Package com.opengamma.core.holiday

Examples of com.opengamma.core.holiday.HolidaySource

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    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, DateConstraint.NULL, true, DateConstraint.VALUATION_TIME, true);
  }

  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    _converter = new EquityVarianceSwapConverter(holidaySource);

  }
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final CreditDefaultSwapSecurityConverter converter = new CreditDefaultSwapSecurityConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
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    _valueRequirementName = valueRequirementName;
  }

  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _converter = new InterestRateFutureOptionTradeConverterDeprecated(
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  /** Converts definitions to derivatives */
  private FixedIncomeConverterDataProvider _definitionConverter;

  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
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  }

  @Override
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final FXVanillaOptionConverter fxOptionConverter = new FXVanillaOptionConverter(getCurrencyPairs(context));
    final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
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    _valueRequirement = valueRequirement;
  }

  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _converter = new InterestRateFutureTradeConverter(new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource));
    _dataConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
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   * {@inheritDoc}
   * Pass all conventions required to function to convert security to definition
   */
  public void init(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final FutureSecurityConverterDeprecated futureSecurityConverter = new FutureSecurityConverterDeprecated(null, null);
    final FinancialSecurityVisitor<InstrumentDefinition<?>> commodityFutureOption = new CommodityFutureOptionConverter(securitySource, holidaySource, conventionSource, regionSource);
    final FinancialSecurityVisitor<InstrumentDefinition<?>> equityFutureOption = new EquityOptionsConverter(futureSecurityConverter, securitySource);
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  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final CreditDefaultIndexSwapSecurityToProxyConverter converter = new CreditDefaultIndexSwapSecurityToProxyConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
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    fxOption.setName(sb.toString());
    return fxOption;
  }

  private LocalDate getTradeDate(final Random random, final Currency ccy) {
    final HolidaySource holidaySource = getToolContext().getHolidaySource();
    LocalDate tradeDate;
    do {
      tradeDate = DateUtils.previousWeekDay().minusDays(random.nextInt(30));
    } while (holidaySource.isHoliday(tradeDate, ccy));
    return tradeDate;
  }
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    _cashFlowVisitor = cashFlowVisitor;
  }

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
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Related Classes of com.opengamma.core.holiday.HolidaySource

  • com.opengamma.component.factory.source.HolidaySourceComponentFactory
  • com.opengamma.examples.bloomberg.loader.ExampleFxForwardPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleMultiCurrencySwapPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleSwaptionPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleVanillaFxOptionPortfolioLoader
  • com.opengamma.financial.analytics.cashflow.FixedCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.FloatingCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.NettedFixedCashFlowFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingCapFloorFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingFXOptionFunction
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