com.opengamma.margining.example.EurexPrismaOtcMarginClient.java Source code

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Here is the source code for com.opengamma.margining.example.EurexPrismaOtcMarginClient.java

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/**
 * Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
 * <p/>
 * Please see distribution for license.
 */
package com.opengamma.margining.example;

import com.google.common.collect.ImmutableList;
import com.google.common.collect.Table;
import com.opengamma.margining.core.MarginEnvironment;
import com.opengamma.margining.core.MarginEnvironmentFactory;
import com.opengamma.margining.core.request.MarginCalculator;
import com.opengamma.margining.core.request.PortfolioMeasure;
import com.opengamma.margining.core.request.TradeMeasure;
import com.opengamma.margining.core.result.MarginResults;
import com.opengamma.margining.core.trade.MarginPortfolio;
import com.opengamma.margining.core.util.CheckResults;
import com.opengamma.margining.core.util.OgmLinkResolver;
import com.opengamma.margining.core.util.PortfolioMeasureResultFormatter;
import com.opengamma.margining.core.util.TradeMeasureResultFormatter;
import com.opengamma.margining.eurex.prisma.data.FileResources;
import com.opengamma.margining.eurex.prisma.data.MarketDataFileResolver;
import com.opengamma.margining.eurex.prisma.loader.MarketDataLoaders;
import com.opengamma.margining.eurex.prisma.loader.PortfolioLoader;
import com.opengamma.margining.eurex.prisma.replication.EurexPrismaReplication;
import com.opengamma.margining.eurex.prisma.replication.data.EurexMarketDataLoadRequest;
import com.opengamma.margining.eurex.prisma.replication.data.EurexOtcMarketDataLoadRequest;
import com.opengamma.margining.eurex.prisma.replication.request.EurexPrismaReplicationRequest;
import com.opengamma.margining.eurex.prisma.replication.request.EurexPrismaReplicationRequests;
import com.opengamma.sesame.trade.TradeWrapper;
import com.opengamma.util.result.Result;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.LocalDate;

import java.io.IOException;
import java.net.URL;

/**
 * Basic integration example for Eurex Prisma calculations on OTC trades.
 */
public class EurexPrismaOtcMarginClient {

    private static final Logger s_logger = LoggerFactory.getLogger(EurexPrismaOtcMarginClient.class);

    private static final LocalDate s_valuationDate = LocalDate.of(2015, 6, 3);

    public static void main(String[] args) throws IOException {

        // Initialize environment with data
        MarginEnvironment environment = MarginEnvironmentFactory
                .buildBasicEnvironment(new EurexPrismaReplication());

        // Use file resolver utility to discover data from standard Eurex directory structure
        MarketDataFileResolver fileResolver = new MarketDataFileResolver("marketData", s_valuationDate);

        // Create fixings and holidays load request, and load
        MarketDataLoaders.loadGeneralData(environment.getMarginData(), fileResolver);

        // Create OTC data load request, pointing to classpath, and load
        EurexOtcMarketDataLoadRequest otcDataLoadRequest = MarketDataLoaders.otcRequest(fileResolver);
        EurexMarketDataLoadRequest loadRequest = EurexMarketDataLoadRequest.otcMarketDataRequest(s_valuationDate,
                otcDataLoadRequest);
        environment.getMarginData().loadData(loadRequest);

        // Obtain portfolio, loaded from a trade file on the classpath
        URL tradeFile = FileResources.byPath("trade/swapTrade.csv");
        OgmLinkResolver linkResolver = environment.getInjector().getInstance(OgmLinkResolver.class);
        MarginPortfolio portfolio = PortfolioLoader.load(ImmutableList.of(tradeFile), linkResolver);

        // Build PV calculation request
        EurexPrismaReplicationRequest pvRequest = getPvCalculationRequest();

        // Build IM calculation request
        EurexPrismaReplicationRequest imRequest = getImCalculationRequest();

        // Grab calculator
        MarginCalculator calculator = environment.getMarginCalculator();

        // Run PV request
        s_logger.info("Running PV request");
        MarginResults pvResults = calculator.calculate(portfolio, pvRequest);

        // Print results
        Table<TradeWrapper<?>, TradeMeasure, Result<?>> tradePvResults = pvResults.getTradeResults().getResults();
        String stringPvTable = TradeMeasureResultFormatter.formatter().truncateAfter(200).format(tradePvResults);
        System.out.println("PV results:\n" + stringPvTable);

        // Run IM request
        s_logger.info("Running IM request");
        MarginResults imResults = calculator.calculate(portfolio, imRequest);

        // Print results
        String imResultTable = PortfolioMeasureResultFormatter.formatter().format(imResults.getPortfolioResults());
        System.out.println("Portfolio results:\n" + imResultTable);

        System.out.println("IM result: " + imResults.getPortfolioResults().getValues().get("Total",
                EurexPrismaReplicationRequests.portfolioMeasures().im()));

        CheckResults.checkMarginResults(imResults);
    }

    /**
     * Gets a trade PV calculation request.
     *
     * @return the calculation request
     */
    private static EurexPrismaReplicationRequest getPvCalculationRequest() {

        TradeMeasure pv = EurexPrismaReplicationRequests.tradeMeasures().pv().build();

        return EurexPrismaReplicationRequests.request(s_valuationDate).tradeMeasures(pv).build();
    }

    /**
     * Gets a portfolio IM calculation request.
     *
     * @return the calculation request
     */
    private static EurexPrismaReplicationRequest getImCalculationRequest() {

        PortfolioMeasure im = EurexPrismaReplicationRequests.portfolioMeasures().im();

        return EurexPrismaReplicationRequests.request(s_valuationDate).portfolioMeasures(im).build();
    }

}