Examples of InterestRateInstrumentType

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

77
78
79
80
81
82
83
84
85
86
87
    }
    if (security instanceof SwapSecurity) {
      if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) {
        return false;
      }
      final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity(security);
      if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD
          || type == InterestRateInstrumentType.SWAP_IBOR_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_OIS) {
        return true;
      }
    }
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

47
48
49
50
51
52
53
54
55
56
57
    final Security security = target.getSecurity();
    if (security instanceof SwapSecurity) {
      if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) {
        return false;
      }
      final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType((SwapSecurity) security);
      if ((type != InterestRateInstrumentType.SWAP_FIXED_CMS) && (type != InterestRateInstrumentType.SWAP_CMS_CMS) && (type != InterestRateInstrumentType.SWAP_IBOR_CMS)) {
        return false;
      }
    }
    return true;
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

48
49
50
51
52
53
54
55
56
57
58
    final Security security = target.getSecurity();
    if (security instanceof SwapSecurity) {
      if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) {
        return false;
      }
      final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType((SwapSecurity) security);
      if ((type != InterestRateInstrumentType.SWAP_FIXED_CMS) && (type != InterestRateInstrumentType.SWAP_CMS_CMS) && (type != InterestRateInstrumentType.SWAP_IBOR_CMS)) {
        return false;
      }
    }
    return true;
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

152
153
154
155
156
157
158
159
160
161
162
    if (target.getSecurity() instanceof InterestRateFutureSecurity) {
      return false;
    }
    if (security instanceof SwapSecurity) {
      try {
        final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity(security);
        return type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD
            || type == InterestRateInstrumentType.SWAP_IBOR_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_OIS;
      } catch (final OpenGammaRuntimeException ogre) {
        return false;
      }
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

55
56
57
58
59
60
61
62
63
64
65
  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final FinancialSecurity xccySecurity = (FinancialSecurity) target.getSecurity();
    try {
      final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity(xccySecurity);
      if (type == InterestRateInstrumentType.SWAP_CROSS_CURRENCY) {
        final String payCurrency = xccySecurity.accept(ForexVisitors.getPayCurrencyVisitor()).getCode();
        final String receiveCurrency = xccySecurity.accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode();
        // Check Ibor indexes?
        return _currencyAndCurveConfigNames.containsKey(payCurrency) && _currencyAndCurveConfigNames.containsKey(receiveCurrency);
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

47
48
49
50
51
52
53
54
55
56
57
    final Security security = target.getSecurity();
    if (security instanceof SwapSecurity) {
      if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) {
        return false;
      }
      final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType((SwapSecurity) security);
      if ((type != InterestRateInstrumentType.SWAP_FIXED_CMS) && (type != InterestRateInstrumentType.SWAP_CMS_CMS) && (type != InterestRateInstrumentType.SWAP_IBOR_CMS)) {
        return false;
      }
    }
    return true;
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

140
141
142
143
144
145
146
147
148
149
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    if (!(target.getSecurity() instanceof SwapSecurity
        && InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) target.getSecurity()))) {
      return false;
    }
    final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity((FinancialSecurity) target.getSecurity());
    return type == InterestRateInstrumentType.SWAP_FIXED_IBOR ||
        type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD ||
        type == InterestRateInstrumentType.SWAP_FIXED_OIS;
  }
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

270
271
272
273
274
275
276
277
278
279
280
  private static InstrumentDerivative getDerivative(final FinancialSecurity security, final ZonedDateTime now, final HistoricalTimeSeriesBundle timeSeries, final String[] curveNames,
      final InstrumentDefinition<?> definition, final FixedIncomeConverterDataProvider definitionConverter) {
    final InstrumentDerivative derivative;
    final SwapSecurity swapSecurity = (SwapSecurity) security;
    final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType(swapSecurity);
    if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD || type == InterestRateInstrumentType.SWAP_FIXED_OIS) {
      final Frequency resetFrequency;
      if (swapSecurity.getPayLeg() instanceof FloatingInterestRateLeg) {
        resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getPayLeg()).getFrequency();
      } else {
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

69
70
71
72
73
74
75
76
77
78
79
    final Security security = target.getSecurity();
    if (security instanceof SwapSecurity) {
      if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) {
        return false;
      }
      final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType((SwapSecurity) security);
      if ((type != InterestRateInstrumentType.SWAP_FIXED_CMS) && (type != InterestRateInstrumentType.SWAP_CMS_CMS) && (type != InterestRateInstrumentType.SWAP_IBOR_CMS)) {
        return false;
      }
    }
    final String currencyName = FinancialSecurityUtils.getCurrency(security).getCode();
View Full Code Here

Examples of com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType

52
53
54
55
56
57
58
59
60
61
62
    final Security security = target.getSecurity();
    if (security instanceof SwapSecurity) {
      if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) {
        return false;
      }
      final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType((SwapSecurity) security);
      if ((type != InterestRateInstrumentType.SWAP_FIXED_CMS) && (type != InterestRateInstrumentType.SWAP_CMS_CMS) && (type != InterestRateInstrumentType.SWAP_IBOR_CMS)) {
        return false;
      }
    }
    return true;
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.