Examples of FollowingBusinessDayConvention

com.opengamma.financial.convention.businessday.FollowingBusinessDayConvention
The following business day convention.
This chooses the next working day following a non-working day.

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

   */
  public static ZonedDateTime[] getAdjustedDateSchedule(final ZonedDateTime startDate, final ZonedDateTime endDate, final Period period,
      final BusinessDayConvention businessDayConvention, final Calendar calendar, final boolean isEOM, final boolean stubShort) {
    boolean eomApply = false;
    if (isEOM) {
      final BusinessDayConvention following = new FollowingBusinessDayConvention();
      eomApply = (following.adjustDate(calendar, startDate.plusDays(1)).getMonth() != startDate.getMonth());
    }
    // When the end-of-month rule applies and the start date is on month-end, the dates are the last business day of the month.
    BusinessDayConvention actualBDC;
    final List<ZonedDateTime> adjustedDates = new ArrayList<>();
    ZonedDateTime date = startDate;

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

  public void testAdjustedDates() {
    final ZonedDateTime effective = DateUtils.getUTCDate(2010, 1, 1);
    final ZonedDateTime maturity = DateUtils.getUTCDate(2011, 1, 1);
    final ZonedDateTime[] unadjusted = ScheduleCalculator.getUnadjustedDateSchedule(effective, maturity, PeriodFrequency.MONTHLY);
    assertDateArray(ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new ModifiedFollowingBusinessDayConvention(), ALL), unadjusted);
    assertDateArray(ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new FollowingBusinessDayConvention(), ALL), unadjusted);
    assertDateArray(ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new PrecedingBusinessDayConvention(), ALL), unadjusted);
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new ModifiedFollowingBusinessDayConvention(), WEEKEND),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 1), DateUtils.getUTCDate(2010, 3, 1), DateUtils.getUTCDate(2010, 4, 1), DateUtils.getUTCDate(2010, 5, 3), DateUtils.getUTCDate(2010, 6, 1),
          DateUtils.getUTCDate(2010, 7, 1), DateUtils.getUTCDate(2010, 8, 2), DateUtils.getUTCDate(2010, 9, 1), DateUtils.getUTCDate(2010, 10, 1), DateUtils.getUTCDate(2010, 11, 1),
          DateUtils.getUTCDate(2010, 12, 1), DateUtils.getUTCDate(2011, 1, 3) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new FollowingBusinessDayConvention(), WEEKEND),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 1), DateUtils.getUTCDate(2010, 3, 1), DateUtils.getUTCDate(2010, 4, 1), DateUtils.getUTCDate(2010, 5, 3), DateUtils.getUTCDate(2010, 6, 1),
          DateUtils.getUTCDate(2010, 7, 1), DateUtils.getUTCDate(2010, 8, 2), DateUtils.getUTCDate(2010, 9, 1), DateUtils.getUTCDate(2010, 10, 1), DateUtils.getUTCDate(2010, 11, 1),
          DateUtils.getUTCDate(2010, 12, 1), DateUtils.getUTCDate(2011, 1, 3) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new PrecedingBusinessDayConvention(), WEEKEND),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 1), DateUtils.getUTCDate(2010, 3, 1), DateUtils.getUTCDate(2010, 4, 1), DateUtils.getUTCDate(2010, 4, 30), DateUtils.getUTCDate(2010, 6, 1),
          DateUtils.getUTCDate(2010, 7, 1), DateUtils.getUTCDate(2010, 7, 30), DateUtils.getUTCDate(2010, 9, 1), DateUtils.getUTCDate(2010, 10, 1), DateUtils.getUTCDate(2010, 11, 1),
          DateUtils.getUTCDate(2010, 12, 1), DateUtils.getUTCDate(2010, 12, 31) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new ModifiedFollowingBusinessDayConvention(), FIRST),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 2), DateUtils.getUTCDate(2010, 3, 2), DateUtils.getUTCDate(2010, 4, 2), DateUtils.getUTCDate(2010, 5, 3), DateUtils.getUTCDate(2010, 6, 2),
          DateUtils.getUTCDate(2010, 7, 2), DateUtils.getUTCDate(2010, 8, 2), DateUtils.getUTCDate(2010, 9, 2), DateUtils.getUTCDate(2010, 10, 4), DateUtils.getUTCDate(2010, 11, 2),
          DateUtils.getUTCDate(2010, 12, 2), DateUtils.getUTCDate(2011, 1, 3) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new FollowingBusinessDayConvention(), FIRST),
        new ZonedDateTime[] {DateUtils.getUTCDate(2010, 2, 2), DateUtils.getUTCDate(2010, 3, 2), DateUtils.getUTCDate(2010, 4, 2), DateUtils.getUTCDate(2010, 5, 3), DateUtils.getUTCDate(2010, 6, 2),
          DateUtils.getUTCDate(2010, 7, 2), DateUtils.getUTCDate(2010, 8, 2), DateUtils.getUTCDate(2010, 9, 2), DateUtils.getUTCDate(2010, 10, 4), DateUtils.getUTCDate(2010, 11, 2),
          DateUtils.getUTCDate(2010, 12, 2), DateUtils.getUTCDate(2011, 1, 3) });
    assertDateArray(
        ScheduleCalculator.getAdjustedDateSchedule(unadjusted, new PrecedingBusinessDayConvention(), FIRST),

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

  }


  @SuppressWarnings("deprecation")
  public TestResult runTestCase(final ISDATestGridRow testCase, final ISDACurve discountCurve) {


    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final Convention convention = new Convention(3, dayCount, businessDays, calendar, "");
    final TemporalAdjuster adjuster = businessDays.getTemporalAdjuster(calendar);


    final ZonedDateTime pricingDate = testCase.getTradeDate().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime maturity = testCase.getMaturityDate().atStartOfDay(ZoneOffset.UTC);


    // Step-in date is always T+1 calendar

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

    final Frequency couponFrequency = 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;


    // Include the accrued coupon (for a default that occurs between coupon dates)

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

    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;


    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, premiumFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);

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

    final double notional = 10000000, spread = 0.01 /* 100bp */, recoveryRate = 0.4;


    final Frequency couponFrequency = 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;


    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);

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

    final double notional = 10000000, spread = 0.05 /* 500bp */, recoveryRate = 0.4;


    final Frequency couponFrequency = 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;


    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);

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