Examples of SwapLeg

Examples of com.opengamma.financial.security.swap.SwapLeg

306
307
308
309
310
311
312
313
314
315
316
317
    return null;
  }

  @Override
  public List<ExternalId> visitSwapSecurity(final SwapSecurity security) {
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(payLeg.getRegionId());
    }
    return Arrays.asList(payLeg.getRegionId(), receiveLeg.getRegionId());
  }
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

317
318
319
320
321
322
323
324
325
326
327
328
  }

  @Override
  public List<ExternalId> visitSwaptionSecurity(final SwaptionSecurity security) {
    final SwapSecurity underlyingSwap = (SwapSecurity) _securitySource.getSingle(ExternalIdBundle.of(security.getUnderlyingId())); //TODO version
    final SwapLeg payLeg = underlyingSwap.getPayLeg();
    final SwapLeg receiveLeg = underlyingSwap.getReceiveLeg();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(payLeg.getRegionId());
    }
    return Arrays.asList(payLeg.getRegionId(), receiveLeg.getRegionId());
  }
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

398
399
400
401
402
403
404
405
406
407
408
409
    return Arrays.asList(underlyingCDS.getRegionId());
  }

  @Override
  public List<ExternalId> visitZeroCouponInflationSwapSecurity(final ZeroCouponInflationSwapSecurity security) {
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(payLeg.getRegionId());
    }
    return Arrays.asList(payLeg.getRegionId(), receiveLeg.getRegionId());
  }
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

408
409
410
411
412
413
414
415
416
417
418
419
    return Arrays.asList(payLeg.getRegionId(), receiveLeg.getRegionId());
  }

  @Override
  public List<ExternalId> visitYearOnYearInflationSwapSecurity(final YearOnYearInflationSwapSecurity security) {
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(payLeg.getRegionId());
    }
    return Arrays.asList(payLeg.getRegionId(), receiveLeg.getRegionId());
  }
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

84
85
86
87
88
89
90
91
92
93
94
95
    final InflationLegConvention inflationLegConvention = _conventionSource.getConvention(InflationLegConvention.class, getIds(currency, INFLATION_LEG));
    if (inflationLegConvention == null) {
      throw new OpenGammaRuntimeException("Inflation leg convention with id " + getIds(currency, INFLATION_LEG) + " was null");
    }
    final IndexPrice priceIndex = new IndexPrice(indexConvention.getName(), currency);
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    final FixedInflationSwapLeg fixedLeg;
    final InflationIndexSwapLeg indexLeg;
    final boolean isPayer;
    if (payLeg instanceof FixedInflationSwapLeg && receiveLeg instanceof InflationIndexSwapLeg) {
      fixedLeg = (FixedInflationSwapLeg) payLeg;
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

149
150
151
152
153
154
155
156
157
158
159
160
    final InflationLegConvention inflationLegConvention = _conventionSource.getConvention(InflationLegConvention.class, getIds(currency, INFLATION_LEG));
    if (inflationLegConvention == null) {
      throw new OpenGammaRuntimeException("Inflation leg convention with id " + getIds(currency, INFLATION_LEG) + " was null");
    }
    final IndexPrice priceIndex = new IndexPrice(indexConvention.getName(), currency);
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    final FixedInflationSwapLeg fixedLeg;
    final InflationIndexSwapLeg indexLeg;
    final boolean isPayer;
    if (payLeg instanceof FixedInflationSwapLeg && receiveLeg instanceof InflationIndexSwapLeg) {
      fixedLeg = (FixedInflationSwapLeg) payLeg;
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

125
126
127
128
129
130
131
132
133
134
135
136
  }

  private SwapDefinition getFixedIborSwapDefinition(final SwapSecurity swapSecurity, final boolean payFixed, final boolean hasSpread) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    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();
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

174
175
176
177
178
179
180
181
182
183
184
185
  }

  private SwapDefinition getFixedOISSwapDefinition(final SwapSecurity swapSecurity, final boolean payFixed) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final String overnightConventionName = getConventionName(currency, OVERNIGHT);
    final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, ExternalId.of(SCHEME_NAME, overnightConventionName));
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

126
127
128
129
130
131
132
133
134
135
136
137
  }

  private SwapDefinition getBRLSwapDefinition(final SwapSecurity swapSecurity, final boolean payFixed) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final ConventionBundle indexConvention = _conventionSource.getConventionBundle(floatLeg.getFloatingReferenceRateId());
View Full Code Here

Examples of com.opengamma.financial.security.swap.SwapLeg

158
159
160
161
162
163
164
165
166
167
168
169
  }

  private SwapDefinition getFixedIborSwapDefinition(final SwapSecurity swapSecurity, final boolean payFixed, final boolean hasSpread) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    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();
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.