Examples of AnnuityCouponCMSDefinition

com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinition
A wrapper class for a AnnuityDefinition containing CMS coupon Definition.

Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinition

    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityCouponCMSDefinition cmsPayLeg = getCMSwapLegDefinition(effectiveDate, maturityDate, floatPayLeg, calendar, currency, true);
    final AnnuityCouponCMSDefinition cmsReceiveLeg = getCMSwapLegDefinition(effectiveDate, maturityDate, floatReceiveLeg, calendar, currency, false);
    return new SwapDefinition(cmsPayLeg, cmsReceiveLeg);
  }

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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinition

    final FloatingInterestRateLeg floatingLeg = (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 AnnuityCouponFixedDefinition fixedAnnuity = getFixedSwapLegDefinition(effectiveDate, maturityDate, fixedLeg, calendar, payFixed);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, floatingLeg, calendar, currency, !payFixed);
    return payFixed ? new SwapDefinition(fixedAnnuity, cmsAnnuity) : new SwapDefinition(cmsAnnuity, fixedAnnuity);
  }

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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinition

    final FloatingInterestRateLeg cmsLeg = payIbor ? floatReceiveLeg : floatPayLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityDefinition<? extends CouponFloatingDefinition> iborAnnuity = getIborSwapLegDefinition(effectiveDate, maturityDate, iborLeg, calendar, currency, payIbor);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, cmsLeg, calendar, currency, !payIbor);
    return payIbor ? new SwapDefinition(iborAnnuity, cmsAnnuity) : new SwapDefinition(cmsAnnuity, iborAnnuity);
    // Implementation note: In the converter, the pay leg is expected to be first.
  }

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