Examples of HolidaySourceCalendarAdapter

Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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        startDate = startDate.plusDays(1);
      }
      if (!_includeEnd) {
        endDate = endDate.minusDays(1);
      }
      HolidaySourceCalendarAdapter calendar;
      if (_currencyCalendars != null) {
        Currency[] currencies = _currencyCalendars.toArray(new Currency[_currencyCalendars.size()]);
        HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
        calendar = new HolidaySourceCalendarAdapter(holidaySource, currencies);
      } else {
        calendar = null;
      }
      List<ViewCycleExecutionOptions> executionSequence = new LinkedList<ViewCycleExecutionOptions>();
      LocalDate previousWorkingDate = null;
      LocalDate currentDate = startDate;
      while (!currentDate.isAfter(endDate)) {
        if (calendar == null || calendar.isWorkingDay(currentDate)) {
          MarketDataSpecification marketDataSpec = createMarketDataSpec(previousWorkingDate, currentDate, LocalDate.now(executionContext.getValuationClock()));
          if (marketDataSpec != null) {
            ViewCycleExecutionOptions executionOptions = ViewCycleExecutionOptions.builder()
                .setMarketDataSpecification(marketDataSpec)
                .create();
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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      final String[] regions = regionId.getValue().split("\\+");
      final Set<Region> resultRegions = new HashSet<>();
      for (final String region : regions) {
        resultRegions.add(regionSource.getHighestLevelRegion(ExternalSchemes.financialRegionId(region)));
      }
      return new HolidaySourceCalendarAdapter(holidaySource, resultRegions.toArray(new Region[] {}));
    }
    final Region region = regionSource.getHighestLevelRegion(regionId); // we've checked that they are the same.
    return new HolidaySourceCalendarAdapter(holidaySource, region);
  }
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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    final Region region = regionSource.getHighestLevelRegion(regionId); // we've checked that they are the same.
    return new HolidaySourceCalendarAdapter(holidaySource, region);
  }

  public static Calendar getCalendar(final HolidaySource holidaySource, final Currency... currencies) {
    return new HolidaySourceCalendarAdapter(holidaySource, currencies);
  }
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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    final ZonedDateTime valTime = ZonedDateTime.now(executionContext.getValuationClock());
    final LocalDate valDate = valTime.toLocalDate();

    final Currency currency = (Currency) target.getValue();
    final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);

    // 1. Build the surface name, in two parts: the given name and the target
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
    final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
    final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.IR_FUTURE_OPTION);
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
    final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
    final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.BOND_FUTURE_OPTION);
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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  }

  @Override
  public EquityVarianceSwapDefinition visitEquityVarianceSwapSecurity(final EquityVarianceSwapSecurity security) {
    final Currency currency = security.getCurrency();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
    final Frequency frequency = security.getObservationFrequency();
    final PeriodFrequency periodFrequency;
    if (frequency instanceof PeriodFrequency) {
      periodFrequency = (PeriodFrequency) frequency;
    } else if (frequency instanceof SimpleFrequency) {
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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  public LegacyVanillaCreditDefaultSwapDefinition visitStandardVanillaCDSSecurity(final StandardVanillaCDSSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    //final ExternalId regionId = security.getRegionId();
    //final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, security.getNotional().getCurrency());
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate(); //FOLLOWING.adjustDate(calendar, valuationDate.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1));
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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  public LegacyVanillaCreditDefaultSwapDefinition visitLegacyVanillaCDSSecurity(final LegacyVanillaCDSSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    //    final ExternalId regionId = security.getRegionId();
    //    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, security.getNotional().getCurrency());
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate(); //FOLLOWING.adjustDate(calendar, valuationDate.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1));
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
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Examples of com.opengamma.financial.convention.HolidaySourceCalendarAdapter

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  @Override
  public LegacyVanillaCreditDefaultSwapDefinition visitStandardVanillaCDSSecurity(final StandardVanillaCDSSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final ExternalId regionId = security.getRegionId();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate();
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
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