Examples of IborIndexConvention

Examples of com.opengamma.financial.convention.IborIndexConvention

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    final ZonedDateTime accrualStartDate = security.getStartDate();
    final ZonedDateTime accrualEndDate = security.getEndDate();
    final long months = getMonths(accrualStartDate, accrualEndDate);
    final String tenorString = months + "M";
    final VanillaIborLegConvention vanillaIborLegConvention = getIborLegConvention(currency, tenorString);
    final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, vanillaIborLegConvention.getIborIndexConvention());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get ibor index convention with the identifier " + vanillaIborLegConvention.getIborIndexConvention());
    }
    final double notional = security.getAmount();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, ExternalSchemes.currencyRegionId(currency)); //TODO exchange region?
    final int spotLag = iborIndexConvention.getSettlementDays();
    final Period indexTenor = Period.ofMonths((int) months);
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, iborIndexConvention.getDayCount(), iborIndexConvention.getBusinessDayConvention(),
        iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
    return ForwardRateAgreementDefinition.from(accrualStartDate, accrualEndDate, notional, iborIndex, security.getRate(), calendar);
  }
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Examples of com.opengamma.financial.convention.IborIndexConvention

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   * @return The interest rate future
   */
  private InstrumentDefinition<?> getInterestRateFuture(final RateFutureNode rateFuture, final InterestRateFutureConvention futureConvention,
      final Double price) {
    final String expiryCalculatorName = futureConvention.getExpiryConvention().getValue();
    final IborIndexConvention indexConvention = _conventionSource.getConvention(IborIndexConvention.class, rateFuture.getUnderlyingConvention());
    if (indexConvention == null) {
      throw new OpenGammaRuntimeException("Underlying convention was null");
    }
    final Period indexTenor = rateFuture.getUnderlyingTenor().getPeriod();
    final double paymentAccrualFactor = indexTenor.toTotalMonths() / 12.; //TODO don't use this method
    final Currency currency = indexConvention.getCurrency();
    final Calendar fixingCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getFixingCalendar());
    final Calendar regionCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final DayCount dayCount = indexConvention.getDayCount();
    final boolean eom = indexConvention.isIsEOM();
    final int spotLag = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eom, indexConvention.getName());
    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), regionCalendar), time, timeZone);
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Examples of com.opengamma.financial.convention.IborIndexConvention

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    final Period startPeriod = fraNode.getFixingStart().getPeriod();
    final Period endPeriod = fraNode.getFixingEnd().getPeriod();
    //TODO probably need a specific FRA convention to hold the reset tenor
    final long months = endPeriod.toTotalMonths() - startPeriod.toTotalMonths();
    final Period indexTenor = Period.ofMonths((int) months);
    final IborIndexConvention indexConvention;
    if (convention instanceof IborIndexConvention) {
      indexConvention = (IborIndexConvention) convention;
    } else {
      if (convention == null) {
        throw new OpenGammaRuntimeException("Convention with id " + fraNode.getConvention() + " was null");
      }
      throw new OpenGammaRuntimeException("Could not handle underlying convention of type " + convention.getClass());
    }
    final Currency currency = indexConvention.getCurrency();
    final Calendar fixingCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getFixingCalendar());
    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, businessDayConvention, eom, convention.getName());
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLag, regionCalendar);
    final ZonedDateTime accrualStartDate = ScheduleCalculator.getAdjustedDate(spotDate, startPeriod, businessDayConvention, regionCalendar, eom);
    final ZonedDateTime accrualEndDate = ScheduleCalculator.getAdjustedDate(spotDate, endPeriod, businessDayConvention, regionCalendar, eom);
    return ForwardRateAgreementDefinition.from(accrualStartDate, accrualEndDate, 1, iborIndex, rate, fixingCalendar);
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Examples of com.opengamma.financial.convention.IborIndexConvention

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    final Frequency payFreq = capFloorSecurity.getFrequency();
    // FIXME: convert frequency to period in a better way
    final Period tenorPayment = getTenor(payFreq);
    final boolean isIbor = capFloorSecurity.isIbor();
    final String iborConventionName = getConventionName(currency, IBOR);
    final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, ExternalId.of(SCHEME_NAME, iborConventionName));
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get ibor convention called " + iborConventionName);
    }
    final Frequency freqIbor = capFloorSecurity.getFrequency();
    final Period iborTenor = getTenor(freqIbor);
    final int spotLag = iborIndexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, iborTenor, spotLag, iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
    final ExternalId regionId = iborIndexConvention.getRegionCalendar();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final IborIndex index = new IborIndex(currency, iborTenor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
    if (isIbor) { // Cap/floor on Ibor
      final String vanillaIborLegConventionName = getConventionName(Currency.USD, TENOR_STR_3M, IRS_IBOR_LEG);
      final VanillaIborLegConvention vanillaIborLegConvention =
          _conventionSource.getConvention(VanillaIborLegConvention.class, ExternalId.of(SCHEME_NAME, vanillaIborLegConventionName));
      if (vanillaIborLegConvention == null) {
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Examples of com.opengamma.financial.convention.IborIndexConvention

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    conventionMaster.add(depositConvention);
  }

  private static void addLiborConventions(final InMemoryConventionMaster conventionMaster) {
    final String liborConventionName = getConventionName(ZAR, JIBOR);
    final Convention liborConvention = new IborIndexConvention(liborConventionName, getIds(ZAR, JIBOR), ACT_365, FOLLOWING, 2, false, ZAR,
        LocalTime.of(11, 00), "ZA", ZA, ZA, "");
    conventionMaster.add(liborConvention);
  }
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Examples of com.opengamma.financial.convention.IborIndexConvention

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    // Index (Overnight and Ibor-like)
    final String onIndexName = getConventionName(Currency.EUR, OVERNIGHT);
    final ExternalId onIndexId = ExternalId.of(SCHEME_NAME, onIndexName);
    final Convention onIndex = new OvernightIndexConvention(onIndexName, getIds(Currency.EUR, OVERNIGHT), ACT_360, 0, Currency.EUR, EU);
    final String liborConventionName = getConventionName(Currency.EUR, LIBOR);
    final Convention liborIndex = new IborIndexConvention(liborConventionName, getIds(Currency.EUR, LIBOR), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.EUR,
        LocalTime.of(11, 00), "EU", EU, EU, "");
    final ExternalId liborConventionId = ExternalId.of(SCHEME_NAME, liborConventionName);
    final String euriborConventionName = getConventionName(Currency.EUR, EURIBOR);
    final Convention euriborIndex = new IborIndexConvention(euriborConventionName, getIds(Currency.EUR, EURIBOR), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.EUR,
        LocalTime.of(11, 00), "EU", EU, EU, "");
    final ExternalId euriborConventionId = ExternalId.of(SCHEME_NAME, euriborConventionName);
    // Deposit
    final String depositONConventionName = getConventionName(Currency.EUR, DEPOSIT_ON);
    final DepositConvention depositONConvention = new DepositConvention(depositONConventionName, getIds(Currency.EUR, DEPOSIT_ON), ACT_360, FOLLOWING, 0, false, Currency.EUR, EU);
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Examples of com.opengamma.financial.convention.IborIndexConvention

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  private static final ExternalId CH = ExternalSchemes.financialRegionId("CH");
  private static final ExternalId CHGB = ExternalSchemes.financialRegionId("CH+GB");

  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionMaster conventionMaster) {
    final String liborConventionName = getConventionName(Currency.CHF, LIBOR);
    final Convention liborIndex = new IborIndexConvention(liborConventionName, getIds(Currency.CHF, LIBOR), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.CHF,
        LocalTime.of(11, 00), "CH", CHGB, CH, "");
   
    // Convention add
    conventionMaster.add(liborIndex);
  }
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Examples of com.opengamma.financial.convention.IborIndexConvention

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    // Index (Overnight and Ibor-like)
    final String onIndexName = getConventionName(Currency.JPY, OVERNIGHT);
    final ExternalId onIndexId = ExternalId.of(SCHEME_NAME, onIndexName);
    final Convention onIndex = new OvernightIndexConvention(onIndexName, getIds(Currency.JPY, OVERNIGHT), ACT_365, 1, Currency.JPY, JP);
    final String iborConventionName = getConventionName(Currency.JPY, LIBOR);
    final Convention liborIndex = new IborIndexConvention(iborConventionName, getIds(Currency.JPY, LIBOR), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.JPY,
        LocalTime.of(11, 00), "JP", JPGB, JP, "");
    final ExternalId liborConventionId = ExternalId.of(SCHEME_NAME, iborConventionName);
    final Convention tiborJPIndex = new IborIndexConvention(getConventionName(Currency.JPY, TIBOR_JAPANESE), getIds(Currency.JPY, TIBOR_JAPANESE), ACT_365, MODIFIED_FOLLOWING, 2, true, Currency.JPY,
        LocalTime.of(11, 00), "JP", JP, JP, "");
    final Convention tiborEuIndex = new IborIndexConvention(getConventionName(Currency.JPY, TIBOR_EUROYEN), getIds(Currency.JPY, TIBOR_EUROYEN), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.JPY,
        LocalTime.of(11, 00), "JP", JP, JP, "");
    // Deposit
    final String depositONConventionName = getConventionName(Currency.JPY, DEPOSIT_ON);
    final DepositConvention depositONConvention = new DepositConvention(depositONConventionName, getIds(Currency.JPY, DEPOSIT_ON), ACT_365, FOLLOWING, 0, false, Currency.JPY, JP);
    final String depositConventionName = getConventionName(Currency.JPY, DEPOSIT);
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Examples of com.opengamma.financial.convention.IborIndexConvention

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    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg iborLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final IborIndexConvention iborIndexConvention = getIborLegConvention(currency);
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final int spotLag = iborIndexConvention.getSettlementDays();
    final IborIndex indexIbor = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
    final Frequency freqFixed = fixedLeg.getFrequency();
    final Period tenorFixed = getTenor(freqFixed);
    final double fixedLegNotional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    if (hasSpread) {
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Examples of com.opengamma.financial.convention.IborIndexConvention

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    return swap;
  }

  private IborIndexConvention getIborLegConvention(final Currency currency) {
    String iborConventionName = getConventionName(currency, EURIBOR);
    IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, ExternalId.of(SCHEME_NAME, iborConventionName));
    if (iborIndexConvention != null) {
      return iborIndexConvention;
    }
    iborConventionName = getConventionName(currency, LIBOR);
    iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, ExternalId.of(SCHEME_NAME, iborConventionName));
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