Package com.opengamma.financial.convention.businessday

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

219
220
221
222
223
224
225
226
227
228
229
230
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "ITLSWAPP50Y")), "ITLSWAPP50Y", thirty360, modified, Period.ofYears(50), 2, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "ITLSWAPP60Y")), "ITLSWAPP80Y", thirty360, modified, Period.ofYears(80), 2, false, null);
  }

  private void addDEFixedIncomeInstruments() {
    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");
    //Identifiers for external data
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "DEMCASHP1D")), "DEMCASHP1D", act360, following, Period.ofDays(1), 0, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "DEMCASHP1M")), "DEMCASHP1M", act360, modified, Period.ofMonths(1), 2, false, null);
View Full Code Here
257
258
259
260
261
262
263
264
265
266
267
268
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "DEMSWAPP50Y")), "DEMSWAPP50Y", thirty360, modified, Period.ofYears(50), 2, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "DEMSWAPP60Y")), "DEMSWAPP80Y", thirty360, modified, Period.ofYears(80), 2, false, null);
  }

  private void addFRFixedIncomeInstruments() {
    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");
    //Identifiers for external data
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "FRFCASHP1D")), "FRFCASHP1D", act360, following, Period.ofDays(1), 0, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "FRFCASHP1M")), "FRFCASHP1M", act360, modified, Period.ofMonths(1), 2, false, null);
View Full Code Here
295
296
297
298
299
300
301
302
303
304
305
306
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "FRFSWAPP50Y")), "FRFSWAPP50Y", thirty360, modified, Period.ofYears(50), 2, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "FRFSWAPP60Y")), "FRFSWAPP80Y", thirty360, modified, Period.ofYears(80), 2, false, null);
  }

  private void addSEFixedIncomeInstruments() {
    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 act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    //Identifiers for external data
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "SEKCASHP1D")), "SEKCASHP1D", act360, following, Period.ofDays(1), 0, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "SEKCASHP1M")), "SEKCASHP1M", act360, modified, Period.ofMonths(1), 2, false, null);
View Full Code Here
364
365
366
367
368
369
370
371
372
373
374
    // Get the business day calendar
    final Calendar calendar = cds.getCalendar();

    // Get the convention for adjusting non-business days
    final BusinessDayConvention businessdayAdjustmentConvention = cds.getBusinessDayAdjustmentConvention();

    // Do we business day adjust the final cashflow
    final boolean adjustedMaturityDateConvention = cds.getAdjustMaturityDate();

    final int numberOfCashflows = cashflowSchedule.length;
View Full Code Here
123
124
125
126
127
128
129
130
131
132
133
    GeneratorSwapFixedInflationZeroCoupon generatorModified;
    generatorModified = new GeneratorSwapFixedInflationZeroCoupon("generator", PRICE_INDEX_GPB, BUSINESS_DAY, CALENDAR, EOM, MONTH_LAG, SPOT_LAG,
        IS_LINEAR);
    assertFalse(GENERATOR_SWAP_INFLATION_LINEAR.equals(generatorModified));

    final BusinessDayConvention modifiedBusinessDay = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    generatorModified = new GeneratorSwapFixedInflationZeroCoupon("generator", PRICE_INDEX_EUR, modifiedBusinessDay, CALENDAR, EOM, MONTH_LAG, SPOT_LAG,
        IS_LINEAR);
    assertFalse(GENERATOR_SWAP_INFLATION_LINEAR.equals(generatorModified));

    final Calendar modifiesCalendar = new MondayToFridayCalendar("B");
View Full Code Here
44
45
46
47
48
49
50
51
52
53
54
   */
  private GeneratorSwapFixedCompoundedONCompoundedMaster() {
    final IndexONMaster indexONMaster = IndexONMaster.getInstance();
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    final DayCount bus252 = DayCountFactory.INSTANCE.getDayCount("Business/252");
    final BusinessDayConvention modFol = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    _generatorSwap = new HashMap<>();
    final IndexON cdi = indexONMaster.getIndex("CDI");
    _generatorSwap.put("BRLCDI", new GeneratorSwapFixedCompoundedONCompounded("BRLCDI", cdi, bus252, modFol, true, 2, 2, baseCalendar));

  }
View Full Code Here
196
197
198
199
200
201
202
203
204
205
206
    final double notional = 1e8;
    final double relTol = eps;
    final double absTol = notional * eps;

    final int settlementDays = 2;
    final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final boolean isEOM = true;
    final boolean isPayer = true;
    final ZonedDateTime settleDate = DateUtils.getUTCDate(2014, 3, 20);
    final Period indexTenor = Period.ofMonths(3);
    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
View Full Code Here
43
44
45
46
47
48
49
50
51
52
53
    final ZonedDateTime maturityDate = DateUtils.getUTCDate(2020, 1, 1);
    final ZonedDateTime firstAccrualDate = DateUtils.getUTCDate(2010, 1, 1);
    final Period paymentPeriod = Period.ofMonths(6);
    final Calendar calendar = new MondayToFridayCalendar("A");
    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final BusinessDayConvention businessDay = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final YieldConvention yieldConvention = SimpleYieldConvention.TRUE;
    final ZonedDateTime date = DateUtils.getUTCDate(2011, 1, 1);
    final BondFixedSecurity b1 = BondFixedSecurityDefinition.from(CUR, maturityDate, firstAccrualDate, paymentPeriod, R1, 0, calendar, dayCount, businessDay, yieldConvention, false, "I").toDerivative(date);
    final BondFixedSecurity b2 = BondFixedSecurityDefinition.from(CUR, maturityDate, firstAccrualDate, paymentPeriod, R2, 0, calendar, dayCount, businessDay, yieldConvention, false, "I").toDerivative(date);
    assertEquals(b2, VISITOR.visitBondFixedSecurity(b1, R2));
View Full Code Here
49
50
51
52
53
54
55
56
57
58
59
    final DoubleTimeSeries<ZonedDateTime> eurPriceIndexTimeSerie = MulticurveProviderDiscountDataSets.euroHICPXFrom2009();
    final DoubleTimeSeries<ZonedDateTime> usPriceIndexTimeSerie = MulticurveProviderDiscountDataSets.usCpiFrom2009();
    final DoubleTimeSeries<ZonedDateTime> ukPriceIndexTimeSerie = MulticurveProviderDiscountDataSets.ukRpiFrom2010();

    final BusinessDayConvention modFol = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    final boolean endOfMonth = true;
    final int monthLag = 3;
    final int spotLag = 2;
    final boolean linear = true;
View Full Code Here
47
48
49
50
51
52
53
54
55
56
57
  private GeneratorSwapFixedONMaster() {
    final IndexONMaster indexONMaster = IndexONMaster.getInstance();
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final BusinessDayConvention modFol = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    _generatorSwap = new HashMap<>();
    final IndexON fedFund = indexONMaster.getIndex("FED FUND");
    _generatorSwap.put("USD1YFEDFUND", new GeneratorSwapFixedON("USD1YFEDFUND", fedFund, Period.ofMonths(12), act360, modFol, true, 2, 2, baseCalendar));
    _generatorSwap.put("EUR1YEONIA", new GeneratorSwapFixedON("EUR1YEONIA", indexONMaster.getIndex("EONIA"), Period.ofMonths(12), act360, modFol, true, 2, 2, baseCalendar));
    _generatorSwap.put("AUD1YRBAON", new GeneratorSwapFixedON("AUD1YRBAON", indexONMaster.getIndex("RBA ON"), Period.ofMonths(12), act365, modFol, true, 2, 1, baseCalendar));
View Full Code Here
TOP

Related Classes of com.opengamma.financial.convention.businessday.BusinessDayConvention

  • com.opengamma.analytics.financial.credit.cds.ISDAApproxCDSPricingMethodTestData
  • com.opengamma.analytics.financial.credit.cds.ISDAModelTest
  • com.opengamma.analytics.financial.credit.cds.ISDATestGridHarness
  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantYieldCurveBuildTest
  • com.opengamma.analytics.financial.credit.schedulegeneration.GenerateCreditDefaultSwapPremiumLegSchedule
  • com.opengamma.analytics.financial.credit.schedulegeneration.isda.ISDAPremiumLegScheduleGenerator
  • com.opengamma.analytics.financial.credit.schedulegeneration.isda.ISDAPremiumLegScheduleGeneratorTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompoundedMaster
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationMaster
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.