Examples of IborCurveTypeConfiguration

com.opengamma.financial.analytics.curve.IborCurveTypeConfiguration
Configuration object for curves that are to be used as an ibor curve.

Examples of com.opengamma.financial.analytics.curve.IborCurveTypeConfiguration

                discountingMap.put(curveName, currency);
              } catch (final IllegalArgumentException e) {
                throw new OpenGammaRuntimeException("Cannot handle reference type " + reference + " for discounting curves");
              }
            } else if (type instanceof IborCurveTypeConfiguration) {
              final IborCurveTypeConfiguration ibor = (IborCurveTypeConfiguration) type;
              final Convention convention = conventionSource.getConvention(ibor.getConvention());
              if (convention == null) {
                throw new OpenGammaRuntimeException("Convention " + ibor.getConvention() + " was null");
              }
              if (!(convention instanceof IborIndexConvention)) {
                throw new OpenGammaRuntimeException("Expecting convention of type IborIndexConvention; have " + convention.getClass());
              }
              final IborIndexConvention iborIndexConvention = (IborIndexConvention) convention;
              final int spotLag = iborIndexConvention.getSettlementDays();
              iborIndex.add(new IborIndex(iborIndexConvention.getCurrency(), ibor.getTenor().getPeriod(), spotLag, iborIndexConvention.getDayCount(),
                  iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName()));
            } else if (type instanceof OvernightCurveTypeConfiguration) {
              final OvernightCurveTypeConfiguration overnight = (OvernightCurveTypeConfiguration) type;
              final Convention convention = conventionSource.getConvention(overnight.getConvention());
              if (convention == null) {

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Examples of com.opengamma.financial.analytics.curve.IborCurveTypeConfiguration

                discountingMap.put(curveName, currency);
              } catch (final IllegalArgumentException e) {
                throw new OpenGammaRuntimeException("Cannot handle reference type " + reference + " for discounting curves");
              }
            } else if (type instanceof IborCurveTypeConfiguration) {
              final IborCurveTypeConfiguration ibor = (IborCurveTypeConfiguration) type;
              final IborIndexConvention iborIndexConvention = conventionSource.getConvention(IborIndexConvention.class, ibor.getConvention());
              if (iborIndexConvention == null) {
                throw new OpenGammaRuntimeException("Ibor index convention called " + ibor.getConvention() + " was null");
              }
              final int spotLag = iborIndexConvention.getSettlementDays();
              iborIndex.add(new IborIndex(iborIndexConvention.getCurrency(), ibor.getTenor().getPeriod(), spotLag, iborIndexConvention.getDayCount(),
                  iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName()));
            } else if (type instanceof OvernightCurveTypeConfiguration) {
              final OvernightCurveTypeConfiguration overnight = (OvernightCurveTypeConfiguration) type;
              final OvernightIndexConvention overnightConvention = conventionSource.getConvention(OvernightIndexConvention.class, overnight.getConvention());
              if (overnightConvention == null) {

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Examples of com.opengamma.financial.analytics.curve.IborCurveTypeConfiguration

                discountingMap.put(curveName, currency);
              } catch (final IllegalArgumentException e) {
                throw new OpenGammaRuntimeException("Cannot handle reference type " + reference + " for discounting curves");
              }
            } else if (type instanceof IborCurveTypeConfiguration) {
              final IborCurveTypeConfiguration ibor = (IborCurveTypeConfiguration) type;
              final IborIndexConvention iborIndexConvention = conventionSource.getConvention(IborIndexConvention.class, ibor.getConvention());
              if (iborIndexConvention == null) {
                throw new OpenGammaRuntimeException("Ibor index convention called " + ibor.getConvention() + " was null");
              }
              final int spotLag = iborIndexConvention.getSettlementDays();
              iborIndex.add(new IborIndex(iborIndexConvention.getCurrency(), ibor.getTenor().getPeriod(), spotLag, iborIndexConvention.getDayCount(),
                  iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName()));
            } else if (type instanceof OvernightCurveTypeConfiguration) {
              final OvernightCurveTypeConfiguration overnight = (OvernightCurveTypeConfiguration) type;
              final OvernightIndexConvention overnightConvention = conventionSource.getConvention(OvernightIndexConvention.class, overnight.getConvention());
              if (overnightConvention == null) {

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Examples of com.opengamma.financial.analytics.curve.IborCurveTypeConfiguration


    @Override
    public IborCurveTypeConfiguration buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final ExternalId convention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(CONVENTION_FIELD));
      final Tenor tenor = Tenor.of(Period.parse(message.getString(TENOR_FIELD)));
      return new IborCurveTypeConfiguration(convention, tenor);
    }

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