Package com.opengamma.financial.convention.calendar

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

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      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues) {
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
        final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
        //TODO use separate definition and specification names?
        final String curveDefinitionName = curveName;
        final String curveSpecificationName = curveName;
        final FuturePriceCurveDefinition<Object> priceCurveDefinition = getCurveDefinition(curveDefinitionSource, target, curveDefinitionName);
        final FuturePriceCurveSpecification priceCurveSpecification = getCurveSpecification(curveSpecificationSource, target, curveSpecificationName);
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    ArgumentChecker.notNull(cashflowSchedule, "Cashflow schedule");

    // -------------------------------------------------------------------------------

    // 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
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    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");
    generatorModified = new GeneratorSwapFixedInflationZeroCoupon("generator", PRICE_INDEX_EUR, BUSINESS_DAY, modifiesCalendar, EOM, MONTH_LAG, SPOT_LAG,
        IS_LINEAR);
    assertFalse(GENERATOR_SWAP_INFLATION_LINEAR.equals(generatorModified));

    generatorModified = new GeneratorSwapFixedInflationZeroCoupon("generator", PRICE_INDEX_EUR, BUSINESS_DAY, CALENDAR, false, MONTH_LAG, SPOT_LAG,
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  /**
   * Private constructor.
   */
  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));
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  /**
   * Private constructor.
   */
  private GeneratorSwapIborIborMaster() {
    _iborIndexMaster = IndexIborMaster.getInstance();
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    _generatorSwap = new HashMap<>();
    _generatorSwap.put("AUDBBSW3MBBSW6M", new GeneratorSwapIborIbor("AUDBBSW3MBBSW6M", _iborIndexMaster.getIndex("AUDBB3M"), _iborIndexMaster.getIndex("AUDBB6M"),
        baseCalendar, baseCalendar));
  }
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  @Test
  public void testBondFixedSecurity() {
    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);
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    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;
    final boolean piecewiseconstant = false;
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  /**
   * Private constructor.
   */
  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");
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  /**
   * Private constructor.
   */
  private GeneratorSwapFixedIborMaster() {
    _iborIndexMaster = IndexIborMaster.getInstance();
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    _generatorSwap = new HashMap<>();
    _generatorSwap.put("USD6MLIBOR3M",
        new GeneratorSwapFixedIbor("USD6MLIBOR3M", Period.ofMonths(6), DayCountFactory.INSTANCE.getDayCount("30/360"), _iborIndexMaster.getIndex("USDLIBOR3M"), baseCalendar));
    _generatorSwap.put("USD1YLIBOR3M",
        new GeneratorSwapFixedIbor("USD1YLIBOR3M", Period.ofMonths(12), DayCountFactory.INSTANCE.getDayCount("ACT/360"),
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    final double notional = 1.0e7;
    final double spread = spreadBasisPoints/10000.0;
    final double recoveryRate = 0.4;

    final Frequency premiumFrequency = SimpleFrequency.QUARTERLY;
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
    final StubType stubType = StubType.SHORT_START;
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