Examples of BondSecurity

Examples of com.opengamma.financial.security.bond.BondSecurity

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  public BondSecurity createSecurity(final OperationContext context, final BondSecurityBean bean) {
    return bean.getBondType().accept(new FinancialSecurityVisitorAdapter<BondSecurity>() {

      @Override
      public BondSecurity visitCorporateBondSecurity(CorporateBondSecurity bond) {
        BondSecurity bondSecurity = new CorporateBondSecurity(bean.getIssuerName(), bean.getIssuerType().getName(), bean.getIssuerDomicile(), bean.getMarket().getName(),
          currencyBeanToCurrency(bean.getCurrency()), yieldConventionBeanToYieldConvention(bean.getYieldConvention()),
          expiryBeanToExpiry(bean.getLastTradeDate()), bean.getCouponType().getName(), bean.getCouponRate(),
          frequencyBeanToFrequency(bean.getCouponFrequency()), dayCountBeanToDayCount(bean.getDayCountConvention()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getInterestAccrualDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getFirstCouponDate()),
          bean.getIssuancePrice(), bean.getTotalAmountIssued(), bean.getMinimumAmount(), bean.getMinimumIncrement(),
          bean.getParAmount(), bean.getRedemptionValue());
        bondSecurity.setBusinessDayConvention(businessDayConventionBeanToBusinessDayConvention(bean.getBusinessDayConvention()));
        bondSecurity.setAnnouncementDate(zonedDateTimeBeanToDateTimeWithZone(bean.getAnnouncementDate()));
        bondSecurity.setGuaranteeType(bean.getGuaranteeType() != null ? bean.getGuaranteeType().getName() : null);
        return bondSecurity;
      }

      @Override
      public BondSecurity visitGovernmentBondSecurity(GovernmentBondSecurity bond) {
        BondSecurity bondSecurity = new GovernmentBondSecurity(bean.getIssuerName(), bean.getIssuerType().getName(), bean.getIssuerDomicile(),
          bean.getMarket().getName(), currencyBeanToCurrency(bean.getCurrency()),
          yieldConventionBeanToYieldConvention(bean.getYieldConvention()), expiryBeanToExpiry(bean.getLastTradeDate()),
          bean.getCouponType().getName(), bean.getCouponRate(), frequencyBeanToFrequency(bean.getCouponFrequency()),
          dayCountBeanToDayCount(bean.getDayCountConvention()), zonedDateTimeBeanToDateTimeWithZone(bean.getInterestAccrualDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getFirstCouponDate()), bean.getIssuancePrice(), bean.getTotalAmountIssued(),
          bean.getMinimumAmount(), bean.getMinimumIncrement(), bean.getParAmount(), bean.getRedemptionValue());
        bondSecurity.setBusinessDayConvention(businessDayConventionBeanToBusinessDayConvention(bean.getBusinessDayConvention()));
        bondSecurity.setAnnouncementDate(zonedDateTimeBeanToDateTimeWithZone(bean.getAnnouncementDate()));
        bondSecurity.setGuaranteeType(bean.getGuaranteeType() != null ? bean.getGuaranteeType().getName() : null);
        return bondSecurity;
      }

      @Override
      public BondSecurity visitMunicipalBondSecurity(MunicipalBondSecurity bond) {
        BondSecurity bondSecurity = new MunicipalBondSecurity(bean.getIssuerName(), bean.getIssuerType().getName(), bean.getIssuerDomicile(),
          bean.getMarket().getName(), currencyBeanToCurrency(bean.getCurrency()),
          yieldConventionBeanToYieldConvention(bean.getYieldConvention()), expiryBeanToExpiry(bean.getLastTradeDate()),
          bean.getCouponType().getName(), bean.getCouponRate(), frequencyBeanToFrequency(bean.getCouponFrequency()),
          dayCountBeanToDayCount(bean.getDayCountConvention()), zonedDateTimeBeanToDateTimeWithZone(bean.getInterestAccrualDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getFirstCouponDate()),
          bean.getIssuancePrice(), bean.getTotalAmountIssued(), bean.getMinimumAmount(), bean.getMinimumIncrement(),
          bean.getParAmount(), bean.getRedemptionValue());
        bondSecurity.setBusinessDayConvention(businessDayConventionBeanToBusinessDayConvention(bean.getBusinessDayConvention()));
        bondSecurity.setAnnouncementDate(zonedDateTimeBeanToDateTimeWithZone(bean.getAnnouncementDate()));
        bondSecurity.setGuaranteeType(bean.getGuaranteeType() != null ? bean.getGuaranteeType().getName() : null);
        return bondSecurity;
      }
     
      @Override
      public BondSecurity visitInflationBondSecurity(InflationBondSecurity bond) {
        BondSecurity bondSecurity = new InflationBondSecurity(bean.getIssuerName(), bean.getIssuerType().getName(), bean.getIssuerDomicile(),
          bean.getMarket().getName(), currencyBeanToCurrency(bean.getCurrency()),
          yieldConventionBeanToYieldConvention(bean.getYieldConvention()), expiryBeanToExpiry(bean.getLastTradeDate()),
          bean.getCouponType().getName(), bean.getCouponRate(), frequencyBeanToFrequency(bean.getCouponFrequency()),
          dayCountBeanToDayCount(bean.getDayCountConvention()), zonedDateTimeBeanToDateTimeWithZone(bean.getInterestAccrualDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getFirstCouponDate()),
          bean.getIssuancePrice(), bean.getTotalAmountIssued(), bean.getMinimumAmount(), bean.getMinimumIncrement(),
          bean.getParAmount(), bean.getRedemptionValue());
        bondSecurity.setBusinessDayConvention(businessDayConventionBeanToBusinessDayConvention(bean.getBusinessDayConvention()));
        bondSecurity.setAnnouncementDate(zonedDateTimeBeanToDateTimeWithZone(bean.getAnnouncementDate()));
        bondSecurity.setGuaranteeType(bean.getGuaranteeType() != null ? bean.getGuaranteeType().getName() : null);
        return bondSecurity;
      }

    });
  }
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Examples of com.opengamma.financial.security.bond.BondSecurity

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    final ManageablePortfolioNode rootNode = portfolio.getRootNode();
   
    // add each security to the portfolio
    for (SecurityDocument shellDoc : loadAllBondSecurities()) {
      // load the full detail of the security
      final BondSecurity security = loadFullSecurity(shellDoc);
     
      // build the tree structure
      final ManageablePortfolioNode issuerNode = buildPortfolioTree(rootNode, security);
     
      // create the position and add it to the master
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Examples of com.opengamma.financial.security.bond.BondSecurity

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   * @return the equity security, not null
   */
  protected BondSecurity loadFullSecurity(SecurityDocument shellDoc) {
    s_logger.info("Loading security {} {}", shellDoc.getUniqueId(), shellDoc.getSecurity().getName());
    SecurityDocument doc = getToolContext().getSecurityMaster().get(shellDoc.getUniqueId());
    BondSecurity sec = (BondSecurity) doc.getSecurity();
    return sec;
  }
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Examples of com.opengamma.financial.security.bond.BondSecurity

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  }

  public BondFixedTransactionDefinition convert(final Trade trade) {
    Validate.notNull(trade, "trade");
    Validate.isTrue(trade.getSecurity() instanceof BondSecurity, "Can only handle trades with security type BondSecurity");
    final BondSecurity security = (BondSecurity) trade.getSecurity();
    final InstrumentDefinition<?> underlying = security.accept(_securityConverter);
    if (!(underlying instanceof BondFixedSecurityDefinition)) {
      throw new OpenGammaRuntimeException("Can only handle fixed coupon bonds");
    }
    final BondFixedSecurityDefinition bond = (BondFixedSecurityDefinition) underlying;
    final int quantity = trade.getQuantity().intValue(); // MH - 9-May-2013: changed from 1. // REVIEW: The quantity mechanism should be reviewed.
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Examples of com.opengamma.financial.security.bond.BondSecurity

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    final int n = basket.size();
    final BondFixedSecurityDefinition[] deliverables = new BondFixedSecurityDefinition[n];
    final double[] conversionFactor = new double[n];
    for (int i = 0; i < n; i++) {
      final BondFutureDeliverable deliverable = basket.get(i);
      final BondSecurity bondSecurity = (BondSecurity) _securitySource.getSingle(deliverable.getIdentifiers());
      if (bondSecurity == null) {
        throw new OpenGammaRuntimeException("No security found with identifiers " + deliverable.getIdentifiers() + " in bond future deliverable basket");
      }
      deliverables[i] = (BondFixedSecurityDefinition) bondSecurity.accept(_bondConverter);
      conversionFactor[i] = deliverable.getConversionFactor();
    }
    return new BondFutureDefinition(tradingLastDate, noticeFirstDate, noticeLastDate, notional, deliverables, conversionFactor);
  }
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Examples of com.opengamma.financial.security.bond.BondSecurity

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        .with(ValuePropertyNames.CALCULATION_METHOD, getCalculationMethodName());
  }

  @Override
  protected double getValue(FunctionExecutionContext context, ZonedDateTime date, String riskFreeCurveName, String creditCurveName, ComputationTarget target, YieldCurveBundle data, double price) {
    BondSecurity bond = (BondSecurity) target.getSecurity();
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bond.accept(visitor);
    BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
  }
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Examples of com.opengamma.financial.security.bond.BondSecurity

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*
*/
public class BondFunctionUtils {

  public static UniqueId getCountryID(ComputationTarget target) {
    final BondSecurity bond = (BondSecurity) target.getSecurity();
    final String codeAlpha2 = bond.getIssuerDomicile();
    return UniqueId.of(ExternalSchemes.ISO_COUNTRY_ALPHA2.getName(), codeAlpha2);
  }
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Examples of com.opengamma.financial.security.bond.BondSecurity

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    final String codeAlpha2 = bond.getIssuerDomicile();
    return UniqueId.of(ExternalSchemes.ISO_COUNTRY_ALPHA2.getName(), codeAlpha2);
  }
 
  public static UniqueId getCurrencyID(final ComputationTarget target) {
    final BondSecurity bond = (BondSecurity) target.getSecurity();
    return bond.getCurrency().getUniqueId();
  }
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Examples of com.opengamma.financial.security.bond.BondSecurity

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    final BondSecurity bond = (BondSecurity) target.getSecurity();
    return bond.getCurrency().getUniqueId();
  }
 
  public static String getCountryName(ComputationTarget target) {
    final BondSecurity bond = (BondSecurity) target.getSecurity();
    return bond.getIssuerDomicile();
  }
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Examples of com.opengamma.financial.security.bond.BondSecurity

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    final BondSecurity bond = (BondSecurity) target.getSecurity();
    return bond.getIssuerDomicile();
  }
 
  public static String getCurrencyName(final ComputationTarget target) {
    final BondSecurity bond = (BondSecurity) target.getSecurity();
    return bond.getCurrency().getCode();
  }
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