPosition(position.getUniqueId());

        PortfolioDocument portfolioDoc = new PortfolioDocument(portfolio);
        portMaster.add(portfolioDoc);

    }

    private CDSSecurity makeOneCDS() {

        ZonedDateTime maturity = ZonedDateTime.of(2020, 12, 20, 0, 0, 0, 0, TimeZone.UTC);
        ZonedDateTime startDate = ZonedDateTime.of(2010, 12, 20, 0, 0, 0, 0, TimeZone.UTC);
        SimpleFrequency frequency = SimpleFrequency.ANNUAL;
        DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
        BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE
                .getBusinessDayConvention("Following");
        final CDSSecurity cds1 = new CDSSecurity(1.0, 0.6, 0.0025, Currency.USD, maturity, startDate, frequency,
                dayCount, businessDayConvention, StubType.SHORT_START, 3, "US Treasury", Currency.USD, "Senior",
                "No Restructuring");
        cds1.addExternalId(ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "TEST_CDS_00001--US912828KY53-A"));
        cds1.setName("TEST CDS" + counter++);

        return cds1;
    }

    protected ManageablePosition makePositionAndTrade(Security security) {

        int shares = (RandomUtils.nextInt(490) + 10) * 10;
        ExternalIdBundle bundle = security.getExternalIdBundle();

        ManageablePosition position = new ManageablePosition(BigDecimal.valueOf(shares), bundle);
        ManageableTrade trade = new ManageableTrade(BigDecimal.valueOf(shares), bundle, LocalDate.of(2010, 12, 3),
                null, ExternalId.of("CPARTY", "BACS"));
        position.addTrade(trade);

        return position;
    }

}