/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.integration.tool.portfolio;
import static com.google.common.collect.Lists.newArrayList;
import static com.google.common.collect.Sets.newHashSet;
import static java.lang.String.format;
import java.security.SecureRandom;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.bbg.BloombergIdentifierProvider;
import com.opengamma.bbg.loader.hts.BloombergHistoricalTimeSeriesLoader;
import com.opengamma.component.tool.AbstractTool;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource;
import com.opengamma.core.marketdatasnapshot.impl.ManageableMarketDataSnapshot;
import com.opengamma.core.security.Security;
import com.opengamma.financial.analytics.curve.CurveDefinition;
import com.opengamma.financial.analytics.curve.CurveNodeIdMapper;
import com.opengamma.financial.security.cds.CreditDefaultSwapSecurity;
import com.opengamma.financial.security.option.CreditDefaultSwapOptionSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ObjectId;
import com.opengamma.id.UniqueId;
import com.opengamma.id.VersionCorrection;
import com.opengamma.integration.tool.IntegrationToolContext;
import com.opengamma.master.config.ConfigSearchRequest;
import com.opengamma.master.config.impl.MasterConfigSource;
import com.opengamma.master.historicaltimeseries.impl.HistoricalTimeSeriesRatingFieldNames;
import com.opengamma.master.marketdatasnapshot.MarketDataSnapshotSearchRequest;
import com.opengamma.master.marketdatasnapshot.MarketDataSnapshotSearchResult;
import com.opengamma.master.portfolio.ManageablePortfolio;
import com.opengamma.master.portfolio.PortfolioSearchRequest;
import com.opengamma.master.position.ManageablePosition;
import com.opengamma.master.position.PositionDocument;
import com.opengamma.master.security.ManageableSecurityLink;
import com.opengamma.master.security.SecurityDocument;
import com.opengamma.master.security.SecurityMaster;
import com.opengamma.master.security.SecuritySearchRequest;
import com.opengamma.master.security.SecuritySearchResult;
import com.opengamma.scripts.Scriptable;
import com.opengamma.util.time.Tenor;
/**
* CDS strike fixer.
*/
@Scriptable
public class CDSStrikeFixer extends AbstractTool<IntegrationToolContext> {
/**
* The name of the portfolio.
*/
public static final String PORTFOLIO_NAME = "MultiCurrency Swap Portfolio";
//-------------------------------------------------------------------------
/**
* Main method to run the tool.
*
* @param args the standard tool arguments, not null
*/
public static void main(final String[] args) { // CSIGNORE
new CDSStrikeFixer().invokeAndTerminate(args);
}
//-------------------------------------------------------------------------
@Override
protected void doRun() {
fixCDSOptionsStrike();
}
private void fixCDSOptionsStrike() {
final MasterConfigSource configSource = new MasterConfigSource(getToolContext().getConfigMaster());
final SecurityMaster securityMaster = getToolContext().getSecurityMaster();
String snapshotName = "Sameday spread";
MarketDataSnapshotSearchRequest marketDataSnapshotSearchRequest = new MarketDataSnapshotSearchRequest();
marketDataSnapshotSearchRequest.setName(snapshotName);
MarketDataSnapshotSearchResult marketDataSnapshotSearchResult = getToolContext().getMarketDataSnapshotMaster().search(marketDataSnapshotSearchRequest);
ManageableMarketDataSnapshot snapshot = marketDataSnapshotSearchResult.getFirstSnapshot();
PortfolioSearchRequest portfolioSearchRequest = new PortfolioSearchRequest();
portfolioSearchRequest.setName("CDSOpts");
//portfolioSearchRequest.setName("Standard CDS Portfolio");
List<ManageablePortfolio> portfolios = getToolContext().getPortfolioMaster().search(portfolioSearchRequest).getPortfolios();
for (ManageablePortfolio portfolio : portfolios) {
List<ObjectId> positionIds = portfolio.getRootNode().getPositionIds();
List<UniqueId> positionUids = newArrayList();
for (ObjectId positionId : positionIds) {
positionUids.add(positionId.atLatestVersion());
}
Map<UniqueId, PositionDocument> positions = getToolContext().getPositionMaster().get(positionUids);
// Ticker, RedCode, Currency, Term, Seniority, RestructuringClause
final List<ExternalId> cdsArgs = newArrayList();
final SecureRandom random = new SecureRandom();
for (PositionDocument positionDocument : positions.values()) {
ManageablePosition position = positionDocument.getValue();
ManageableSecurityLink link = position.getSecurityLink();
SecuritySearchRequest ssr = new SecuritySearchRequest();
ssr.addExternalIds(link.getExternalIds());
SecuritySearchResult securitySearchResult = getToolContext().getSecurityMaster().search(ssr);
Security security = securitySearchResult.getFirstSecurity();
//Security security = position.getSecurity();
if (security != null && security instanceof CreditDefaultSwapOptionSecurity) {
CreditDefaultSwapOptionSecurity cdsOption = (CreditDefaultSwapOptionSecurity) security;
CreditDefaultSwapSecurity cds = (CreditDefaultSwapSecurity) this.getToolContext().getSecuritySource().getSingle(
cdsOption.getUnderlyingId().toBundle());
String curveDefinitionID = "SAMEDAY_" + cds.getReferenceEntity().getValue() + "_" + cds.getNotional().getCurrency() + "_" +
cds.getDebtSeniority().toString() + "_" + cds.getRestructuringClause();
ConfigSearchRequest<CurveDefinition> curveDefinitionConfigSearchRequest = new ConfigSearchRequest<CurveDefinition>(CurveDefinition.class);
curveDefinitionConfigSearchRequest.setName(curveDefinitionID);
CurveDefinition curveDefinition = getToolContext().getConfigMaster().search(
curveDefinitionConfigSearchRequest).getFirstValue().getValue();
/*final CurveDefinition curveDefinition = configSource.getSingle(CurveDefinition.class,
curveName,
VersionCorrection.LATEST);
if (curveDefinition == null) {
throw new OpenGammaRuntimeException("No curve definition for " + curveName);
}
//Map<Tenor, CurveNode> curveNodesByTenors = new HashMap<Tenor, CurveNode>();
//for (CurveNode curveNode : curveDefinition.getNodes()) {
// curveNodesByTenors.put(curveNode.getResolvedMaturity(), curveNode);
//}
Map<Tenor, CurveNode> curveNodesByTenors = functional(curveDefinition.getNodes()).groupBy(new Function1<CurveNode, Tenor>() {
@Override
public Tenor execute(CurveNode curveNode) {
return curveNode.getResolvedMaturity();
}
});*/
ZonedDateTime start = cds.getStartDate();
ZonedDateTime maturity = cds.getMaturityDate();
Period period = Period.between(start.toLocalDate(), maturity.toLocalDate());
Tenor tenor = Tenor.of(period);
final CurveNodeIdMapper curveNodeIdMapper = configSource.getSingle(CurveNodeIdMapper.class,
curveDefinitionID,
VersionCorrection.LATEST);
try {
tenor = Tenor.of(Period.ofYears(5));
ExternalId timeSeriesId = curveNodeIdMapper.getCreditSpreadNodeId(null /* magic null - ask Elaine */, tenor);
Object strikeObj = snapshot.getGlobalValues().getValue(timeSeriesId, "PX_LAST").getMarketValue();
if ((strikeObj instanceof Double)) {
cdsOption.setStrike((Double) strikeObj);
} else {
throw new OpenGammaRuntimeException(format("Double expected for strike but '%s' found instead.", String.valueOf(strikeObj)));
}
//else throw?
//snapshot.getGlobalValues().getValue()
//cdsArgs.add(timeSeriesId);
//loadTimeSeries(newArrayList(timeSeriesId));
//LocalDate tradeDate = functional(position.getTrades()).first().getTradeDate();
//Double strike = getFixedRate(random, tradeDate, timeSeriesId);
securityMaster.update(new SecurityDocument(cdsOption));
} catch (Exception e) {
e.printStackTrace(); //To change body of catch statement use File | Settings | File Templates.
}
}
}
}
}
private void loadTimeSeries(final List<ExternalId> curveNodeIDs) {
final Set<ExternalId> externalIds = newHashSet(curveNodeIDs);
final BloombergHistoricalTimeSeriesLoader loader = new BloombergHistoricalTimeSeriesLoader(
getToolContext().getHistoricalTimeSeriesMaster(),
getToolContext().getHistoricalTimeSeriesProvider(),
new BloombergIdentifierProvider(getToolContext().getBloombergReferenceDataProvider()));
loader.loadTimeSeries(externalIds, "UNKNOWN", "PX_LAST", LocalDate.now().minusYears(1), LocalDate.now());
}
private Double getFixedRate(final SecureRandom random,
final LocalDate tradeDate,
final ExternalId curveId) {
final HistoricalTimeSeriesSource historicalSource = getToolContext().getHistoricalTimeSeriesSource();
final MasterConfigSource configSource = new MasterConfigSource(getToolContext().getConfigMaster());
final HistoricalTimeSeries fixedRateSeries = historicalSource.getHistoricalTimeSeries("PX_LAST",
curveId.toBundle(),
HistoricalTimeSeriesRatingFieldNames.DEFAULT_CONFIG_NAME,
tradeDate,
true,
LocalDate.now(),
true);
if (fixedRateSeries == null) {
throw new OpenGammaRuntimeException("can't find time series for " + curveId + " on " + tradeDate);
}
return fixedRateSeries.getTimeSeries().getLatestValue();
}
}