Examples of DayCount

Examples of com.opengamma.financial.convention.daycount.DayCount

29
30
31
32
33
34
35
36
37
38
39
40
  public static void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    Validate.notNull(conventionMaster, "convention master");
    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");
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);

    final ExternalId dk = ExternalSchemes.financialRegionId("NO");
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

31
32
33
34
35
36
37
38
39
40
41
   * @param conventionMaster The convention master, not null
   */
  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final ExternalId ru = ExternalSchemes.financialRegionId("RU");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("RRDR1T Curncy"), simpleNameSecurityId("RUB DEPOSIT 1d")), "RUB DEPOSIT 1d", act360,
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
   */
  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    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");
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);

    //TODO holiday associated with EUR swaps is TARGET
    final ExternalId eu = ExternalSchemes.financialRegionId("EU");
    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
    //EURO LIBOR
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU00O/N Index"), simpleNameSecurityId("EUR LIBOR O/N"),
        tullettPrebonSecurityId("ASLIBEULONL")),
        "EUR LIBOR O/N", act360, following, Period.ofDays(1), 0, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU00T/N Index"), simpleNameSecurityId("EUR LIBOR T/N")),
        "EUR LIBOR T/N", act360, following, Period.ofDays(1), 1, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0001W Index"), simpleNameSecurityId("EUR LIBOR 1w"),
        tullettPrebonSecurityId("ASLIBEUL1WL")),
        "EUR LIBOR 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0002W Index"), simpleNameSecurityId("EUR LIBOR 2w"),
        tullettPrebonSecurityId("ASLIBEUL2WL")),
        "EUR LIBOR 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0001M Index"), simpleNameSecurityId("EUR LIBOR 1m"),
        tullettPrebonSecurityId("ASLIBEUL01L")),
        "EUR LIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0002M Index"), simpleNameSecurityId("EUR LIBOR 2m"),
        tullettPrebonSecurityId("ASLIBEUL02L")),
        "EUR LIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0003M Index"), simpleNameSecurityId("EUR LIBOR 3m"),
        tullettPrebonSecurityId("ASLIBEUL03L")),
        "EUR LIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0004M Index"), simpleNameSecurityId("EUR LIBOR 4m"),
        tullettPrebonSecurityId("ASLIBEUL04L")),
        "EUR LIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0005M Index"), simpleNameSecurityId("EUR LIBOR 5m"),
        tullettPrebonSecurityId("ASLIBEUL05L")),
        "EUR LIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0006M Index"), simpleNameSecurityId("EUR LIBOR 6m"),
        tullettPrebonSecurityId("ASLIBEUL06L")),
        "EUR LIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0007M Index"), simpleNameSecurityId("EUR LIBOR 7m"),
        tullettPrebonSecurityId("ASLIBEUL07L")),
        "EUR LIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0008M Index"), simpleNameSecurityId("EUR LIBOR 8m"),
        tullettPrebonSecurityId("ASLIBEUL08L")),
        "EUR LIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0009M Index"), simpleNameSecurityId("EUR LIBOR 9m"),
        tullettPrebonSecurityId("ASLIBEUL09L")),
        "EUR LIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0010M Index"), simpleNameSecurityId("EUR LIBOR 10m"),
        tullettPrebonSecurityId("ASLIBEUL10L")),
        "EUR LIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0011M Index"), simpleNameSecurityId("EUR LIBOR 11m"),
        tullettPrebonSecurityId("ASLIBEUL11L")),
        "EUR LIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0012M Index"), simpleNameSecurityId("EUR LIBOR 12m"),
        tullettPrebonSecurityId("ASLIBEUL12L")),
        "EUR LIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);
    // EURIBOR
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR001W Index"), simpleNameSecurityId("EURIBOR 1w"),
        tullettPrebonSecurityId("ASLIBEUR1WL")),
        "EURIBOR 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR002W Index"), simpleNameSecurityId("EURIBOR 2w"),
        tullettPrebonSecurityId("ASLIBEUR2WL")),
        "EURIBOR 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR003W Index"), simpleNameSecurityId("EURIBOR 3w"),
        tullettPrebonSecurityId("ASLIBEUR3WL")),
        "EURIBOR 3w", act360, following, Period.ofDays(21), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR001M Index"), simpleNameSecurityId("EURIBOR 1m"),
        tullettPrebonSecurityId("ASLIBEUR01L")),
        "EURIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR002M Index"), simpleNameSecurityId("EURIBOR 2m"),
        tullettPrebonSecurityId("ASLIBEUR02L")),
        "EURIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR003M Index"), ExternalSchemes.ricSecurityId("EURIBOR3MD="),
            simpleNameSecurityId("EURIBOR 3m"), tullettPrebonSecurityId("ASLIBEUR03L")),
            "EURIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR004M Index"), simpleNameSecurityId("EURIBOR 4m"),
        tullettPrebonSecurityId("ASLIBEUR04L")),
        "EURIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR005M Index"), simpleNameSecurityId("EURIBOR 5m"),
        tullettPrebonSecurityId("ASLIBEUR05L")),
        "EURIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR006M Index"), ExternalSchemes.ricSecurityId("EURIBOR6MD="),
            simpleNameSecurityId("EURIBOR 6m"), tullettPrebonSecurityId("ASLIBEUR06L")),
            "EURIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR007M Index"), simpleNameSecurityId("EURIBOR 7m"),
        tullettPrebonSecurityId("ASLIBEUR07L")),
        "EURIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR008M Index"), simpleNameSecurityId("EURIBOR 8m"),
        tullettPrebonSecurityId("ASLIBEUR08L")),
        "EURIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR009M Index"), simpleNameSecurityId("EURIBOR 9m"),
        tullettPrebonSecurityId("ASLIBEUR09L")),
        "EURIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR010M Index"), simpleNameSecurityId("EURIBOR 10m"),
        tullettPrebonSecurityId("ASLIBEUR10L")),
        "EURIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR011M Index"), simpleNameSecurityId("EURIBOR 11m"),
        tullettPrebonSecurityId("ASLIBEUR11L")),
        "EURIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR012M Index"), simpleNameSecurityId("EURIBOR 12m"),
        tullettPrebonSecurityId("ASLIBEUR12L")),
        "EURIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);

    // Deposit
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1T Curncy"), simpleNameSecurityId("EUR DEPOSIT 1d")),
        "EUR DEPOSIT 1d", act360, following, Period.ofDays(1), 0, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2T Curncy"), simpleNameSecurityId("EUR DEPOSIT 2d")),
        "EUR DEPOSIT 2d", act360, following, Period.ofDays(1), 1, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3T Curncy"), simpleNameSecurityId("EUR DEPOSIT 3d")),
        "EUR DEPOSIT 3d", act360, following, Period.ofDays(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 1w"),
        icapSecurityId("EUR_1W"), tullettPrebonSecurityId("MNDEPEURSPT01W")), "EUR DEPOSIT 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 2w"),
        icapSecurityId("EUR_2W"), tullettPrebonSecurityId("MNDEPEURSPT02W")), "EUR DEPOSIT 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 3w"),
        icapSecurityId("EUR_3W"), tullettPrebonSecurityId("MNDEPEURSPT03W")), "EUR DEPOSIT 3w", act360, following, Period.ofDays(21), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRA Curncy"), simpleNameSecurityId("EUR DEPOSIT 1m"),
        icapSecurityId("EUR_1M"), tullettPrebonSecurityId("MNDEPEURSPT01M")), "EUR DEPOSIT 1m", act360, following, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRB Curncy"), simpleNameSecurityId("EUR DEPOSIT 2m"),
        icapSecurityId("EUR_2M"), tullettPrebonSecurityId("MNDEPEURSPT02M")), "EUR DEPOSIT 2m", act360, following, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRC Curncy"), simpleNameSecurityId("EUR DEPOSIT 3m"),
        icapSecurityId("EUR_3M"), tullettPrebonSecurityId("MNDEPEURSPT03M")), "EUR DEPOSIT 3m", act360, following, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRD Curncy"), simpleNameSecurityId("EUR DEPOSIT 4m"),
        icapSecurityId("EUR_4M"), tullettPrebonSecurityId("MNDEPEURSPT04M")), "EUR DEPOSIT 4m", act360, following, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRE Curncy"), simpleNameSecurityId("EUR DEPOSIT 5m"),
        icapSecurityId("EUR_5M"), tullettPrebonSecurityId("MNDEPEURSPT05M")), "EUR DEPOSIT 5m", act360, following, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRF Curncy"), simpleNameSecurityId("EUR DEPOSIT 6m"),
        icapSecurityId("EUR_6M"), tullettPrebonSecurityId("MNDEPEURSPT06M")), "EUR DEPOSIT 6m", act360, following, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRG Curncy"), simpleNameSecurityId("EUR DEPOSIT 7m"),
        icapSecurityId("EUR_7M"), tullettPrebonSecurityId("MNDEPEURSPT07M")), "EUR DEPOSIT 7m", act360, following, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRH Curncy"), simpleNameSecurityId("EUR DEPOSIT 8m"),
        icapSecurityId("EUR_8M"), tullettPrebonSecurityId("MNDEPEURSPT08M")), "EUR DEPOSIT 8m", act360, following, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRI Curncy"), simpleNameSecurityId("EUR DEPOSIT 9m"),
        icapSecurityId("EUR_9M"), tullettPrebonSecurityId("MNDEPEURSPT09M")), "EUR DEPOSIT 9m", act360, following, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRJ Curncy"), simpleNameSecurityId("EUR DEPOSIT 10m"),
        icapSecurityId("EUR_10M"), tullettPrebonSecurityId("MNDEPEURSPT10M")), "EUR DEPOSIT 10m", act360, following, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRK Curncy"), simpleNameSecurityId("EUR DEPOSIT 11m"),
        icapSecurityId("EUR_11M"), tullettPrebonSecurityId("MNDEPEURSPT11M")), "EUR DEPOSIT 11m", act360, following, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1 Curncy"), simpleNameSecurityId("EUR DEPOSIT 1y"),
        icapSecurityId("EUR_12M"), tullettPrebonSecurityId("MNDEPEURSPT12M")), "EUR DEPOSIT 1y", act360, following, Period.ofYears(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2 Curncy"), simpleNameSecurityId("EUR DEPOSIT 2y")),
        "EUR DEPOSIT 2y", act360, following, Period.ofYears(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3 Curncy"), simpleNameSecurityId("EUR DEPOSIT 3y")),
        "EUR DEPOSIT 3y", act360, following, Period.ofYears(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR4 Curncy"), simpleNameSecurityId("EUR DEPOSIT 4y")),
        "EUR DEPOSIT 4y", act360, following, Period.ofYears(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR5 Curncy"), simpleNameSecurityId("EUR DEPOSIT 5y")),
        "EUR DEPOSIT 5y", act360, following, Period.ofYears(5), 2, false, eu);

    final DayCount swapFixedDayCount = thirty360;
    final BusinessDayConvention swapFixedBusinessDay = modified;
    final Frequency swapFixedPaymentFrequency = annual;
    final DayCount euriborDayCount = act360;
    final int publicationLagON = 0;

    // EURIBOR
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_IBOR_INDEX")), "EUR_IBOR_INDEX", euriborDayCount, modified, 2, true);
    // FRA
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

56
57
58
59
60
61
62
63
64
65
    String[] tokens = id.getValue().split(SEPERATOR);
    ArgumentChecker.isTrue(tokens.length == 6, "Incorrect number of params for SingleNameIdentifiable");
    final String name = tokens[0];
    final ExternalId reference = ExternalId.of(tokens[1], name);
    final BusinessDayConvention badDayConvention = BusinessDayConventionFactory.of(tokens[2]);
    final DayCount dayCount = DayCountFactory.of(tokens[3]);
    final Period couponFrequency = Period.parse(tokens[4]);
    final StubType stubType = StubType.valueOf(tokens[5]);
    return new SingleNameIdentifiable(name, reference, badDayConvention, dayCount, couponFrequency, stubType);
  }
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

620
621
622
623
624
625
626
627
628
629
630
    @Override
    public OvernightIndexConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final int publicationLag = message.getInt(PUBLICATION_LAG_FIELD);
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      final ExternalId region = deserializer.fieldValueToObject(ExternalId.class, message.getByName(REGION_FIELD));
      final OvernightIndexConvention convention = new OvernightIndexConvention(name, externalIdBundle, dayCount, publicationLag, currency, region);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

763
764
765
766
767
768
769
770
771
772
773
    @Override
    public SwapFixedLegConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final Tenor paymentTenor = Tenor.of(Period.parse(message.getString(PAYMENT_TENOR)));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final int settlementDays = message.getInt(SETTLEMENT_DAYS_FIELD);
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      final ExternalId regionCalendar = deserializer.fieldValueToObject(ExternalId.class, message.getByName(REGION_FIELD));
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

924
925
926
927
928
929
930
931
932
933
934
    @Override
    public InflationLegConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAYCOUNT_FIELD));
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final int monthLag = message.getInt(MONTH_LAG_FIELD);
      final int spotLag = message.getInt(SPOT_LAG_FIELD);
      final ExternalId priceIndexConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(PRICE_INDEX_FIELD));
      final InflationLegConvention convention = new InflationLegConvention(name, externalIdBundle, businessDayConvention, dayCount,
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

72
73
74
75
76
77
78
79
80
81
82
    final ZonedDateTime maturityDate = nextWorkingDay(startDate.plusYears(length), currency);
    final ExternalId shortIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor1);
    final ExternalId longIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor2);
    final double strike = getRandom(STRIKES);
    final Frequency frequency = getRandom(FREQUENCY);
    final DayCount dayCount = getRandom(DAY_COUNT);
    CapFloorCMSSpreadSecurity security = null;
    if (shortIdentifier != null && longIdentifier != null) {
      security = new CapFloorCMSSpreadSecurity(startDate, maturityDate, notional, longIdentifier, shortIdentifier, strike, frequency, currency, dayCount, payer, cap);
      security.setName(createName(cap, tenor1, tenor2, strike, startDate, maturityDate, frequency, currency, notional));
    }
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

144
145
146
147
148
149
150
151
152
153
154
    final Calendar regionCalendar = CalendarUtils.getCalendar(_regionSource,
                                                              _holidaySource,
                                                              indexConvention.getRegionCalendar());
    final int spotLag = indexConvention.getSettlementDays();
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final DayCount dayCount = indexConvention.getDayCount();
    final boolean eom = indexConvention.isIsEOM();
    final IborIndex iborIndex = new IborIndex(currency,
                                              indexTenor,
                                              spotLag,
                                              dayCount,
View Full Code Here

Examples of com.opengamma.financial.convention.daycount.DayCount

246
247
248
249
250
251
252
253
254
255
256
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource,
                                                        _holidaySource,
                                                        convention.getRegionCalendar());

    final Currency currency = convention.getCurrency();
    final DayCount dayCount = convention.getDayCount();
    final BusinessDayConvention businessDayConvention = convention.getBusinessDayConvention();
    final boolean eomLeg = convention.isIsEOM();
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDateLeg,
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.