Examples of ConventionBundleSource

Examples of com.opengamma.financial.convention.ConventionBundleSource

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  @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.convention.ConventionBundleSource

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@Deprecated
public abstract class SABRVegaFunction extends SABRFunction {

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
    final String conventionName = currency.getCode() + "_SWAP";
    final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get convention named " + conventionName);
    }
    final DayCount dayCount = convention.getSwapFloatingLegDayCount();
    if (dayCount == null) {
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Examples of com.opengamma.financial.convention.ConventionBundleSource

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  @Override
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final CapFloorSecurityConverter converter = new CapFloorSecurityConverter(holidaySource, conventionSource, regionSource);
    final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
        .capFloorVisitor(converter)
        .create();
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Examples of com.opengamma.financial.convention.ConventionBundleSource

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  @Override
  public void init(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    _visitor = new SwaptionSecurityConverterDeprecated(securitySource, swapConverter);
    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
  }
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Examples of com.opengamma.financial.convention.ConventionBundleSource

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  @Override
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final SwapSecurityConverter swapConverter = new SwapSecurityConverter(holidaySource, conventionSource, regionSource);
    final SwaptionSecurityConverter swaptionConverter = new SwaptionSecurityConverter(securitySource, swapConverter);
    final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
        .swaptionVisitor(swaptionConverter)
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Examples of com.opengamma.financial.convention.ConventionBundleSource

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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _converter = new InterestRateFutureOptionTradeConverterDeprecated(
        new InterestRateFutureOptionSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, securitySource));
    _dataConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
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Examples of com.opengamma.financial.convention.ConventionBundleSource

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  private BondSecurityConverter _visitor;

  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    _visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
  }
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Examples of com.opengamma.financial.convention.ConventionBundleSource

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  @Override
  protected double getValue(FunctionExecutionContext context, ZonedDateTime date, String riskFreeCurveName, String creditCurveName, ComputationTarget target, YieldCurveBundle data, double price) {
    final Trade trade = target.getTrade();
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondTradeConverter visitor = new BondTradeConverter(new BondSecurityConverter(holidaySource, conventionSource, regionSource));
    final BondFixedTransactionDefinition definition = visitor.convert(trade);
    BondFixedTransaction derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.presentValueFromCleanPrice(derivative, data, price);
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Examples of com.opengamma.financial.convention.ConventionBundleSource

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    }

    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext
        .getConventionBundleSource(executionContext);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    BondFixedSecurity bond = ((BondFixedSecurityDefinition) security.accept(visitor)).toDerivative(now, curveName);
    final YieldCurveBundle bundle;
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Examples of com.opengamma.financial.convention.ConventionBundleSource

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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    _converter = new InterestRateFutureTradeConverter(new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource));
    _dataConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
    _curveConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
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