Java tutorial
/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.property; import static org.testng.Assert.assertEquals; import java.math.BigDecimal; import java.util.Arrays; import java.util.Collection; import java.util.Collections; import java.util.Map; import java.util.Set; import org.apache.commons.lang.Validate; import org.testng.annotations.Test; import org.threeten.bp.Instant; import org.threeten.bp.ZonedDateTime; import com.opengamma.core.position.Portfolio; import com.opengamma.core.position.PortfolioNode; import com.opengamma.core.position.Position; import com.opengamma.core.position.PositionSource; import com.opengamma.core.position.Trade; import com.opengamma.core.position.impl.MockPositionSource; import com.opengamma.core.position.impl.SimplePortfolio; import com.opengamma.core.position.impl.SimplePortfolioNode; import com.opengamma.core.position.impl.SimplePosition; import com.opengamma.core.position.impl.SimpleTrade; import com.opengamma.core.security.Security; import com.opengamma.core.security.SecurityLink; import com.opengamma.core.security.SecuritySource; import com.opengamma.core.security.impl.SimpleSecurityLink; import com.opengamma.core.value.MarketDataRequirementNames; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.ComputationTargetSpecification; import com.opengamma.engine.DefaultComputationTargetResolver; import com.opengamma.engine.InMemorySecuritySource; import com.opengamma.engine.depgraph.DependencyGraphBuilder; import com.opengamma.engine.depgraph.DependencyGraphBuilderFactory; import com.opengamma.engine.function.AbstractFunction; import com.opengamma.engine.function.CachingFunctionRepositoryCompiler; import com.opengamma.engine.function.CompiledFunctionDefinition; import com.opengamma.engine.function.CompiledFunctionService; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.function.FunctionExecutionContext; import com.opengamma.engine.function.FunctionInputs; import com.opengamma.engine.function.FunctionRepository; import com.opengamma.engine.function.InMemoryFunctionRepository; import com.opengamma.engine.function.PortfolioStructure; import com.opengamma.engine.function.resolver.CompiledFunctionResolver; import com.opengamma.engine.function.resolver.ComputationTargetResults; import com.opengamma.engine.function.resolver.DefaultFunctionResolver; import com.opengamma.engine.function.resolver.FunctionPriority; import com.opengamma.engine.function.resolver.FunctionResolver; import com.opengamma.engine.marketdata.availability.DefaultMarketDataAvailabilityProvider; import com.opengamma.engine.marketdata.availability.DomainMarketDataAvailabilityFilter; import com.opengamma.engine.target.ComputationTargetType; import com.opengamma.engine.value.ComputedValue; import com.opengamma.engine.value.ValueProperties; import com.opengamma.engine.value.ValueRequirement; import com.opengamma.engine.value.ValueSpecification; import com.opengamma.engine.view.ViewCalculationConfiguration; import com.opengamma.engine.view.ViewDefinition; import com.opengamma.financial.analytics.PositionOrTradeScalingFunction; import com.opengamma.financial.analytics.PropertyPreservingFunction; import com.opengamma.financial.analytics.SummingFunction; import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory; import com.opengamma.financial.convention.daycount.DayCountFactory; import com.opengamma.financial.convention.frequency.SimpleFrequency; import com.opengamma.financial.security.swap.FixedInterestRateLeg; import com.opengamma.financial.security.swap.InterestRateNotional; import com.opengamma.financial.security.swap.SwapLeg; import com.opengamma.financial.security.swap.SwapSecurity; import com.opengamma.id.ExternalId; import com.opengamma.id.ExternalIdBundle; import com.opengamma.id.ExternalScheme; import com.opengamma.id.UniqueId; import com.opengamma.id.VersionCorrection; import com.opengamma.util.money.Currency; import com.opengamma.util.test.TestGroup; /** * Tests the functions used to inject default constraints into the dependency graph. */ @Test(groups = TestGroup.UNIT) public class DefaultPropertyFunctionsTest { public class TradeScalingFunction extends PropertyPreservingFunction { @Override protected Collection<String> getPreservedProperties() { return Arrays.asList("Currency", "ForwardCurve", "FundingCurve"); } @Override protected Collection<String> getOptionalPreservedProperties() { return Collections.emptySet(); } private final String _requirementName; public TradeScalingFunction(final String requirementName) { Validate.notNull(requirementName, "Requirement name"); _requirementName = requirementName; } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final Trade trade = target.getTrade(); final Security security = trade.getSecurity(); final ValueRequirement requirement = new ValueRequirement(_requirementName, ComputationTargetType.SECURITY, security.getUniqueId(), getInputConstraint(desiredValue)); return Collections.singleton(requirement); } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final ValueSpecification specification = new ValueSpecification(_requirementName, target.toSpecification(), getResultProperties()); return Collections.singleton(specification); } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) { final ValueSpecification specification = new ValueSpecification(_requirementName, target.toSpecification(), getResultProperties(inputs.keySet().iterator().next())); return Collections.singleton(specification); } @Override public String getShortName() { return "TradeScaling for " + _requirementName; } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.TRADE; } @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { throw new UnsupportedOperationException(); } } private static class DefaultForwardFundingCurveFunction extends DefaultPropertyFunction { private final String _forwardCurveName; private final String _fundingCurveName; private final String _valueName; public DefaultForwardFundingCurveFunction(final String forwardCurveName, final String fundingCurveName, final String valueName) { super(ComputationTargetType.SECURITY, true); _forwardCurveName = forwardCurveName; _fundingCurveName = fundingCurveName; _valueName = valueName; } @Override protected void getDefaults(final PropertyDefaults defaults) { defaults.addValuePropertyName(_valueName, "ForwardCurve"); defaults.addValuePropertyName(_valueName, "FundingCurve"); } @Override protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) { if ("ForwardCurve".equals(propertyName)) { return Collections.singleton(_forwardCurveName); } else if ("FundingCurve".equals(propertyName)) { return Collections.singleton(_fundingCurveName); } else { return null; } } } private static class MockPVFunction extends AbstractFunction.NonCompiledInvoker { @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { throw new UnsupportedOperationException(); } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.SECURITY; } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final Set<String> forwardCurves = desiredValue.getConstraints().getValues("ForwardCurve"); if (forwardCurves == null || forwardCurves.isEmpty()) { return null; } final Set<String> fundingCurves = desiredValue.getConstraints().getValues("FundingCurve"); if (fundingCurves == null || fundingCurves.isEmpty()) { return null; } // Two curves have been requested assertEquals(forwardCurves.size(), 1); assertEquals(fundingCurves.size(), 1); return Collections.emptySet(); } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { return Collections.singleton( new ValueSpecification("Present Value", target.toSpecification(), createValueProperties() .withAny("ForwardCurve").withAny("FundingCurve").with("Currency", "USD").get())); } } private FunctionRepository createFunctionRepository() { final InMemoryFunctionRepository functions = new InMemoryFunctionRepository(); // Default property functions functions.addFunction(new CalcConfigDefaultPropertyFunction.Generic()); functions.addFunction(new CalcConfigDefaultPropertyFunction.Specific()); functions.addFunction(new PositionDefaultPropertyFunction()); functions.addFunction(new AttributableDefaultPropertyFunction()); functions.addFunction( new AggregationDefaultPropertyFunction("Present Value", SummingFunction.AGGREGATION_STYLE_FULL)); // Basic scaling and aggregation functions.addFunction(new SummingFunction("Present Value")); functions.addFunction(new PositionOrTradeScalingFunction("Present Value")); functions.addFunction(new TradeScalingFunction("Present Value")); // Mock PV function functions.addFunction(new MockPVFunction()); // Default curve injection functions.addFunction( new DefaultForwardFundingCurveFunction("DefaultForward", "DefaultFunding", "Present Value")); return functions; } private SecuritySource createSecuritySource() { final InMemorySecuritySource securities = new InMemorySecuritySource(); final ZonedDateTime zdt = ZonedDateTime.now(); final SwapLeg leg = new FixedInterestRateLeg(DayCountFactory.INSTANCE.getDayCount("ACT/365"), SimpleFrequency.ANNUAL, ExternalId.of("Test", "Region"), BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), new InterestRateNotional(Currency.USD, 0d), false, 0d); final SwapSecurity security = new SwapSecurity(zdt, zdt, zdt, "Counterparty", leg, leg); security.addExternalId(ExternalId.of("Security", "Swap")); securities.addSecurity(security); return securities; } private SecurityLink createSecurityLink(final SecuritySource securities) { final SimpleSecurityLink link = new SimpleSecurityLink(ExternalId.of("Security", "Swap")); link.resolve(securities); return link; } private SimpleTrade createTrade(final SecuritySource securities) { final SimpleTrade trade = new SimpleTrade(); trade.setQuantity(BigDecimal.ONE); trade.setSecurityLink(createSecurityLink(securities)); return trade; } private SimplePosition createPosition(final SecuritySource securities) { final SimplePosition position = new SimplePosition(); position.setQuantity(BigDecimal.ONE); position.setSecurityLink(createSecurityLink(securities)); return position; } private PositionSource createPositionSource(final SecuritySource securities) { final MockPositionSource positions = new MockPositionSource(); final SimplePortfolio portfolio = new SimplePortfolio("Test"); final SimplePortfolioNode root = portfolio.getRootNode(); // Portfolio node with position with a trade with an attribute SimplePortfolioNode node = new SimplePortfolioNode("TradeAttr"); SimpleTrade trade = createTrade(securities); trade.addAttribute("Present Value.DEFAULT_ForwardCurve", "FooForward"); trade.addAttribute("*.DEFAULT_FundingCurve", "FooFunding"); SimplePosition position = createPosition(securities); position.addTrade(trade); node.addPosition(position); root.addChildNode(node); // Portfolio node with position with a trade without an attribute node = new SimplePortfolioNode("Trade"); trade = createTrade(securities); position = createPosition(securities); position.addTrade(trade); node.addPosition(position); root.addChildNode(node); // Portfolio node with position with an attribute node = new SimplePortfolioNode("PositionAttr"); position = createPosition(securities); position.addAttribute("Present Value.DEFAULT_ForwardCurve", "FooForward"); position.addAttribute("*.DEFAULT_FundingCurve", "FooFunding"); node.addPosition(position); root.addChildNode(node); // Portfolio node with position without an attribute node = new SimplePortfolioNode("Position"); position = createPosition(securities); node.addPosition(position); root.addChildNode(node); portfolio.setUniqueId(UniqueId.of("Portfolio", "Test")); positions.addPortfolio(portfolio); return positions; } private PortfolioNode getPortfolioNode(final PositionSource positions, final String name) { final Portfolio portfolio = positions.getPortfolio(UniqueId.of("Portfolio", "Test"), VersionCorrection.LATEST); for (final PortfolioNode node : portfolio.getRootNode().getChildNodes()) { if (name.equals(node.getName())) { return node; } } throw new IllegalArgumentException("Couldn't find node " + name); } private Position getPosition(final PositionSource positions, final String name) { final PortfolioNode node = getPortfolioNode(positions, name); return node.getPositions().get(0); } private Trade getTrade(final PositionSource positions, final String name) { final Position position = getPosition(positions, name); return position.getTrades().iterator().next(); } private FunctionCompilationContext createFunctionCompilationContext() { final FunctionCompilationContext context = new FunctionCompilationContext(); final SecuritySource securities = createSecuritySource(); final PositionSource positions = createPositionSource(securities); context.setPortfolioStructure(new PortfolioStructure(positions)); context.setSecuritySource(securities); context.setRawComputationTargetResolver(new DefaultComputationTargetResolver(securities, positions)); context.setComputationTargetResolver( context.getRawComputationTargetResolver().atVersionCorrection(VersionCorrection.LATEST)); return context; } private FunctionPriority createPrioritizer() { return new FunctionPriority() { @Override public int getPriority(final CompiledFunctionDefinition function) { if (function instanceof DefaultPropertyFunction) { final DefaultPropertyFunction propertyFunction = (DefaultPropertyFunction) function; if (propertyFunction.isPermitWithout()) { return -1; } return Integer.MAX_VALUE + propertyFunction.getPriority().getPriorityAdjust() - DefaultPropertyFunction.PriorityClass.MAX_ADJUST; } return 0; } }; } private CompiledFunctionResolver createFunctionResolver(final FunctionCompilationContext ctx) { final CompiledFunctionService cfs = new CompiledFunctionService(createFunctionRepository(), new CachingFunctionRepositoryCompiler(), ctx); cfs.initialize(); final FunctionResolver resolver = new DefaultFunctionResolver(cfs, createPrioritizer()); return resolver.compile(Instant.now()); } private DependencyGraphBuilder createBuilder() { final DependencyGraphBuilderFactory factory = new DependencyGraphBuilderFactory(); final DependencyGraphBuilder builder = factory.newInstance(); final FunctionCompilationContext ctx = createFunctionCompilationContext(); builder.setCalculationConfigurationName("Default"); ctx.setViewCalculationConfiguration( new ViewCalculationConfiguration(new ViewDefinition("Name", "User"), "Default")); builder.setCompilationContext(ctx); final CompiledFunctionResolver cfr = createFunctionResolver(ctx); ctx.setComputationTargetResults(new ComputationTargetResults(cfr.getAllResolutionRules())); ctx.init(); builder.setFunctionResolver(cfr); builder.setMarketDataAvailabilityProvider(new DomainMarketDataAvailabilityFilter( Arrays.asList(ExternalScheme.of("Foo")), Arrays.asList(MarketDataRequirementNames.MARKET_VALUE)) .withProvider(new DefaultMarketDataAvailabilityProvider())); return builder; } private ValueRequirement createValueRequirement(final ComputationTargetSpecification target, final ValueProperties constraints) { return new ValueRequirement("Present Value", target, constraints); } public void testPortfolioNodeDefault() { final DependencyGraphBuilder builder = createBuilder(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getPortfolioNode(positions, "Position")), ValueProperties.none()); builder.addTarget(req1); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); assertEquals(res1.getProperty("ForwardCurve"), "DefaultForward"); assertEquals(res1.getProperty("FundingCurve"), "DefaultFunding"); assertEquals(res1.getProperty("Currency"), "USD"); } public void testPortfolioNodeOverride() { final DependencyGraphBuilder builder = createBuilder(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getPortfolioNode(positions, "Position")), ValueProperties.with("ForwardCurve", "BarForward").with("FundingCurve", "BarFunding").get()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getPortfolioNode(positions, "PositionAttr")), ValueProperties.with("ForwardCurve", "BarForward").with("FundingCurve", "BarFunding").get()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "BarForward"); assertEquals(res2.getProperty("FundingCurve"), "BarFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testPositionDefault() { final DependencyGraphBuilder builder = createBuilder(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getPosition(positions, "Position")), ValueProperties.none()); builder.addTarget(req1); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); assertEquals(res1.getProperty("ForwardCurve"), "DefaultForward"); assertEquals(res1.getProperty("FundingCurve"), "DefaultFunding"); assertEquals(res1.getProperty("Currency"), "USD"); } public void testPositionOverride() { final DependencyGraphBuilder builder = createBuilder(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getPosition(positions, "Position")), ValueProperties.with("ForwardCurve", "BarForward").with("FundingCurve", "BarFunding").get()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getPosition(positions, "PositionAttr")), ValueProperties.with("ForwardCurve", "BarForward").with("FundingCurve", "BarFunding").get()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "BarForward"); assertEquals(res2.getProperty("FundingCurve"), "BarFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testTradeDefault() { final DependencyGraphBuilder builder = createBuilder(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.none()); builder.addTarget(req1); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); assertEquals(res1.getProperty("ForwardCurve"), "DefaultForward"); assertEquals(res1.getProperty("FundingCurve"), "DefaultFunding"); assertEquals(res1.getProperty("Currency"), "USD"); } public void testTradeOverride() { final DependencyGraphBuilder builder = createBuilder(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.with("ForwardCurve", "BarForward").with("FundingCurve", "BarFunding").get()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getTrade(positions, "TradeAttr")), ValueProperties.with("ForwardCurve", "BarForward").with("FundingCurve", "BarFunding").get()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "BarForward"); assertEquals(res2.getProperty("FundingCurve"), "BarFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testPortfolioNodeGeneric() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); config.setDefaultProperties( ValueProperties.with("PORTFOLIO_NODE.Present Value.DEFAULT_ForwardCurve", "BarForward") .with("PORTFOLIO_NODE.*.DEFAULT_FundingCurve", "BarFunding").get()); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getPortfolioNode(positions, "Position")), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getPortfolioNode(positions, "PositionAttr")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "BarForward"); assertEquals(res2.getProperty("FundingCurve"), "BarFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testPortfolioNodeSpecific() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final PortfolioNode node1 = getPortfolioNode(positions, "PositionAttr"); config.setDefaultProperties(ValueProperties .with("PORTFOLIO_NODE.Present Value.DEFAULT_ForwardCurve." + node1.getUniqueId(), "BarForward") .with("PORTFOLIO_NODE.*.DEFAULT_FundingCurve." + node1.getUniqueId(), "BarFunding").get()); final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(node1), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getPortfolioNode(positions, "Position")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "DefaultForward"); assertEquals(res2.getProperty("FundingCurve"), "DefaultFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testPortfolioNodeSpecificOverride() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final PortfolioNode node1 = getPortfolioNode(positions, "PositionAttr"); config.setDefaultProperties(ValueProperties .with("PORTFOLIO_NODE.Present Value.DEFAULT_ForwardCurve." + node1.getUniqueId(), "BarForward") .with("PORTFOLIO_NODE.Present Value.DEFAULT_FundingCurve." + node1.getUniqueId(), "BarFunding") .with("PORTFOLIO_NODE.*.DEFAULT_ForwardCurve", "GenericForward") .with("PORTFOLIO_NODE.*.DEFAULT_FundingCurve", "GenericFunding").get()); final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(node1), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getPortfolioNode(positions, "Position")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "GenericForward"); assertEquals(res2.getProperty("FundingCurve"), "GenericFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testPositionGeneric() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); config.setDefaultProperties(ValueProperties.with("POSITION.*.DEFAULT_ForwardCurve", "BarForward") .with("POSITION.Present Value.DEFAULT_FundingCurve", "BarFunding").get()); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getPosition(positions, "Position")), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getPosition(positions, "PositionAttr")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "BarForward"); assertEquals(res2.getProperty("FundingCurve"), "BarFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testPositionSpecific() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final Position position1 = getPosition(positions, "PositionAttr"); config.setDefaultProperties(ValueProperties .with("POSITION.Present Value.DEFAULT_ForwardCurve." + position1.getUniqueId(), "BarForward") .with("POSITION.*.DEFAULT_FundingCurve." + position1.getUniqueId(), "BarFunding").get()); final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(position1), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getPosition(positions, "Position")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "DefaultForward"); assertEquals(res2.getProperty("FundingCurve"), "DefaultFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testPositionSpecificOverride() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final Position position1 = getPosition(positions, "PositionAttr"); config.setDefaultProperties(ValueProperties .with("POSITION.Present Value.DEFAULT_ForwardCurve." + position1.getUniqueId(), "BarForward") .with("POSITION.*.DEFAULT_FundingCurve." + position1.getUniqueId(), "BarFunding") .with("POSITION.*.DEFAULT_ForwardCurve", "GenericForward") .with("POSITION.Present Value.DEFAULT_FundingCurve", "GenericFunding").get()); final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(position1), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getPosition(positions, "Position")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "GenericForward"); assertEquals(res2.getProperty("FundingCurve"), "GenericFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testPositionAttribute() { final DependencyGraphBuilder builder = createBuilder(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getPosition(positions, "PositionAttr")), ValueProperties.none()); builder.addTarget(req1); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); assertEquals(res1.getProperty("ForwardCurve"), "FooForward"); assertEquals(res1.getProperty("FundingCurve"), "FooFunding"); assertEquals(res1.getProperty("Currency"), "USD"); } public void testSecurityGeneric() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); config.setDefaultProperties( ValueProperties.with("SECURITY.Present Value.DEFAULT_ForwardCurve", "BarForward") .with("SECURITY.*.DEFAULT_FundingCurve", "BarFunding").get()); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(builder.getCompilationContext().getSecuritySource() .getSingle(ExternalIdBundle.of(ExternalId.of("Security", "Swap")))), ValueProperties.none()); builder.addTarget(req1); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); } public void testSecuritySpecific() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); config.setDefaultProperties( ValueProperties.with("SECURITY.Present Value.DEFAULT_ForwardCurve.Security~Swap", "BarForward") .with("SECURITY.*.DEFAULT_FundingCurve.Security~Swap", "BarFunding").get()); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(builder.getCompilationContext().getSecuritySource() .getSingle(ExternalIdBundle.of(ExternalId.of("Security", "Swap")))), ValueProperties.none()); builder.addTarget(req1); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); } public void testSecuritySpecificOverride() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); config.setDefaultProperties(ValueProperties.with("SECURITY.*.DEFAULT_ForwardCurve", "GenericForward") .with("SECURITY.*.DEFAULT_FundingCurve", "GenericFunding") .with("SECURITY.Present Value.DEFAULT_ForwardCurve.Security~Swap", "BarForward") .with("SECURITY.Present Value.DEFAULT_FundingCurve.Security~Swap", "BarFunding").get()); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(builder.getCompilationContext().getSecuritySource() .getSingle(ExternalIdBundle.of(ExternalId.of("Security", "Swap")))), ValueProperties.none()); builder.addTarget(req1); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); } public void testTradeGeneric() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); config.setDefaultProperties(ValueProperties.with("TRADE.Present Value.DEFAULT_ForwardCurve", "BarForward") .with("TRADE.*.DEFAULT_FundingCurve", "BarFunding").get()); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getTrade(positions, "TradeAttr")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "BarForward"); assertEquals(res2.getProperty("FundingCurve"), "BarFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testTradeSpecific() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final Trade trade1 = getTrade(positions, "TradeAttr"); config.setDefaultProperties(ValueProperties .with("TRADE.*.DEFAULT_ForwardCurve." + trade1.getUniqueId(), "BarForward") .with("TRADE.Present Value.DEFAULT_FundingCurve." + trade1.getUniqueId(), "BarFunding").get()); final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(trade1), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "DefaultForward"); assertEquals(res2.getProperty("FundingCurve"), "DefaultFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testTradeSpecificOverride() { final DependencyGraphBuilder builder = createBuilder(); final ViewCalculationConfiguration config = builder.getCompilationContext() .getViewCalculationConfiguration(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final Trade trade1 = getTrade(positions, "TradeAttr"); config.setDefaultProperties(ValueProperties .with("TRADE.Present Value.DEFAULT_ForwardCurve", "GenericForward") .with("TRADE.*.DEFAULT_FundingCurve", "GenericFunding") .with("TRADE.*.DEFAULT_ForwardCurve." + trade1.getUniqueId(), "BarForward") .with("TRADE.Present Value.DEFAULT_FundingCurve." + trade1.getUniqueId(), "BarFunding").get()); final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(trade1), ValueProperties.none()); final ValueRequirement req2 = createValueRequirement( ComputationTargetSpecification.of(getTrade(positions, "Trade")), ValueProperties.none()); builder.addTarget(req1); builder.addTarget(req2); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2); assertEquals(res1.getProperty("ForwardCurve"), "BarForward"); assertEquals(res1.getProperty("FundingCurve"), "BarFunding"); assertEquals(res1.getProperty("Currency"), "USD"); assertEquals(res2.getProperty("ForwardCurve"), "GenericForward"); assertEquals(res2.getProperty("FundingCurve"), "GenericFunding"); assertEquals(res2.getProperty("Currency"), "USD"); } public void testTradeAttribute() { final DependencyGraphBuilder builder = createBuilder(); final PositionSource positions = builder.getCompilationContext().getPortfolioStructure() .getPositionSource(); final ValueRequirement req1 = createValueRequirement( ComputationTargetSpecification.of(getTrade(positions, "TradeAttr")), ValueProperties.none()); builder.addTarget(req1); builder.getDependencyGraph(); final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1); assertEquals(res1.getProperty("ForwardCurve"), "FooForward"); assertEquals(res1.getProperty("FundingCurve"), "FooFunding"); assertEquals(res1.getProperty("Currency"), "USD"); } }