Examples of Tenor

Examples of com.opengamma.util.time.Tenor

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    final int n = tenors.size();
    if (n != volatilityParameterIds.size()) {
      throw new IllegalStateException("Did not have one volatility parameter id per tenor");
    }
    for (int i = 0; i < n; i++) {
      final Tenor tenor = Tenor.of(Period.parse((String) tenors.get(i).getValue()));
      final ExternalId volatilityParameterId = deserializer.fieldValueToObject(ExternalId.class, volatilityParameterIds.get(i));
      volatilityTermStructure.put(tenor, volatilityParameterId);
    }
    final HullWhiteOneFactorParameters parameters = new HullWhiteOneFactorParameters(currency, meanReversionId, initialVolatilityId,
        volatilityTermStructure);
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Examples of com.opengamma.util.time.Tenor

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    if (strikesMsg != null) {
      final Map<Pair<Tenor, Tenor>, Double> strikes = Maps.newHashMap();
      for (final FudgeField strikeField : strikesMsg) {
        final FudgeMsg strikeMsg = (FudgeMsg) strikeField.getValue();
        final Tenor swapTenor = deserializer.fieldValueToObject(Tenor.class, strikeMsg.getByName(SWAP_TENOR_FIELD_NAME));
        final Tenor optionExpiry = deserializer.fieldValueToObject(Tenor.class, strikeMsg.getByName(OPTION_EXPIRY_FIELD_NAME));
        final Double strike = deserializer.fieldValueToObject(Double.class, strikeMsg.getByName(STRIKE_FIELD_NAME));
        strikes.put(Pair.of(swapTenor, optionExpiry), strike);
      }
      ret.setATMStrikes(strikes);
    }

    final FudgeMsg atmVolatilitiesMsg = message.getMessage(ATM_VOLS_FIELD_NAME);
    if (atmVolatilitiesMsg != null) {
      final Map<Pair<Tenor, Tenor>, Double> atmVols = Maps.newHashMap();
      for (final FudgeField atmVolField : atmVolatilitiesMsg) {
        final FudgeMsg atmVolatilityMsg = (FudgeMsg) atmVolField.getValue();
        final Tenor swapTenor = deserializer.fieldValueToObject(Tenor.class, atmVolatilityMsg.getByName(SWAP_TENOR_FIELD_NAME));
        final Tenor optionExpiry = deserializer.fieldValueToObject(Tenor.class, atmVolatilityMsg.getByName(OPTION_EXPIRY_FIELD_NAME));
        final Double atmVol = deserializer.fieldValueToObject(Double.class, atmVolatilityMsg.getByName(ATM_VOLS_FIELD_NAME));
        atmVols.put(Pair.of(swapTenor, optionExpiry), atmVol);
      }
      ret.setATMVolatilities(atmVols);
    }
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Examples of com.opengamma.util.time.Tenor

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        });*/

          ZonedDateTime start = cds.getStartDate();
          ZonedDateTime maturity = cds.getMaturityDate();
          Period period = Period.between(start.toLocalDate(), maturity.toLocalDate());
          Tenor tenor = Tenor.of(period);


          final CurveNodeIdMapper curveNodeIdMapper = configSource.getSingle(CurveNodeIdMapper.class,
                                                                             curveDefinitionID,
                                                                             VersionCorrection.LATEST);
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Examples of com.opengamma.util.time.Tenor

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    final LocalDate curveDate = curveSpecification.getCurveDate();
    for (final FixedIncomeStripWithIdentifier strip : curveSpecification.getStrips()) {
      final InstrumentHandler handler = getInstrumentHandler(strip);
      final Security security = handler.getSecurity(this, curveSpecification, marketValues, strip);
      final ZonedDateTime maturity = handler.getMaturity(this, curveDate, strip, security);
      final Tenor resolvedTenor = Tenor.of(Period.between(curveDate, maturity.toLocalDate()));
      securityStrips.add(new FixedIncomeStripWithSecurity(strip.getStrip(), resolvedTenor, maturity, strip.getSecurity(), security));
    }
    return new InterpolatedYieldCurveSpecificationWithSecurities(curveDate, curveSpecification.getName(), curveSpecification.getCurrency(), curveSpecification.getInterpolator(),
        curveSpecification.interpolateYield(), securityStrips);
  }
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Examples of com.opengamma.util.time.Tenor

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  private SwapSecurity getBasisSwap(final InterpolatedYieldCurveSpecification spec, final FixedIncomeStripWithIdentifier strip, final SnapshotDataBundle marketValues) {
    final ExternalId swapIdentifier = strip.getSecurity();
    final ZonedDateTime curveDate = spec.getCurveDate().atStartOfDay(ZoneOffset.UTC);
    final FixedIncomeStrip fixedIncomeStrip = strip.getStrip();
    final IndexType payIndexType = fixedIncomeStrip.getPayIndexType();
    final Tenor payTenor = fixedIncomeStrip.getPayTenor();
    final IndexType receiveIndexType = fixedIncomeStrip.getReceiveIndexType();
    final Tenor receiveTenor = fixedIncomeStrip.getReceiveTenor();
    final String ccy = spec.getCurrency().getCode();
    final ExternalId payFloatingReferenceRateId = ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, payIndexType + "_" + ccy + "_" + payTenor.getPeriod().toString());
    final ExternalId receiveFloatingReferenceRateId = ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, receiveIndexType + "_" + ccy + "_" + receiveTenor.getPeriod().toString());
    final ConventionBundle payConvention = _conventionBundleSource.getConventionBundle(payFloatingReferenceRateId);
    final ConventionBundle receiveConvention = _conventionBundleSource.getConventionBundle(receiveFloatingReferenceRateId);
    final Calendar payCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, payConvention.getRegion());
    final ZonedDateTime paySpotDate = ScheduleCalculator.getAdjustedDate(curveDate, payConvention.getSettlementDays(), payCalendar);
    final ZonedDateTime payMaturityDate = paySpotDate.plus(strip.getMaturity().getPeriod());
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Examples of com.opengamma.util.time.Tenor

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    @Override
    public CompoundingIborLegConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final ExternalId swapIndexConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(IBOR_INDEX_ID_FIELD));
      final Tenor paymentTenor = Tenor.of(Period.parse(message.getString(PAYMENT_TENOR_FIELD)));
      final CompoundingType compoundingType = CompoundingType.valueOf(message.getString(COMPOUNDING_TYPE_FIELD));
      final Tenor compositionTenor = Tenor.of(Period.parse(message.getString(COMPOSITION_TENOR_FIELD)));
      final StubType stubTypeCompound = StubType.valueOf(message.getString(STUB_TYPE_COMPOUND_FIELD));
      final int settlementDays = message.getInt(SETTLEMENT_DAYS_FIELD);
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final StubType stubTypeLeg = StubType.valueOf(message.getString(STUB_TYPE_LEG_FIELD));
      final boolean exchangeNotional = message.getBoolean(EXCHANGE_NOTIONAL_FIELD);
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Examples of com.opengamma.util.time.Tenor

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    ConventionBundle swapConvention = getConventionBundleSource().getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, ccy.getCode() + "_SWAP"));
    if (swapConvention == null) {
      s_logger.error("Couldn't get swap convention for {}", ccy.getCode());
      return null;
    }
    final Tenor maturity = getRandom(TENORS);
    // get the convention of the identifier of the initial rate
    ConventionBundle liborConvention = getConventionBundleSource().getConventionBundle(swapConvention.getSwapFloatingLegInitialRate());
    if (liborConvention == null) {
      s_logger.error("Couldn't get libor convention for {}", swapConvention.getSwapFloatingLegInitialRate());
      return null;
    }
    // look up the rate timeseries identifier out of the bundle
    final ExternalId tsIdentifier = getTimeSeriesIdentifier(liborConvention);
    // look up the value on our chosen trade date
    final HistoricalTimeSeries initialRateSeries = getHistoricalSource().getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, tsIdentifier.toBundle(), null, tradeDate,
        true, tradeDate, true);
    if (initialRateSeries == null || initialRateSeries.getTimeSeries().isEmpty()) {
      s_logger.error("couldn't get series for {} on {}", tsIdentifier, tradeDate);
      return null;
    }
    Double initialRate = initialRateSeries.getTimeSeries().getEarliestValue();
    // get the identifier for the swap rate for the maturity we're interested in (assuming the fixed rate will be =~ swap rate)
    final ExternalId swapRateForMaturityIdentifier = getSwapRateFor(ccy, tradeDate, maturity);
    if (swapRateForMaturityIdentifier == null) {
      s_logger.error("Couldn't get swap rate identifier for {} [{}] from {}", new Object[] {ccy, maturity, tradeDate });
      return null;
    }
    final HistoricalTimeSeries fixedRateSeries = getHistoricalSource().getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, swapRateForMaturityIdentifier.toBundle(),
        null, tradeDate, true,
        tradeDate, true);
    if (fixedRateSeries == null) {
      s_logger.error("can't find time series for {} on {}", swapRateForMaturityIdentifier, tradeDate);
      return null;
    }
    Double fixedRate = (fixedRateSeries.getTimeSeries().getEarliestValue() + getRandom().nextDouble()) / 100d;
    Double notional = (double) (getRandom(99999) + 1) * 1000;
    ZonedDateTime tradeDateTime = tradeDate.atStartOfDay(ZoneOffset.UTC);
    ZonedDateTime maturityDateTime = tradeDate.plus(maturity.getPeriod()).atStartOfDay(ZoneOffset.UTC);
    String counterparty = "CParty";
    SwapLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(),
        swapConvention.getSwapFixedLegFrequency(),
        swapConvention.getSwapFixedLegRegion(),
        swapConvention.getSwapFixedLegBusinessDayConvention(),
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Examples of com.opengamma.util.time.Tenor

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  }

  @Override
  public YearOnYearInflationSwapSecurity buildObject(final FudgeDeserializer deserializer, final FudgeMsg msg) {
    final YearOnYearInflationSwapSecurity object = new YearOnYearInflationSwapSecurity();
    final Tenor tenor = Tenor.of(Period.parse(msg.getString(MATURITY_TENOR_FIELD)));
    SwapSecurityFudgeBuilder.fromFudgeMsg(deserializer, msg, object);
    object.setMaturityTenor(tenor);
    return object;
  }
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Examples of com.opengamma.util.time.Tenor

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    final ZonedDateTime start = previousWorkingDay(ZonedDateTime.now().minusDays(getRandom(60) + 7), currency);
    final int length = getRandom(11) + 1;
    final ZonedDateTime maturity = nextWorkingDay(start.plusMonths(length), currency);
    final ZonedDateTime fixingDate = previousWorkingDay(maturity.minusDays(4), currency);
    ExternalId underlyingIdentifier = null;
    Tenor tenor = Tenor.ofMonths(length);
    try {
      underlyingIdentifier = getUnderlyingRate(currency, start.toLocalDate(), tenor);
      if (underlyingIdentifier == null) {
        return null;
      }
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Examples of com.opengamma.util.time.Tenor

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    final List<Triple<Currency, LocalDate, Tenor>> swapsArgs = newArrayList();

    for (int i = 0; i < SECURITIES_SIZE; i++) {
      final Currency ccy = getCurrency(random);
      final LocalDate tradeDate = getTradeDate(random, ccy);
      final Tenor maturity = s_tenors[random.nextInt(s_tenors.length)];
      swapsArgs.add(Triple.of(ccy, tradeDate, maturity));
    }

    fetch(swapsArgs);
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