Java tutorial
/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.integration.tool.marketdata; import static com.google.common.collect.Sets.newHashSet; import static com.opengamma.lambdava.streams.Lambdava.functional; import java.util.ArrayList; import java.util.Collection; import java.util.HashSet; import java.util.List; import java.util.Map; import java.util.Set; import org.apache.commons.cli.Option; import org.apache.commons.cli.Options; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import org.threeten.bp.Clock; import org.threeten.bp.LocalDate; import com.opengamma.bbg.loader.BloombergBulkSecurityLoader; import com.opengamma.component.tool.AbstractTool; import com.opengamma.core.config.ConfigSource; import com.opengamma.core.id.ExternalSchemes; import com.opengamma.core.security.Security; import com.opengamma.core.security.SecuritySource; import com.opengamma.financial.analytics.ircurve.ConfigDBInterpolatedYieldCurveSpecificationBuilder; import com.opengamma.financial.analytics.ircurve.FixedIncomeStripWithIdentifier; import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecification; import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationBuilder; import com.opengamma.financial.analytics.ircurve.StripInstrumentType; import com.opengamma.financial.analytics.ircurve.YieldCurveDefinition; import com.opengamma.financial.security.future.InterestRateFutureSecurity; import com.opengamma.financial.timeseries.exchange.DefaultExchangeDataProvider; import com.opengamma.id.ExternalId; import com.opengamma.id.ExternalIdBundle; import com.opengamma.integration.tool.IntegrationToolContext; import com.opengamma.lambdava.functions.Function1; import com.opengamma.master.config.ConfigDocument; import com.opengamma.master.config.ConfigMaster; import com.opengamma.master.config.ConfigSearchRequest; import com.opengamma.master.config.impl.ConfigSearchIterator; import com.opengamma.master.security.ManageableSecurity; import com.opengamma.master.security.SecurityMaster; import com.opengamma.master.security.SecurityMasterUtils; import com.opengamma.scripts.Scriptable; import com.opengamma.util.money.Currency; /** */ @Scriptable public class CurveFutureSecurityLoaderTool extends AbstractTool<IntegrationToolContext> { /** * Logger. */ private static Logger s_logger = LoggerFactory.getLogger(CurveFutureSecurityLoaderTool.class); /** Portfolio name option flag*/ private static final String CURVE_NAME_OPT = "n"; /** Write option flag */ private static final String WRITE_OPT = "w"; /** Verbose option flag */ private static final String VERBOSE_OPT = "v"; //------------------------------------------------------------------------- /** * Main method to run the tool. * No arguments are needed. * * @param args the arguments, unused */ public static void main(final String[] args) { // CSIGNORE new CurveFutureSecurityLoaderTool().initAndRun(args, IntegrationToolContext.class); System.exit(0); } //------------------------------------------------------------------------- @Override protected void doRun() { final ConfigSource configSource = getToolContext().getConfigSource(); final ConfigMaster configMaster = getToolContext().getConfigMaster(); // Find all matching curves final List<YieldCurveDefinition> curves = getCurveDefinitionNames(configMaster, getCommandLine().getOptionValue(CURVE_NAME_OPT)); // build list of curve dates so that we pre-load contracts out several years where possible. final List<LocalDate> dates = buildDates(); // build list of futures ids final Set<ExternalId> curveNodesExternalIds = getCurveFutureExternalIds(configSource, curves, dates); // filter out ids that are already loaded into the sec master final Set<ExternalId> unloadedIds = filterPresentIds(curveNodesExternalIds); // Load the required future securities loadSecuritylData(getCommandLine().hasOption(WRITE_OPT), unloadedIds); } /** * Generate quarterly dates +/- 2 years around today to cover futures from past and near future * @return list of dates */ private List<LocalDate> buildDates() { final Clock clock = Clock.systemDefaultZone(); final List<LocalDate> dates = new ArrayList<LocalDate>(); final LocalDate twoYearsAgo = LocalDate.now(clock).minusYears(2); final LocalDate twoYearsTime = LocalDate.now(clock).plusYears(2); for (LocalDate next = twoYearsAgo; next.isBefore(twoYearsTime); next = next.plusMonths(3)) { dates.add(next); } return dates; } /** * Get all the curve definition config object names specified by glob expression. * @param configMaster * @param nameExpr glob type expression - e.g. blah* * @return list of names of config objects matching glob expression */ private List<YieldCurveDefinition> getCurveDefinitionNames(final ConfigMaster configMaster, final String nameExpr) { final List<YieldCurveDefinition> results = new ArrayList<YieldCurveDefinition>(); final ConfigSearchRequest<YieldCurveDefinition> request = new ConfigSearchRequest<YieldCurveDefinition>( YieldCurveDefinition.class); request.setName(nameExpr); for (final ConfigDocument doc : ConfigSearchIterator.iterable(configMaster, request)) { results.add((YieldCurveDefinition) doc.getConfig().getValue()); } return results; } /** * For a given list of curve definitions, on a given list of dates, get all ids on futures required by those curves. * @param configSource configuration source * @param curveDefs curve definitions * @param dates list of dates to construct the curve on * @return list of all futures ids required by curves */ private Set<ExternalId> getCurveFutureExternalIds(final ConfigSource configSource, final Collection<YieldCurveDefinition> curveDefs, final List<LocalDate> dates) { final Set<ExternalId> externalIds = newHashSet(); for (final YieldCurveDefinition curveDefinition : curveDefs) { if (curveDefinition != null) { InterpolatedYieldCurveSpecificationBuilder builder = new ConfigDBInterpolatedYieldCurveSpecificationBuilder( configSource); for (LocalDate date : dates) { if (isVerbose()) { System.out.println("Processing curve " + curveDefinition.getName() + " for date " + date); } try { final InterpolatedYieldCurveSpecification curveSpec = builder.buildCurve(date, curveDefinition); for (final FixedIncomeStripWithIdentifier strip : curveSpec.getStrips()) { s_logger.info("Processing strip " + strip.getSecurity()); if (strip.getInstrumentType() == StripInstrumentType.FUTURE) { externalIds.add(strip.getSecurity()); } } } catch (final Throwable t) { s_logger.warn("Unable to build curve " + t.getMessage()); } } } else { s_logger.warn("Null curve definition, skipping."); } } return externalIds; } private void loadSecuritylData(final boolean write, final Set<ExternalId> externalIds) { BloombergBulkSecurityLoader bulkSecurityLoader = new BloombergBulkSecurityLoader( getToolContext().getBloombergReferenceDataProvider(), DefaultExchangeDataProvider.getInstance()); SecurityMaster secMaster = getToolContext().getSecurityMaster(); Set<ExternalIdBundle> externalIdBundles = new HashSet<>(); for (ExternalId externalId : externalIds) { externalIdBundles.add(externalId.toBundle()); } Map<ExternalIdBundle, ManageableSecurity> loadedSecurities = bulkSecurityLoader .loadSecurity(externalIdBundles); for (Map.Entry<ExternalIdBundle, ManageableSecurity> entry : loadedSecurities.entrySet()) { SecurityMasterUtils.addOrUpdateSecurity(secMaster, entry.getValue()); if (isVerbose()) { System.out.println( "Loading security " + entry.getKey().getExternalId(ExternalSchemes.BLOOMBERG_TICKER)); } } } private boolean isVerbose() { return getCommandLine().hasOption(VERBOSE_OPT); } private Set<ExternalId> filterPresentIds(Set<ExternalId> externalIds) { Set<ExternalId> filtered = new HashSet<>(); SecuritySource securitySource = getToolContext().getSecuritySource(); for (ExternalId externalId : externalIds) { Security security = securitySource.getSingle(externalId.toBundle()); if (security instanceof InterestRateFutureSecurity) { continue; } filtered.add(externalId); } if (isVerbose()) { System.out.println("Of " + externalIds.size() + " ids, " + filtered.size() + " were not present in the security master"); } return filtered; } @Override protected Options createOptions(final boolean contextProvided) { final Options options = super.createOptions(contextProvided); final Option curveNameOption = new Option(CURVE_NAME_OPT, "name", true, "The name of the yield curve definition for which to resolve time series"); curveNameOption.setRequired(true); options.addOption(curveNameOption); final Option writeOption = new Option(WRITE_OPT, "write", false, "Actually persists the time series to the database if specified, otherwise pretty-prints without persisting"); options.addOption(writeOption); final Option verboseOption = new Option(VERBOSE_OPT, "verbose", false, "Displays progress messages on the terminal"); options.addOption(verboseOption); return options; } }