/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.examples;
import java.time.LocalDate;
import java.util.List;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.calc.CalculationRules;
import com.opengamma.strata.calc.CalculationRunner;
import com.opengamma.strata.calc.Column;
import com.opengamma.strata.calc.Results;
import com.opengamma.strata.calc.runner.CalculationFunctions;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.examples.marketdata.ExampleData;
import com.opengamma.strata.examples.marketdata.ExampleMarketData;
import com.opengamma.strata.examples.marketdata.ExampleMarketDataBuilder;
import com.opengamma.strata.measure.Measures;
import com.opengamma.strata.measure.StandardComponents;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.TradeAttributeType;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.dsf.Dsf;
import com.opengamma.strata.product.dsf.DsfTrade;
import com.opengamma.strata.product.swap.Swap;
import com.opengamma.strata.product.swap.type.FixedIborSwapConventions;
import com.opengamma.strata.report.ReportCalculationResults;
import com.opengamma.strata.report.trade.TradeReport;
import com.opengamma.strata.report.trade.TradeReportTemplate;
/**
* Example to illustrate using the engine to price a Deliverable Swap Future (DSF).
* <p>
* This makes use of the example engine and the example market data environment.
*/
public class DsfPricingExample {
/**
* Runs the example, pricing the instruments, producing the output as an ASCII table.
*
* @param args ignored
*/
public static void main(String[] args) {
// setup calculation runner component, which needs life-cycle management
// a typical application might use dependency injection to obtain the instance
try (CalculationRunner runner = CalculationRunner.ofMultiThreaded()) {
calculate(runner);
}
}
// obtains the data and calculates the grid of results
private static void calculate(CalculationRunner runner) {
// the reference data, such as holidays and securities
ReferenceData refData = ReferenceData.standard();
// the trades that will have measures calculated
List<Trade> trades = ImmutableList.of(createTrade1(refData), createTrade2(refData));
// the columns, specifying the measures to be calculated
List<Column> columns = ImmutableList.of(
Column.of(Measures.PRESENT_VALUE),
Column.of(Measures.PV01_CALIBRATED_SUM),
Column.of(Measures.PV01_CALIBRATED_BUCKETED));
// use the built-in example market data
LocalDate valuationDate = LocalDate.of(2014, 1, 22);
ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);
// the complete set of rules for calculating measures
CalculationFunctions functions = StandardComponents.calculationFunctions();
CalculationRules rules = CalculationRules.of(functions, marketDataBuilder.ratesLookup(valuationDate));
// calculate the results
Results results = runner.calculate(rules, trades, columns, marketData, refData);
// use the report runner to transform the engine results into a trade report
ReportCalculationResults calculationResults =
ReportCalculationResults.of(valuationDate, trades, columns, results, functions, refData);
TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("dsf-report-template");
TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
tradeReport.writeAsciiTable(System.out);
}
//-----------------------------------------------------------------------
// create a trade
private static Trade createTrade1(ReferenceData refData) {
Swap swap = FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M.createTrade(
LocalDate.of(2015, 3, 18), Tenor.TENOR_5Y, BuySell.SELL, 1, 0.02, refData).getProduct();
Dsf product = Dsf.builder()
.securityId(SecurityId.of("OG-Future", "CME-F1U-Mar15"))
.lastTradeDate(LocalDate.of(2015, 3, 16))
.deliveryDate(LocalDate.of(2015, 3, 18))
.notional(100_000)
.underlyingSwap(swap)
.build();
return DsfTrade.builder()
.info(TradeInfo.builder()
.id(StandardId.of("example", "1"))
.addAttribute(TradeAttributeType.DESCRIPTION, "CME-5Y-DSF Mar15")
.counterparty(StandardId.of("mn", "Dealer G"))
.tradeDate(LocalDate.of(2015, 3, 18))
.settlementDate(LocalDate.of(2015, 3, 18))
.build())
.product(product)
.quantity(20)
.price(1.0075)
.build();
}
// create a trade
private static Trade createTrade2(ReferenceData refData) {
Swap swap = FixedIborSwapConventions.USD_FIXED_6M_LIBOR_3M.createTrade(
LocalDate.of(2015, 6, 17), Tenor.TENOR_5Y, BuySell.SELL, 1, 0.02, refData).getProduct();
Dsf product = Dsf.builder()
.securityId(SecurityId.of("OG-Future", "CME-F1U-Jun15"))
.lastTradeDate(LocalDate.of(2015, 6, 15))
.deliveryDate(LocalDate.of(2015, 6, 17))
.notional(100_000)
.underlyingSwap(swap)
.build();
return DsfTrade.builder()
.info(TradeInfo.builder()
.id(StandardId.of("example", "2"))
.addAttribute(TradeAttributeType.DESCRIPTION, "CME-5Y-DSF Jun15")
.counterparty(StandardId.of("mn", "Dealer G"))
.tradeDate(LocalDate.of(2015, 6, 17))
.settlementDate(LocalDate.of(2015, 6, 17))
.build())
.product(product)
.quantity(20)
.price(1.0085)
.build();
}
}