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

    final Period maturityPeriod = cashNode.getMaturityTenor().getPeriod();
    if (convention instanceof DepositConvention) {
      final DepositConvention depositConvention = (DepositConvention) convention;
      final Currency currency = depositConvention.getCurrency();
      final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, depositConvention.getRegionCalendar());
      final BusinessDayConvention businessDayConvention = depositConvention.getBusinessDayConvention();
      final boolean isEOM = depositConvention.isIsEOM();
      final DayCount dayCount = depositConvention.getDayCount();
      final int settlementDays = depositConvention.getSettlementDays();
      final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar);
      final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDate, startPeriod, businessDayConvention, calendar, isEOM);
      final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, maturityPeriod, businessDayConvention, calendar, isEOM);
      final double accrualFactor = dayCount.getDayCountFraction(startDate, endDate);
      return new CashDefinition(currency, startDate, endDate, 1, rate, accrualFactor);
    } else if (convention instanceof IborIndexConvention) {
      final IborIndexConvention iborConvention = (IborIndexConvention) convention;
      final Currency currency = iborConvention.getCurrency();
      final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, iborConvention.getRegionCalendar());
      final BusinessDayConvention businessDayConvention = iborConvention.getBusinessDayConvention();
      final boolean isEOM = iborConvention.isIsEOM();
      final DayCount dayCount = iborConvention.getDayCount();
      final int settlementDays = iborConvention.getSettlementDays();
      final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar);
      final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDate, startPeriod, businessDayConvention, calendar, isEOM);

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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

    }
    final ConventionBundle brlSwapConvention = _conventionSource.getConventionBundle(simpleNameSecurityId("BRL_DI_SWAP"));
    final IndexON index = new IndexON(floatLeg.getFloatingReferenceRateId().getValue(), currency, indexConvention.getDayCount(), publicationLag);
    final String name = index.getName();
    final DayCount fixedLegDayCount = fixedLeg.getDayCount();
    final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
    final boolean isEOM = fixedLeg.isEom();
    final int spotLag = brlSwapConvention.getSwapFixedLegSettlementDays();
    final int paymentLag = brlSwapConvention.getSwapFixedLegSettlementDays();
    final double notional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double fixedRate = fixedLeg.getRate();

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

  }


  private static AnnuityCouponFixedDefinition getFixedSwapLegDefinition(final ZonedDateTime effectiveDate, final ZonedDateTime maturityDate, final FixedInterestRateLeg fixedLeg,
      final Calendar calendar, final boolean isPayer) {
    final double notional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final BusinessDayConvention businessDay = fixedLeg.getBusinessDayConvention();
    if (businessDay == null) {
      throw new OpenGammaRuntimeException("Could not get Business Day for " + fixedLeg);
    }
    final boolean isEOM = fixedLeg.isEom();
    final Frequency freqFixed = fixedLeg.getFrequency();

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

            iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
        legDefinition.add(AnnuityDefinitionBuilder.annuityIborSpreadWithNotionalFrom(settlementDate, maturityDate, notional[loopleg], iborIndex, spread, payer[loopleg], calendar[loopleg]));
      } else {
        if (swapLeg[loopleg] instanceof FixedInterestRateLeg) { // Leg is Fixed
          final FixedInterestRateLeg legFixed = (FixedInterestRateLeg) swapLeg[loopleg];
          final BusinessDayConvention businessDay = legFixed.getBusinessDayConvention();
          if (businessDay == null) {
            throw new OpenGammaRuntimeException("Could not get Business Day for " + legFixed);
          }
          final boolean isEOM = legFixed.isEom();
          final Frequency freqFixed = legFixed.getFrequency();

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

    if (rate == null) {
      throw new OpenGammaRuntimeException("Could not get market data for " + _dataId);
    }
    final Currency currency = convention.getCurrency();
    final DayCount dayCount = convention.getDayCount();
    final BusinessDayConvention businessDayConvention = convention.getBusinessDayConvention();
    final boolean eomLeg = convention.isIsEOM();
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDateLeg, swapNode.getStartTenor().getPeriod(), businessDayConvention, calendar, eomLeg);
    final Period maturityTenor = swapNode.getMaturityTenor().getPeriod();

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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 eomIndex = indexConvention.isIsEOM();
    final boolean eomLeg = convention.isIsEOM();
    final Period indexTenor = convention.getResetTenor().getPeriod();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getFixingCalendar());
    final int spotLag = indexConvention.getSettlementDays();

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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 eomIndex = indexConvention.isIsEOM();
    final boolean eomLeg = convention.isIsEOM();
    final Period indexTenor = convention.getCompositionTenor().getPeriod();
    final Period paymentTenor = convention.getPaymentTenor().getPeriod();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getFixingCalendar());

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

    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
    final Period maturityTenor = swapNode.getMaturityTenor().getPeriod();
    final IndexON indexON = new IndexON(indexConvention.getName(), currency, dayCount, publicationLag);
    final Period paymentPeriod = convention.getPaymentTenor().getPeriod();
    final boolean eomLeg = convention.isIsEOM();
    final BusinessDayConvention businessDayConvention = convention.getBusinessDayConvention();
    final int paymentLag = convention.getPaymentLag();
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDateLeg, swapNode.getStartTenor().getPeriod(), businessDayConvention, calendar, eomLeg);
    final StubType stub = convention.getStubType();
    final ZonedDateTime maturityDate = startDate.plus(maturityTenor);
    if (isMarketDataSpread) {

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


  private FixedInterestRateLeg fixedInterestRateLeg(final Notional notional) {
    final DayCount dayCount = dayCount();
    final Frequency frequency = frequency();
    final ExternalId regionIdentifier = region();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean eom = bool();
    final double rate = 0;
    return new FixedInterestRateLeg(dayCount, frequency, regionIdentifier, businessDayConvention, notional, eom, rate);
  }

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