Package com.opengamma.financial.convention.calendar

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

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        throw new OpenGammaRuntimeException("Convention with id " + fraNode.getConvention() + " was null");
      }
      throw new OpenGammaRuntimeException("Could not handle underlying convention of type " + convention.getClass());
    }
    final Currency currency = indexConvention.getCurrency();
    final Calendar fixingCalendar = CalendarUtils.getCalendar(_regionSource,
                                                              _holidaySource,
                                                              indexConvention.getFixingCalendar());
    final Calendar regionCalendar = CalendarUtils.getCalendar(_regionSource,
                                                              _holidaySource,
                                                              indexConvention.getRegionCalendar());
    final int spotLag = indexConvention.getSettlementDays();
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final DayCount dayCount = indexConvention.getDayCount();
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  private Pair<FixedInterestRateLeg, Triple<ZonedDateTime, ZonedDateTime, ZonedDateTime>> getFixedLeg(final SwapFixedLegConvention convention,
                                                                                                      final SwapNode swapNode,
                                                                                                      final boolean isPayer) {
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource,
                                                        _holidaySource,
                                                        convention.getRegionCalendar());

    final Currency currency = convention.getCurrency();
    final DayCount dayCount = convention.getDayCount();
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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,
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    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();
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    final Period startPeriod = cashNode.getStartTenor().getPeriod();
    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 CashSecurity(currency,
                              depositConvention.getRegionCalendar(),
                              startDate,
                              endDate,
                              dayCount,
                              _rate,
                              _amount);
    } 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();
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      throw new OpenGammaRuntimeException("Underlying convention was null");
    }
    final Period indexTenor = rateFuture.getUnderlyingTenor().getPeriod();
    final double paymentAccrualFactor = indexTenor.toTotalMonths() / 12.; //TODO don't use this method
    final Currency currency = indexConvention.getCurrency();
    final Calendar fixingCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getFixingCalendar());
    final Calendar regionCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final DayCount dayCount = indexConvention.getDayCount();
    final boolean eom = indexConvention.isIsEOM();
    final int spotLag = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eom, indexConvention.getName());
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    final Currency currency = indexConvention.getCurrency();
    final DayCount dayCount = indexConvention.getDayCount();
    final int publicationLag = indexConvention.getPublicationLag();
    final IndexON index = new IndexON(indexConvention.getName(), currency, dayCount, publicationLag);
    final double paymentAccrualFactor = 1 / 12.;
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), calendar), time, timeZone);
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    assertDateArrayEquals(expected3, extractCalculatedSchedule3);
    assertDateArrayEquals(expected4, extractCalculatedSchedule4);

    cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTSHORT);
    final BusinessDayConvention bdc = cds.getBusinessDayAdjustmentConvention();
    final Calendar holidays = cds.getCalendar();
    date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(bdc.adjustDate(holidays, date));
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        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    final BusinessDayConvention bdc = cds.getBusinessDayAdjustmentConvention();
    final Calendar holidays = cds.getCalendar();
    date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(bdc.adjustDate(holidays, date));
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    assertDateArrayEquals(expected3, extractCalculatedSchedule3);
    assertDateArrayEquals(expected4, extractCalculatedSchedule4);

    cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTSHORT);
    final BusinessDayConvention bdc = cds.getBusinessDayAdjustmentConvention();
    final Calendar holidays = cds.getCalendar();
    date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(bdc.adjustDate(holidays, date));
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