Package com.opengamma.financial.convention.calendar

Examples of com.opengamma.financial.convention.calendar.Calendar

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    final ConventionBundle indexConvention = _conventionSource.getConventionBundle(floatLeg.getFloatingReferenceRateId());
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (indexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get OIS index convention for " + currency + " using " + floatLeg.getFloatingReferenceRateId());
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegion());
    final String currencyString = currency.getCode();
    final Integer publicationLag = indexConvention.getOvernightIndexSwapPublicationLag();
    if (publicationLag == null) {
      throw new OpenGammaRuntimeException("Could not get ON Index publication lag for " + indexConvention.getIdentifiers());
    }
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    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (floatPayLeg instanceof FloatingSpreadIRLeg) {
      final AnnuityCouponIborSpreadDefinition payLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, (FloatingSpreadIRLeg) floatPayLeg, calendar, currency, true);
      if (floatReceiveLeg instanceof FloatingSpreadIRLeg) {
        final AnnuityCouponIborSpreadDefinition receiveLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, (FloatingSpreadIRLeg) floatReceiveLeg, calendar, currency, false);
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    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityCouponCMSDefinition cmsPayLeg = getCMSwapLegDefinition(effectiveDate, maturityDate, floatPayLeg, calendar, currency, true);
    final AnnuityCouponCMSDefinition cmsReceiveLeg = getCMSwapLegDefinition(effectiveDate, maturityDate, floatReceiveLeg, calendar, currency, false);
    return new SwapDefinition(cmsPayLeg, cmsReceiveLeg);
  }
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    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityCouponFixedDefinition fixedAnnuity = getFixedSwapLegDefinition(effectiveDate, maturityDate, fixedLeg, calendar, payFixed);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, floatingLeg, calendar, currency, !payFixed);
    return payFixed ? new SwapDefinition(fixedAnnuity, cmsAnnuity) : new SwapDefinition(cmsAnnuity, fixedAnnuity);
  }
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      throw new OpenGammaRuntimeException("This should never happen");
    }
    final FloatingInterestRateLeg iborLeg = payIbor ? floatPayLeg : floatReceiveLeg;
    final FloatingInterestRateLeg cmsLeg = payIbor ? floatReceiveLeg : floatPayLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityDefinition<? extends CouponFloatingDefinition> iborAnnuity = getIborSwapLegDefinition(effectiveDate, maturityDate, iborLeg, calendar, currency, payIbor);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, cmsLeg, calendar, currency, !payIbor);
    return payIbor ? new SwapDefinition(iborAnnuity, cmsAnnuity) : new SwapDefinition(cmsAnnuity, iborAnnuity);
    // Implementation note: In the converter, the pay leg is expected to be first.
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    return new SwapDefinition(payLeg, receiveLeg);
  }


  private AnnuityCouponFixedDefinition getFixedLeg(final SwapFixedLegConvention convention, final SwapNode swapNode, final boolean isPayer) {
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getRegionCalendar());
    final Double rate = _marketData.getDataPoint(_dataId);
    if (rate == null) {
      throw new OpenGammaRuntimeException("Could not get market data for " + _dataId);
    }
    final Currency currency = convention.getCurrency();
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    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();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eomIndex, indexConvention.getName());
    final Period maturityTenor = swapNode.getMaturityTenor().getPeriod();
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
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    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());
    final int spotLag = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eomIndex, indexConvention.getName());
    final Period maturityTenor = swapNode.getMaturityTenor().getPeriod();
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
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      final boolean isMarketDataSpread) {
    final OvernightIndexConvention indexConvention = (OvernightIndexConvention) _conventionSource.getConvention(convention.getOvernightIndexConvention());
    final Currency currency = indexConvention.getCurrency();
    final DayCount dayCount = indexConvention.getDayCount();
    final int publicationLag = indexConvention.getPublicationLag();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final int spotLagLeg = convention.getSettlementDays();
    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();
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      throw new OpenGammaRuntimeException("No convention for cash " + strip.getSecurity() + " so can't establish business day convention");
    }
    if (cashConvention.getRegion() == null) {
      throw new OpenGammaRuntimeException("Region for strip " + strip + " was null");
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, cashConvention.getRegion());
    if (calendar == null) {
      throw new OpenGammaRuntimeException("Calendar was null");
    }
    final ZonedDateTime curveDate = spec.getCurveDate().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(curveDate, cashConvention.getSettlementDays(), calendar);
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