Examples of BusinessDayConvention

com.opengamma.financial.convention.businessday.BusinessDayConvention
Convention for handling business days.
This provides a mechanism to handle working and non-working days allowing a date to be adjusted when it falls on a non-working day.
org.jquantlib.time.BusinessDayConvention

Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

   */
  public static ZonedDateTime[] getAdjustedDateSchedule(final ZonedDateTime startDate, final ZonedDateTime endDate, final Period period,
      final BusinessDayConvention businessDayConvention, final Calendar calendar, final boolean isEOM, final boolean stubShort) {
    boolean eomApply = false;
    if (isEOM) {
      final BusinessDayConvention following = new FollowingBusinessDayConvention();
      eomApply = (following.adjustDate(calendar, startDate.plusDays(1)).getMonth() != startDate.getMonth());
    }
    // When the end-of-month rule applies and the start date is on month-end, the dates are the last business day of the month.
    BusinessDayConvention actualBDC;
    final List<ZonedDateTime> adjustedDates = new ArrayList<>();
    ZonedDateTime date = startDate;
    if (eomApply) {
      actualBDC = new PrecedingBusinessDayConvention(); //To ensure that the date stays in the current month.
      date = date.plus(period).with(TemporalAdjusters.lastDayOfMonth());
      while (date.isBefore(endDate)) { // date is strictly before endDate
        adjustedDates.add(actualBDC.adjustDate(calendar, date));
        date = date.plus(period).with(TemporalAdjusters.lastDayOfMonth());
      }
    } else {
      actualBDC = businessDayConvention;
      date = date.plus(period);
      while (date.isBefore(endDate)) { // date is strictly before endDate
        adjustedDates.add(businessDayConvention.adjustDate(calendar, date));
        date = date.plus(period);
      }
    }
    // For long stub the last date before end date, if any, is removed.
    if (!stubShort && adjustedDates.size() >= 1) {
      adjustedDates.remove(adjustedDates.size() - 1);
    }
    adjustedDates.add(actualBDC.adjustDate(calendar, endDate)); // the end date
    return adjustedDates.toArray(EMPTY_ARRAY);
  }

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Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

    final int settlementDays = fixedLegConvention.getSettlementDays();
    final Period tenor = inflationNode.getTenor().getPeriod();
    final double notional = 1;
    //TODO business day convention and currency are in both conventions - should we enforce that they're the same or use
    // different ones for each leg?
    final BusinessDayConvention businessDayConvention = fixedLegConvention.getBusinessDayConvention();
    final boolean endOfMonth = fixedLegConvention.isIsEOM();
    final Currency currency = priceIndexConvention.getCurrency();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, priceIndexConvention.getRegion());
    final ZoneId zone = _valuationTime.getZone(); //TODO time zone set to midnight UTC
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar).toLocalDate().atStartOfDay(zone);

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Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

    final ZoneId zone = security.getInterestAccrualDate().getZone();
    final ZonedDateTime firstAccrualDate = ZonedDateTime.of(security.getInterestAccrualDate().toLocalDate().atStartOfDay(), zone);
    final ZonedDateTime maturityDate = ZonedDateTime.of(security.getLastTradeDate().getExpiry().toLocalDate().atStartOfDay(), zone);
    final double rate = security.getCouponRate() / 100;
    final DayCount dayCount = security.getDayCount();
    final BusinessDayConvention businessDay = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    if (convention.isEOMConvention() == null) {
      throw new OpenGammaRuntimeException("Could not get EOM convention information from " + conventionName);
    }
    final boolean isEOM = convention.isEOMConvention();
    final YieldConvention yieldConvention = security.getYieldConvention();

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Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

      throw new OpenGammaRuntimeException("Convention of the underlying was not an ibor index convention; have " + underlyingConvention.getClass());
    }
    final IborIndexConvention indexConvention = (IborIndexConvention) underlyingConvention;
    final Currency currency = indexConvention.getCurrency();
    final DayCount dayCount = indexConvention.getDayCount();
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final boolean eom = indexConvention.isIsEOM();
    final Period indexTenor = iborLegConvention.getResetTenor().getPeriod();
    final int spotLagIndex = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, indexConvention.getName());
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", fixedLegConvention.getPaymentTenor().getPeriod(), fixedLegConvention.getDayCount(), iborIndex, calendar);

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Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

 */
public class CNConventions {


  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionBundleMaster conventionMaster) {
    Validate.notNull(conventionMaster, "convention master");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final ExternalId cn = ExternalSchemes.financialRegionId("CN");


    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

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Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

   * Adds conventions for deposit, Libor fixings, swaps, FRAs and IR futures.
   * @param conventionMaster The convention master, not null
   */
  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
    final Frequency annual = PeriodFrequency.ANNUAL;
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);


    final ExternalId usgb = ExternalSchemes.financialRegionId("US+GB");
    final ExternalId us = ExternalSchemes.financialRegionId("US");


    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);


    // LIBOR
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US00O/N Index"), simpleNameSecurityId("USD LIBOR O/N")),
        "USD LIBOR O/N", act360, following, Period.ofDays(1), 0, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US00T/N Index"), simpleNameSecurityId("USD LIBOR T/N")),
        "USD LIBOR T/N", act360, following, Period.ofDays(1), 1, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0001W Index"), simpleNameSecurityId("USD LIBOR 1w"),
        tullettPrebonSecurityId("ASLIBUSD1WL")), "USD LIBOR 1w", act360, following, Period.ofDays(7), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0002W Index"), simpleNameSecurityId("USD LIBOR 2w"),
        tullettPrebonSecurityId("ASLIBUSD2WL")), "USD LIBOR 2w", act360, following, Period.ofDays(14), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0001M Index"), simpleNameSecurityId("USD LIBOR 1m"),
        tullettPrebonSecurityId("ASLIBUSD01L")), "USD LIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0002M Index"), simpleNameSecurityId("USD LIBOR 2m"),
        tullettPrebonSecurityId("ASLIBUSD02L")), "USD LIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0003M Index"), simpleNameSecurityId("USD LIBOR 3m"),
        ExternalSchemes.ricSecurityId("USD3MFSR="), tullettPrebonSecurityId("ASLIBUSD03L")),
        "USD LIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0004M Index"), simpleNameSecurityId("USD LIBOR 4m"),
        tullettPrebonSecurityId("ASLIBUSD04L")), "USD LIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0005M Index"), simpleNameSecurityId("USD LIBOR 5m"),
        tullettPrebonSecurityId("ASLIBUSD05L")), "USD LIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0006M Index"), simpleNameSecurityId("USD LIBOR 6m"),
        tullettPrebonSecurityId("ASLIBUSD06L")), "USD LIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0007M Index"), simpleNameSecurityId("USD LIBOR 7m"),
        tullettPrebonSecurityId("ASLIBUSD07L")), "USD LIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0008M Index"), simpleNameSecurityId("USD LIBOR 8m"),
        tullettPrebonSecurityId("ASLIBUSD08L")), "USD LIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0009M Index"), simpleNameSecurityId("USD LIBOR 9m"),
        tullettPrebonSecurityId("ASLIBUSD09L")), "USD LIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0010M Index"), simpleNameSecurityId("USD LIBOR 10m"),
        tullettPrebonSecurityId("ASLIBUSD10L")), "USD LIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0011M Index"), simpleNameSecurityId("USD LIBOR 11m"),
        tullettPrebonSecurityId("ASLIBUSD11L")), "USD LIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("US0012M Index"), simpleNameSecurityId("USD LIBOR 12m"),
        tullettPrebonSecurityId("ASLIBUSD12L")), "USD LIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, us);


    //TODO need to check that these are right for deposit rates
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR1T Curncy"), simpleNameSecurityId("USD DEPOSIT 1d")),
        "USD DEPOSIT 1d", act360, following, Period.ofDays(1), 0, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR2T Curncy"), simpleNameSecurityId("USD DEPOSIT 2d")),
        "USD DEPOSIT 2d", act360, following, Period.ofDays(1), 1, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR3T Curncy"), simpleNameSecurityId("USD DEPOSIT 3d")),
        "USD DEPOSIT 3d", act360, following, Period.ofDays(1), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR1Z Curncy"), simpleNameSecurityId("USD DEPOSIT 1w"),
        tullettPrebonSecurityId("ASDEPUSDSPT01W"), icapSecurityId("USD_1W")), "USD DEPOSIT 1w", act360, following, Period.ofDays(7), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR2Z Curncy"), simpleNameSecurityId("USD DEPOSIT 2w"),
        tullettPrebonSecurityId("ASDEPUSDSPT02W"), icapSecurityId("USD_2W")), "USD DEPOSIT 2w", act360, following, Period.ofDays(14), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR3Z Curncy"), simpleNameSecurityId("USD DEPOSIT 3w"),
        tullettPrebonSecurityId("ASDEPUSDSPT03W"), icapSecurityId("USD_3W")), "USD DEPOSIT 3w", act360, following, Period.ofDays(21), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRA Curncy"), simpleNameSecurityId("USD DEPOSIT 1m"),
        tullettPrebonSecurityId("ASDEPUSDSPT01M"), icapSecurityId("USD_1M")), "USD DEPOSIT 1m", act360, following, Period.ofMonths(1), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRB Curncy"), simpleNameSecurityId("USD DEPOSIT 2m"),
        tullettPrebonSecurityId("ASDEPUSDSPT02M"), icapSecurityId("USD_2M")), "USD DEPOSIT 2m", act360, following, Period.ofMonths(2), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRC Curncy"), simpleNameSecurityId("USD DEPOSIT 3m"),
        tullettPrebonSecurityId("ASDEPUSDSPT03M"), icapSecurityId("USD_3M")), "USD DEPOSIT 3m", act360, following, Period.ofMonths(3), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRD Curncy"), simpleNameSecurityId("USD DEPOSIT 4m"),
        tullettPrebonSecurityId("ASDEPUSDSPT04M"), icapSecurityId("USD_4M")), "USD DEPOSIT 4m", act360, following, Period.ofMonths(4), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRE Curncy"), simpleNameSecurityId("USD DEPOSIT 5m"),
        tullettPrebonSecurityId("ASDEPUSDSPT05M"), icapSecurityId("USD_5M")), "USD DEPOSIT 5m", act360, following, Period.ofMonths(5), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRF Curncy"), simpleNameSecurityId("USD DEPOSIT 6m"),
        tullettPrebonSecurityId("ASDEPUSDSPT06M"), icapSecurityId("USD_6M")), "USD DEPOSIT 6m", act360, following, Period.ofMonths(6), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRG Curncy"), simpleNameSecurityId("USD DEPOSIT 7m"),
        tullettPrebonSecurityId("ASDEPUSDSPT07M"), icapSecurityId("USD_7M")), "USD DEPOSIT 7m", act360, following, Period.ofMonths(7), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRH Curncy"), simpleNameSecurityId("USD DEPOSIT 8m"),
        tullettPrebonSecurityId("ASDEPUSDSPT08M"), icapSecurityId("USD_8M")), "USD DEPOSIT 8m", act360, following, Period.ofMonths(8), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRI Curncy"), simpleNameSecurityId("USD DEPOSIT 9m"),
        tullettPrebonSecurityId("ASDEPUSDSPT09M"), icapSecurityId("USD_9M")), "USD DEPOSIT 9m", act360, following, Period.ofMonths(9), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRJ Curncy"), simpleNameSecurityId("USD DEPOSIT 10m"),
        tullettPrebonSecurityId("ASDEPUSDSPT10M"), icapSecurityId("USD_10M")), "USD DEPOSIT 10m", act360, following, Period.ofMonths(10), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDRK Curncy"), simpleNameSecurityId("USD DEPOSIT 11m"),
        tullettPrebonSecurityId("ASDEPUSDSPT11M"), icapSecurityId("USD_11M")), "USD DEPOSIT 11m", act360, following, Period.ofMonths(11), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR1 Curncy"), simpleNameSecurityId("USD DEPOSIT 1y"),
        tullettPrebonSecurityId("ASDEPUSDSPT12M"), icapSecurityId("USD_12M")), "USD DEPOSIT 1y", act360, following, Period.ofYears(1), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR2 Curncy"), simpleNameSecurityId("USD DEPOSIT 2y")),
        "USD DEPOSIT 2y", act360, following, Period.ofYears(2), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR3 Curncy"), simpleNameSecurityId("USD DEPOSIT 3y")),
        "USD DEPOSIT 3y", act360, following, Period.ofYears(3), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR4 Curncy"), simpleNameSecurityId("USD DEPOSIT 4y")),
        "USD DEPOSIT 4y", act360, following, Period.ofYears(4), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("USDR5 Curncy"), simpleNameSecurityId("USD DEPOSIT 5y")),
        "USD DEPOSIT 5y", act360, following, Period.ofYears(5), 2, false, us);


    //TODO with improvement in settlement days definition (i.e. including holiday and adjustment) change this
    // should be 2, LON, following
    // holiday for swap should be NY+LON


    final DayCount swapFixedDayCount = thirty360;
    final BusinessDayConvention swapFixedBusinessDay = modified;
    final Frequency swapFixedPaymentFrequency = semiAnnual;
    final DayCount swapFloatDayCount = act360;
    final BusinessDayConvention swapFloatBusinessDay = modified;
    final Frequency swapFloatPaymentFrequency = quarterly;


    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_SWAP")), "USD_SWAP", swapFixedDayCount, swapFixedBusinessDay,
        swapFixedPaymentFrequency, 2, usgb, swapFloatDayCount, swapFloatBusinessDay, swapFloatPaymentFrequency, 2, simpleNameSecurityId("USD LIBOR 3m"),
        usgb, true);

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Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

    @Override
    public IborIndex buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      final int spotLag = message.getInt(SPOT_LAG_FIELD);
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final boolean isEOM = message.getBoolean(EOM_FIELD);
      final Period tenor = Period.parse(message.getString(TENOR_FIELD));
      final String name = message.getString(NAME_FIELD);
      return new IborIndex(currency, tenor, spotLag, dayCount, businessDayConvention, isEOM, name);
    }

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Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

        final Period tenorFixed = getTenor(freqFixed);
        final double notional = interestRateNotional.getAmount();
        final DayCount dayCount = fixedLegConvention.getDayCount();
        final boolean isEOM = fixedLegConvention.isIsEOM();
        final double rate = swapLeg.getRate();
        final BusinessDayConvention businessDayConvention = fixedLegConvention.getBusinessDayConvention();
        return AnnuityCouponFixedDefinition.from(currency, effectiveDate, maturityDate, tenorFixed, calendar, dayCount,
            businessDayConvention, isEOM, notional, rate, isPayer);
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFloatingInterestRateLeg(final FloatingInterestRateLeg swapLeg) {
        final InterestRateNotional interestRateNotional = (InterestRateNotional) swapLeg.getNotional();
        final Currency currency = interestRateNotional.getCurrency();
        final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, swapLeg.getRegionId());
        switch (swapLeg.getFloatingRateType()) {
          case IBOR:
            return getIborAnnuity(swapLeg, interestRateNotional, currency, calendar);
          case OIS:
            return getOISAnnuity(swapLeg, interestRateNotional, currency);
          case CMS:
            return getCMSAnnuity(swapLeg, interestRateNotional, currency, calendar);
          case OVERNIGHT_ARITHMETIC_AVERAGE:
            return getOvernightAAverageAnnuity(swapLeg, interestRateNotional, currency);
          default:
            throw new OpenGammaRuntimeException("Cannot handle floating type " + swapLeg.getFloatingRateType());
        }
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFloatingSpreadIRLeg(final FloatingSpreadIRLeg swapLeg) {
        final InterestRateNotional interestRateNotional = (InterestRateNotional) swapLeg.getNotional();
        final Currency currency = interestRateNotional.getCurrency();
        final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, swapLeg.getRegionId());
        switch (swapLeg.getFloatingRateType()) {
          case IBOR:
            return getIborAnnuity(swapLeg, interestRateNotional, currency, calendar);
          case OIS:
            return getOISAnnuity(swapLeg, interestRateNotional, currency);
          case CMS:
            return getCMSAnnuity(swapLeg, interestRateNotional, currency, calendar);
          case OVERNIGHT_ARITHMETIC_AVERAGE:
            return getOvernightAAverageAnnuity(swapLeg, interestRateNotional, currency);
          default:
            throw new OpenGammaRuntimeException("Cannot handle floating type " + swapLeg.getFloatingRateType());
        }
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFloatingGearingIRLeg(final FloatingGearingIRLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFixedVarianceSwapLeg(final FixedVarianceSwapLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFloatingVarianceSwapLeg(final FloatingVarianceSwapLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFixedInflationSwapLeg(final FixedInflationSwapLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitInflationIndexSwapLeg(final InflationIndexSwapLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      private AnnuityDefinition<? extends PaymentDefinition> getIborAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency, final Calendar calendar) {
        final String tenorString = getTenorString(swapLeg.getFrequency());
        final String iborLegConventionName = getConventionName(currency, tenorString, IRS_IBOR_LEG);
        final VanillaIborLegConvention iborLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class, ExternalId.of(SCHEME_NAME, iborLegConventionName));
        if (iborLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor leg convention with the identifier " + ExternalId.of(SCHEME_NAME, iborLegConventionName));
        }
        final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, iborLegConvention.getIborIndexConvention());
        final Frequency freqIbor = swapLeg.getFrequency();
        final Period tenorIbor = getTenor(freqIbor);
        final int spotLag = iborIndexConvention.getSettlementDays();
        final DayCount dayCount = swapLeg.getDayCount();
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(), iborIndexConvention.getBusinessDayConvention(),
            iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          final FloatingSpreadIRLeg spread = (FloatingSpreadIRLeg) swapLeg;
          return AnnuityCouponIborSpreadDefinition.from(effectiveDate, maturityDate, tenorIbor, notional, iborIndex, isPayer, businessDayConvention, swapLeg.isEom(), dayCount,
              spread.getSpread(), calendar);
        }
        return AnnuityCouponIborDefinition.from(effectiveDate, maturityDate, tenorIbor, notional, iborIndex, isPayer, businessDayConvention, swapLeg.isEom(), dayCount,
            calendar);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getOISAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency) {
        final String oisConventionName = getConventionName(currency, OIS_ON_LEG);
        final OISLegConvention oisConvention = _conventionSource.getConvention(OISLegConvention.class, ExternalId.of(SCHEME_NAME, oisConventionName));
        if (oisConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS leg convention with the identifier " + ExternalId.of(SCHEME_NAME, oisConventionName));
        }
        final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, oisConvention.getOvernightIndexConvention());
        if (indexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS index convention with the identifier " + oisConvention.getOvernightIndexConvention());
        }
        final String currencyString = currency.getCode();
        final Integer publicationLag = indexConvention.getPublicationLag();
        final Period paymentFrequency = getTenor(swapLeg.getFrequency());
        final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final int paymentLag = oisConvention.getPaymentLag();
        final boolean isEOM = oisConvention.isIsEOM();
        final Calendar indexCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          final FloatingSpreadIRLeg spread = (FloatingSpreadIRLeg) swapLeg;
          return AnnuityCouponONSpreadDefinition.from(effectiveDate, maturityDate, notional, isPayer, index, paymentLag, indexCalendar, businessDayConvention, paymentFrequency, isEOM,
              spread.getSpread());
        }
        return AnnuityCouponONDefinition.from(effectiveDate, maturityDate, notional, isPayer, index, paymentLag, indexCalendar, businessDayConvention, paymentFrequency, isEOM);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getCMSAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency, final Calendar calendar) {
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          throw new OpenGammaRuntimeException("Cannot create an annuity for a CMS leg with a spread");
        }
        final String tenorString = getTenorString(swapLeg.getFrequency());
        final String iborLegConventionName = getConventionName(currency, tenorString, IRS_IBOR_LEG);
        final VanillaIborLegConvention iborLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class,
            ExternalId.of(SCHEME_NAME, getConventionName(currency, tenorString, IRS_IBOR_LEG)));
        if (iborLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor leg convention with the identifier " + ExternalId.of(SCHEME_NAME, iborLegConventionName));
        }
        final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, iborLegConvention.getIborIndexConvention());
        final String swapIndexConventionName = getConventionName(currency, tenorString, SWAP_INDEX);
        final SwapIndexConvention swapIndexConvention = _conventionSource.getConvention(SwapIndexConvention.class, ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        if (swapIndexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap index convention with the identifier " + ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        }
        final SwapConvention underlyingSwapConvention = _conventionSource.getConvention(SwapConvention.class, swapIndexConvention.getSwapConvention());
        if (underlyingSwapConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap convention with the identifier " + swapIndexConvention.getSwapConvention());
        }
        final SwapFixedLegConvention payLegConvention = _conventionSource.getConvention(SwapFixedLegConvention.class, underlyingSwapConvention.getPayLegConvention());
        if (payLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getPayLegConvention());
        }
        final VanillaIborLegConvention receiveLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class, underlyingSwapConvention.getReceiveLegConvention());
        if (receiveLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getReceiveLegConvention());
        }
        final Frequency freqIbor = swapLeg.getFrequency();
        final Period tenorIbor = getTenor(freqIbor);
        final int spotLag = iborIndexConvention.getSettlementDays();
        final DayCount dayCount = swapLeg.getDayCount();
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(), iborIndexConvention.getBusinessDayConvention(),
            iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
        final Period fixedLegPaymentPeriod = payLegConvention.getPaymentTenor().getPeriod();
        final DayCount fixedLegDayCount = payLegConvention.getDayCount();
        final Period period = Period.ofYears(10); // TODO why is a variable field like this in IndexSwap? It's only used in one place in the entire analytics library.
        final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, fixedLegDayCount, iborIndex, period, calendar);
        return AnnuityCouponCMSDefinition.from(effectiveDate, maturityDate, notional, swapIndex, tenorIbor, dayCount, isPayer, calendar);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getOvernightAAverageAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency) {
        final String oisConventionName = getConventionName(currency, OIS_ON_LEG);
        final OISLegConvention oisConvention = _conventionSource.getConvention(OISLegConvention.class, ExternalId.of(SCHEME_NAME, oisConventionName));
        if (oisConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS leg convention with the identifier " + ExternalId.of(SCHEME_NAME, oisConventionName));
        }
        final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, oisConvention.getOvernightIndexConvention());
        if (indexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS index convention with the identifier " + oisConvention.getOvernightIndexConvention());
        }
        final String currencyString = currency.getCode();
        final Integer publicationLag = indexConvention.getPublicationLag();
        final Period paymentFrequency = getTenor(swapLeg.getFrequency());
        final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final int paymentLag = oisConvention.getPaymentLag();
        final boolean isEOM = oisConvention.isIsEOM();
        final Calendar indexCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
        if (swapLeg instanceof FloatingSpreadIRLeg) {

View Full Code Here

Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

      throw new OpenGammaRuntimeException("Can only convert fixed / float inflation swaps");
    }
    final int settlementDays = fixedLegConvention.getSettlementDays();
    final boolean isEOM = fixedLegConvention.isIsEOM();
    final DayCount fixedLegDayCount = fixedLeg.getDayCount();
    final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegion());
    final ZoneOffset zone = ZoneOffset.UTC; //TODO
    final Period paymentPeriod = getTenor(indexLeg.getFrequency());
    final Period maturityTenor = security.getMaturityTenor().getPeriod();
    boolean isMonthly;

View Full Code Here

Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

    } else {
      throw new OpenGammaRuntimeException("Can only convert fixed / float inflation swaps");
    }
    final int settlementDays = fixedLegConvention.getSettlementDays();
    final boolean isEOM = fixedLegConvention.isIsEOM();
    final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegion());
    final ZoneOffset zone = ZoneOffset.UTC; //TODO
    
    final int swapMaturityTenor = (int) Math.round(indexLeg.getDayCount().getDayCountFraction(security.getEffectiveDate(), security.getMaturityDate()));
    boolean isMonthly;

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