/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.integration.tool.config;
import java.util.ArrayList;
import java.util.Collection;
import java.util.Collections;
import java.util.HashSet;
import java.util.List;
import java.util.Set;
import java.util.TreeSet;
import java.util.regex.Matcher;
import java.util.regex.Pattern;
import org.apache.commons.cli.CommandLine;
import org.apache.commons.cli.HelpFormatter;
import org.apache.commons.cli.Option;
import org.apache.commons.cli.OptionBuilder;
import org.apache.commons.cli.Options;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.ImmutableList;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.bbg.BloombergConstants;
import com.opengamma.bbg.referencedata.ReferenceDataProvider;
import com.opengamma.bbg.util.BloombergDataUtils;
import com.opengamma.bbg.util.BloombergTickerParserBondFutureOption;
import com.opengamma.bbg.util.BloombergTickerParserCommodityFutureOption;
import com.opengamma.bbg.util.BloombergTickerParserEQIndexOption;
import com.opengamma.bbg.util.BloombergTickerParserEQVanillaOption;
import com.opengamma.bbg.util.BloombergTickerParserFutureOption;
import com.opengamma.bbg.util.BloombergTickerParserIRFutureOption;
import com.opengamma.component.tool.AbstractTool;
import com.opengamma.core.config.impl.ConfigItem;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.value.SurfaceAndCubePropertyNames;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.volatility.surface.BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider;
import com.opengamma.financial.analytics.volatility.surface.BloombergCommodityFutureOptionVolatilitySurfaceInstrumentProvider;
import com.opengamma.financial.analytics.volatility.surface.BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider;
import com.opengamma.financial.analytics.volatility.surface.BloombergFutureOptionVolatilitySurfaceInstrumentProvider;
import com.opengamma.financial.analytics.volatility.surface.BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider;
import com.opengamma.financial.analytics.volatility.surface.SurfaceAndCubeQuoteType;
import com.opengamma.financial.analytics.volatility.surface.SurfaceInstrumentProvider;
import com.opengamma.financial.analytics.volatility.surface.VolatilitySurfaceDefinition;
import com.opengamma.financial.analytics.volatility.surface.VolatilitySurfaceSpecification;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.bond.GovernmentBondSecurity;
import com.opengamma.financial.security.equity.EquitySecurity;
import com.opengamma.financial.security.future.AgricultureFutureSecurity;
import com.opengamma.financial.security.future.BondFutureSecurity;
import com.opengamma.financial.security.future.EnergyFutureSecurity;
import com.opengamma.financial.security.future.EquityFutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.financial.security.future.MetalFutureSecurity;
import com.opengamma.financial.security.option.BondFutureOptionSecurity;
import com.opengamma.financial.security.option.CommodityFutureOptionSecurity;
import com.opengamma.financial.security.option.EquityIndexOptionSecurity;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.financial.security.option.FXBarrierOptionSecurity;
import com.opengamma.financial.security.option.FXDigitalOptionSecurity;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXDigitalOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXOptionSecurity;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.financial.tool.ToolContext;
import com.opengamma.id.ExternalId;
import com.opengamma.id.UniqueId;
import com.opengamma.id.UniqueIdentifiable;
import com.opengamma.integration.tool.IntegrationToolContext;
import com.opengamma.master.config.ConfigDocument;
import com.opengamma.master.config.ConfigMaster;
import com.opengamma.master.config.ConfigMasterUtils;
import com.opengamma.master.config.ConfigSearchRequest;
import com.opengamma.master.config.impl.ConfigSearchIterator;
import com.opengamma.master.security.SecurityDocument;
import com.opengamma.master.security.SecurityMaster;
import com.opengamma.master.security.SecuritySearchRequest;
import com.opengamma.master.security.SecuritySearchSortOrder;
import com.opengamma.master.security.impl.SecuritySearchIterator;
import com.opengamma.scripts.Scriptable;
import com.opengamma.util.OpenGammaClock;
import com.opengamma.util.tuple.ObjectsPair;
/**
* Create volatility surfaces based on the instruments in security master.
*/
@Scriptable
public class VolatilitySurfaceCreator extends AbstractTool<IntegrationToolContext> {
/** Logger. */
private static Logger s_logger = LoggerFactory.getLogger(VolatilitySurfaceCreator.class);
/** bbg surface prefix */
private static final String BBG_SURFACE_PREFIX = "BBG_";
/** for ir bonds when using price */
private static final String PRICE = "PRICE_";
/** implied vol */
private static final String FIELD_NAME_VOL = MarketDataRequirementNames.IMPLIED_VOLATILITY;
/** when getting price instead of vol */
private static final String FIELD_NAME_PRICE = MarketDataRequirementNames.MARKET_VALUE;
/** wildcard search symbol */
private static final String WILDCARD_SEARCH = "*";
/** regexp to get strike from option ticker */
private static final String STRIKE_REGEXP = "[CP][ ]*((\\d)+(.\\d+)*)\\b";
//Track surfaces we create so we dont recreate them when multiple securities need them
/** vol definitions we have created */
private final Set<String> _volDefinitionNames = new HashSet<String>();
/** vol specifications we have created */
private final Set<String> _volSpecificationNames = new HashSet<String>();
//-------------------------------------------------------------------------
/**
* Main method to run the tool.
*
* @param args the standard tool arguments, not null
*/
public static void main(String[] args) { // CSIGNORE
new VolatilitySurfaceCreator().invokeAndTerminate(args);
}
//-------------------------------------------------------------------------
@Override
protected void doRun() {
ToolContext toolContext = getToolContext();
ConfigMaster configMaster = toolContext.getConfigMaster();
CommandLine commandLine = getCommandLine();
final String name = commandLine.getOptionValue("name", WILDCARD_SEARCH);
final boolean dryRun = commandLine.hasOption("do-not-persist");
final boolean skipExisting = commandLine.hasOption("skip");
// if skipping existing surfaces get the list now
if (skipExisting) {
ConfigSearchRequest<VolatilitySurfaceDefinition<?, ?>> volDefinitionSearchRequest = new ConfigSearchRequest<VolatilitySurfaceDefinition<?, ?>>();
volDefinitionSearchRequest.setType(VolatilitySurfaceDefinition.class);
// can't use name to restrict search as ticker symbol may not be same as underlying symbol (e.g. RUT vs RUY)
volDefinitionSearchRequest.setName(WILDCARD_SEARCH);
for (ConfigDocument doc : ConfigSearchIterator.iterable(configMaster, volDefinitionSearchRequest)) {
_volDefinitionNames.add(doc.getName());
}
ConfigSearchRequest<VolatilitySurfaceSpecification> volSpecSearchRequest = new ConfigSearchRequest<VolatilitySurfaceSpecification>();
volSpecSearchRequest.setType(VolatilitySurfaceSpecification.class);
// can't use name to restrict search as ticker symbol may not be same as underlying symbol (e.g. RUT vs RUY)
volSpecSearchRequest.setName(WILDCARD_SEARCH);
for (ConfigDocument doc : ConfigSearchIterator.iterable(configMaster, volSpecSearchRequest)) {
_volSpecificationNames.add(doc.getName());
}
}
createSurfaces(name, dryRun);
}
/**
* Create surfaces for all (non-expired) securities
*
* @param name the pattern to match securities
* @param dryRun set to true to not write to the database
*/
private void createSurfaces(String name, boolean dryRun) {
ConfigMaster configMaster = getToolContext().getConfigMaster();
SecurityMaster securityMaster = getToolContext().getSecurityMaster();
ReferenceDataProvider bbgRefData = getToolContext().getBloombergReferenceDataProvider();
SecuritySearchRequest securityRequest = new SecuritySearchRequest();
securityRequest.setName(name);
securityRequest.setSortOrder(SecuritySearchSortOrder.NAME_ASC);
for (SecurityDocument doc : SecuritySearchIterator.iterable(securityMaster, securityRequest)) {
FinancialSecurity security = (FinancialSecurity) doc.getSecurity();
try {
security.accept(new VolSurfaceCreatorVisitor(configMaster, bbgRefData, _volSpecificationNames, _volDefinitionNames, dryRun));
} catch (Exception ex) {
s_logger.error("Error processing " + security.getName() + ": " + ex.getLocalizedMessage());
continue;
}
}
}
/**
* Visitor that creates surfaces for the security it visits
*/
private class VolSurfaceCreatorVisitor extends FinancialSecurityVisitorAdapter<Object> {
/** the config master */
private final ConfigMaster _configMaster;
/** the reference data provider */
private final ReferenceDataProvider _referenceDataProvider;
/** known vol specifications */
private final Set<String> _knownVolSpecNames;
/** known vol definitions */
private final Set<String> _knownVolDefNames;
/** skip write to database */
private final boolean _dryRun;
/**
* @param configMaster the config master
* @param referenceDataProvider the reference data provider
* @param knownVolSpecNames surface specifications to skip
* @param knownVolDefNames surface definitions to skip
* @param dryRun if true skip write to the database
*/
VolSurfaceCreatorVisitor(final ConfigMaster configMaster, final ReferenceDataProvider referenceDataProvider, final Set<String> knownVolSpecNames, final Set<String> knownVolDefNames,
final boolean dryRun) {
_configMaster = configMaster;
_referenceDataProvider = referenceDataProvider;
_knownVolSpecNames = knownVolSpecNames;
_knownVolDefNames = knownVolDefNames;
_dryRun = dryRun;
}
@Override
public Object visitBondFutureOptionSecurity(final BondFutureOptionSecurity security) {
if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
return null;
}
final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserBondFutureOption(ticker);
//final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
String underlyingOptChainTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
final String name = BBG_SURFACE_PREFIX + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.BOND_FUTURE_OPTION;
if (!_knownVolSpecNames.contains(name)) {
s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
final BloombergFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
new BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_VOL, getSpot(underlyingOptChainTicker),
security.getTradingExchange());
createVolatilitySpecification(security.getCurrency().getUniqueId(), name, surfaceInstrumentProvider);
}
createvolatilityDefinition(underlyingOptChainTicker, name, security.getCurrency().getUniqueId());
return null;
}
@Override
public Object visitCommodityFutureOptionSecurity(final CommodityFutureOptionSecurity security) {
if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
return null;
}
final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserCommodityFutureOption(ticker);
// final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
String underlyingOptChainTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
final String name = BBG_SURFACE_PREFIX + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.COMMODITY_FUTURE_OPTION;
if (!_knownVolSpecNames.contains(name)) {
s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
final BloombergCommodityFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
new BloombergCommodityFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_VOL, getSpot(underlyingOptChainTicker),
security.getTradingExchange());
createVolatilitySpecification(security.getCurrency().getUniqueId(), name, surfaceInstrumentProvider);
}
createvolatilityDefinition(underlyingOptChainTicker, name, security.getCurrency().getUniqueId());
return null;
}
@Override
public Object visitEquityIndexOptionSecurity(final EquityIndexOptionSecurity security) {
if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
return null;
}
final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
final BloombergTickerParserEQIndexOption tickerParser = new BloombergTickerParserEQIndexOption(ticker);
final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
String underlyingTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), postfix);
final String name = BBG_SURFACE_PREFIX + underlyingTicker + "_" + InstrumentTypeProperties.EQUITY_OPTION;
if (!_knownVolSpecNames.contains(name)) {
s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
final BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
new BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), postfix, FIELD_NAME_VOL, getSpot(underlyingTicker), security.getExchange());
createVolatilitySpecification(UniqueId.of(ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName(), underlyingTicker), name, surfaceInstrumentProvider);
}
createvolatilityDefinition(underlyingTicker, name, UniqueId.of(ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName(), underlyingTicker));
return null;
}
@Override
public Object visitEquityOptionSecurity(final EquityOptionSecurity security) {
if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
return null;
}
final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
final String prefix = new BloombergTickerParserEQVanillaOption(ticker).getSymbol() + " " + security.getExchange();
String underlyingTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), postfix);
final String name = BBG_SURFACE_PREFIX + prefix + "_" + InstrumentTypeProperties.EQUITY_OPTION;
if (!_knownVolSpecNames.contains(name)) {
s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
final BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
new BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(prefix, postfix, FIELD_NAME_VOL, getSpot(underlyingTicker), security.getExchange());
createVolatilitySpecification(UniqueId.of(ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName(), underlyingTicker), name, surfaceInstrumentProvider);
}
createvolatilityDefinition(underlyingTicker, name, UniqueId.of(ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName(), underlyingTicker));
return null;
}
@Override
public Object visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
return null;
}
final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserIRFutureOption(ticker);
// final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
String underlyingTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
final String name = BBG_SURFACE_PREFIX + PRICE + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.IR_FUTURE_OPTION;
if (!_knownVolSpecNames.contains(name)) {
s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
final BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
new BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_PRICE, getSpot(underlyingTicker), security.getExchange());
createVolatilitySpecification(security.getCurrency().getUniqueId(), name, surfaceInstrumentProvider, SurfaceAndCubePropertyNames.PRICE_QUOTE);
}
createvolatilityDefinition(underlyingTicker, name, security.getCurrency().getUniqueId());
return null;
}
// ------ FX securities handled by a different tool ------
@Override
public Object visitFXOptionSecurity(final FXOptionSecurity security) {
return null;
}
@Override
public Object visitFXBarrierOptionSecurity(final FXBarrierOptionSecurity security) {
return null;
}
@Override
public Object visitFXDigitalOptionSecurity(final FXDigitalOptionSecurity security) {
return null;
}
@Override
public Object visitNonDeliverableFXOptionSecurity(final NonDeliverableFXOptionSecurity security) {
return null;
}
@Override
public Object visitNonDeliverableFXDigitalOptionSecurity(final NonDeliverableFXDigitalOptionSecurity security) {
return null;
}
// ------ Non option securities -------
@Override
public Object visitEquitySecurity(final EquitySecurity security) {
return null;
}
@Override
public Object visitEquityFutureSecurity(final EquityFutureSecurity security) {
return null;
}
@Override
public Object visitBondFutureSecurity(final BondFutureSecurity security) {
return null;
}
@Override
public Object visitInterestRateFutureSecurity(final InterestRateFutureSecurity security) {
return null;
}
@Override
public Object visitEnergyFutureSecurity(final EnergyFutureSecurity security) {
return null;
}
@Override
public Object visitMetalFutureSecurity(final MetalFutureSecurity security) {
return null;
}
@Override
public Object visitAgricultureFutureSecurity(final AgricultureFutureSecurity security) {
return null;
}
@Override
public Object visitGovernmentBondSecurity(final GovernmentBondSecurity security) {
return null;
}
@Override
public Object visitSwapSecurity(final SwapSecurity security) {
return null;
}
@Override
public Object visitSwaptionSecurity(final SwaptionSecurity security) {
return null;
}
private void createvolatilityDefinition(final String underlyingTicker, final String name, final UniqueId target) {
if (!_knownVolDefNames.contains(name)) {
s_logger.info("Creating VolatilitySurfaceDefinition \"{}\"", name);
final Set<ExternalId> options = BloombergDataUtils.getOptionChain(_referenceDataProvider, underlyingTicker);
final ObjectsPair<ImmutableList<Double>, ImmutableList<Double>> axes = determineAxes(options);
final VolatilitySurfaceDefinition<Double, Double> volSurfaceDefinition =
new VolatilitySurfaceDefinition<Double, Double>(name, target,
axes.getFirst().toArray(new Double[0]), axes.getSecond().toArray(new Double[0]));
final ConfigItem<VolatilitySurfaceDefinition<Double, Double>> volDefinition = ConfigItem.of(volSurfaceDefinition, volSurfaceDefinition.getName(), VolatilitySurfaceDefinition.class);
if (!_dryRun) {
ConfigMasterUtils.storeByName(_configMaster, volDefinition);
}
_knownVolDefNames.add(name);
}
}
private void createVolatilitySpecification(final UniqueIdentifiable target, final String name, final SurfaceInstrumentProvider<?, ?> surfaceInstrumentProvider, String quoteUnits) {
final VolatilitySurfaceSpecification volSurfaceSpec = new VolatilitySurfaceSpecification(name, target,
SurfaceAndCubeQuoteType.CALL_AND_PUT_STRIKE, quoteUnits,
surfaceInstrumentProvider);
final ConfigItem<VolatilitySurfaceSpecification> volSpecConfig = ConfigItem.of(volSurfaceSpec, volSurfaceSpec.getName(), VolatilitySurfaceSpecification.class);
if (!_dryRun) {
ConfigMasterUtils.storeByName(_configMaster, volSpecConfig);
}
_knownVolSpecNames.add(name);
}
private void createVolatilitySpecification(final UniqueIdentifiable target, final String name, final SurfaceInstrumentProvider<?, ?> surfaceInstrumentProvider) {
createVolatilitySpecification(target, name, surfaceInstrumentProvider, SurfaceAndCubePropertyNames.VOLATILITY_QUOTE);
}
/**
* From the available options determine axes for a volatility surface.
* @param options the available options as given by OPT_CHAIN (must be tickers)
* @return x and y axes
*/
private ObjectsPair<ImmutableList<Double>, ImmutableList<Double>> determineAxes(Collection<ExternalId> options) {
Set<Double> strikes = new TreeSet<Double>();
Pattern strikePattern = Pattern.compile(STRIKE_REGEXP);
for (ExternalId option : options) {
String name = option.getValue();
Matcher matcher = strikePattern.matcher(name);
if (!matcher.find()) {
s_logger.error("Cant calculate strike for {}", name);
continue;
}
strikes.add(Double.valueOf(matcher.group(1)));
}
if (strikes.isEmpty()) {
throw new OpenGammaRuntimeException("Could not get any strikes");
}
// assume all strikes exist for all exercise dates
int numX = options.size() / strikes.size();
// Could call FUT_CHAIN to get list if OPT_CHAIN list is insufficient but just default to a reasonable value
if (numX < 17) {
numX = 17;
}
List<Double> xAxis = new ArrayList<Double>();
for (int i = 1; i < numX + 1; i++) {
xAxis.add(Double.valueOf(i));
}
return ObjectsPair.of(ImmutableList.copyOf(xAxis), ImmutableList.copyOf(strikes));
}
private String getUnderlyingTicker(final String ticker, final ExternalId underlyingId, final String postfix) {
if (underlyingId.isScheme(ExternalSchemes.BLOOMBERG_TICKER)) {
return underlyingId.getValue();
}
// underlying id is not a ticker - have to lookup
//TODO: check if there is a better buid -> ticker lookup function
String underlyingTicker = _referenceDataProvider.getReferenceData(Collections.singleton(ticker), Collections.singleton(BloombergConstants.FIELD_OPT_UNDL_TICKER))
.get(ticker)
.getString(BloombergConstants.FIELD_OPT_UNDL_TICKER) + " " + BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
if (!underlyingTicker.endsWith(postfix)) {
underlyingTicker = underlyingTicker + " " + postfix;
}
return underlyingTicker;
}
private double getSpot(final String ticker) {
//TODO: check if this is the correct field
return _referenceDataProvider.getReferenceData(Collections.singleton(ticker), Collections.singleton(BloombergConstants.BBG_FIELD_LAST_PRICE))
.get(ticker)
.getDouble(BloombergConstants.BBG_FIELD_LAST_PRICE).doubleValue();
}
}
@Override
protected Options createOptions(boolean mandatoryConfig) {
Options options = super.createOptions(mandatoryConfig);
options.addOption(createSearchOption());
options.addOption(createDoNotPersistOption());
options.addOption(createSkipExistingOption());
return options;
}
@SuppressWarnings("static-access")
private Option createSearchOption() {
return OptionBuilder.isRequired(false)
.hasArgs()
.withArgName("name search string")
.withDescription("The name(s) you want to search for (globbing available) - default all")
.withLongOpt("name")
.create("n");
}
@SuppressWarnings("static-access")
private Option createDoNotPersistOption() {
return OptionBuilder.isRequired(false)
.hasArg(false)
.withDescription("Simulate writing rather than actually writing to DB")
.withLongOpt("do-not-persist")
.create("d");
}
@SuppressWarnings("static-access")
private Option createSkipExistingOption() {
return OptionBuilder.isRequired(false)
.hasArg(false)
.withDescription("Skip surfaces that already exist - do not overwrite")
.withLongOpt("skip")
.create("s");
}
@Override
protected void usage(Options options) {
HelpFormatter formatter = new HelpFormatter();
formatter.setWidth(120);
formatter.printHelp("volatility-surface-creator.sh", options, true);
}
}