Examples of FXForwardAndSwapConvention

Examples of com.opengamma.financial.convention.FXForwardAndSwapConvention

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      throw new OpenGammaRuntimeException("Could not get convention with id " + conventionId);
    }
    if (!(convention instanceof FXForwardAndSwapConvention)) {
      throw new OpenGammaRuntimeException("Need a convention of type " + FXForwardAndSwapConvention.class + ", have " + convention.getClass());
    }
    final FXForwardAndSwapConvention forwardConvention = (FXForwardAndSwapConvention) convention;
    final ExternalId underlyingConventionId = forwardConvention.getSpotConvention();
    final Convention underlyingConvention = _conventionSource.getConvention(underlyingConventionId);
    if (underlyingConvention == null) {
      throw new OpenGammaRuntimeException("Could not get convention with id " + underlyingConventionId);
    }
    if (!(underlyingConvention instanceof FXSpotConvention)) {
      throw new OpenGammaRuntimeException("Need a convention of type " + FXSpotConvention.class + ", have " + convention.getClass());
    }
    final FXSpotConvention spotConvention = (FXSpotConvention) underlyingConvention;
    final Currency payCurrency = fxForward.getPayCurrency();
    final Currency receiveCurrency = fxForward.getReceiveCurrency();
    final Tenor forwardTenor = fxForward.getMaturityTenor();
    final double payAmount = 1;
    final double receiveAmount = forward;
    final int settlementDays = spotConvention.getSettlementDays();
    final ExternalId settlementRegion = forwardConvention.getSettlementRegion();
    final Calendar settlementCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, settlementRegion);
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, settlementCalendar);
    final ZonedDateTime exchangeDate = ScheduleCalculator.getAdjustedDate(spotDate, forwardTenor.getPeriod(), forwardConvention.getBusinessDayConvention(), settlementCalendar,
        forwardConvention.isIsEOM());
    return ForexDefinition.fromAmounts(payCurrency, receiveCurrency, exchangeDate, payAmount, -receiveAmount);
  }
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Examples of com.opengamma.financial.convention.FXForwardAndSwapConvention

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      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final ExternalId spotConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(SPOT_CONVENTION_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final ExternalId settlementRegion = deserializer.fieldValueToObject(ExternalId.class, message.getByName(SETTLEMENT_REGION_FIELD));
      final FXForwardAndSwapConvention convention = new FXForwardAndSwapConvention(name, externalIdBundle, spotConvention, businessDayConvention, isEOM, settlementRegion);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueIdMsg != null) {
        convention.setUniqueId(deserializer.fieldValueToObject(UniqueId.class, uniqueIdMsg));
      }
      return convention;
    }
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Examples of com.opengamma.financial.convention.FXForwardAndSwapConvention

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  public void testWrongUnderlyingConventionForFXForward() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardAndSwapConvention fxForward = new FXForwardAndSwapConvention("FX Forward", ExternalIdBundle.of(ExternalId.of(SCHEME, "FX Forward")), LIBOR_1M_ID, MODIFIED_FOLLOWING, false, US);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, ExternalId.of(SCHEME, "FX Forward"), Currency.USD, Currency.CAD, "Mapper");
    final Map<ExternalId, Convention> conventions = new HashMap<>();
    conventions.put(FX_FORWARD_ID, fxForward);
    conventions.put(LIBOR_1M_ID, LIBOR_1M);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(new TestConventionSource(conventions), HOLIDAY_SOURCE, REGION_SOURCE,
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Examples of com.opengamma.financial.convention.FXForwardAndSwapConvention

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    assertEquals(convention, cycleObject(DepositConvention.class, convention));
  }

  @Test
  public void testFXForwardAndSwapConvention() {
    final FXForwardAndSwapConvention convention = new FXForwardAndSwapConvention("USD/CAD", ExternalIdBundle.of(InMemoryConventionBundleMaster.simpleNameSecurityId("USD/CAD")),
        ExternalId.of("Test", "FX"), BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true, ExternalId.of("Test", "US"));
    convention.setUniqueId(UniqueId.of("Test", "1234"));
    assertEquals(convention, cycleObject(FXForwardAndSwapConvention.class, convention));
  }
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Examples of com.opengamma.financial.convention.FXForwardAndSwapConvention

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    // Forex
    final String fxSpotEURUSDName = FX_SPOT + " EUR/USD";
    final FXSpotConvention fxSpotEURUSD = new FXSpotConvention(fxSpotEURUSDName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, fxSpotEURUSDName)), 2, USEU);
    final String fxFwdEURUSDName = FX_FORWARD + " EUR/USD";
    final FXForwardAndSwapConvention fxForwardEURUSD = new FXForwardAndSwapConvention(fxFwdEURUSDName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, fxFwdEURUSDName)),
        ExternalId.of(SCHEME_NAME, fxSpotEURUSDName), FOLLOWING, false, USEU);
   
    // X-Ccy OIS
    final Convention oisXCcyUSDLegConvention = new OISLegConvention(OIS_USD_EUR_ON_LEG, getIds(OIS_USD_EUR_ON_LEG), onIndexId,
        Tenor.THREE_MONTHS, MODIFIED_FOLLOWING, 2, true, StubType.NONE, false, 2);
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