Package com.opengamma.analytics.financial.instrument.index

Examples of com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompounded

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    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      fixedLegDayCount = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedLegDayCount,
        calendar, curveBlack);
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    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      fixedLegDayCount = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedLegDayCount,
        calendar, curveBlack);
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    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final MulticurveProviderInterface multicurves = blackMulticurves.getMulticurveProvider();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, multicurves);
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    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification,
        calendar, curveBlack);
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    final boolean isEOM = fixedLeg.isEom();
    final int spotLag = brlSwapConvention.getSwapFixedLegSettlementDays();
    final int paymentLag = brlSwapConvention.getSwapFixedLegSettlementDays();
    final double notional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double fixedRate = fixedLeg.getRate();
    final GeneratorSwapFixedCompoundedONCompounded generator = new GeneratorSwapFixedCompoundedONCompounded(name, index, fixedLegDayCount, businessDayConvention, isEOM, spotLag, paymentLag, calendar);
    return SwapFixedCompoundedONCompoundedDefinition.from(effectiveDate, maturityDate, notional, generator, fixedRate, payFixed);
  }
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        }
        final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
        final boolean isEOM = fixedLeg.isEom();
        final int spotLag = 0; //TODO
        if (FinancialSecurityUtils.getCurrency(underlyingSecurity).getCode().equals("BRL")) {
          return new GeneratorSwapFixedCompoundedONCompounded("Swap Generator", onIndex, fixedLegDayCount, businessDayConvention, isEOM, spotLag, calendar);
        }
        return new GeneratorSwapFixedON("Swap Generator", onIndex, fixedLegPeriod, fixedLegDayCount, businessDayConvention, isEOM, spotLag, calendar);
      }
      default:
        throw new OpenGammaRuntimeException("Cannot handle floating leg type " + floatLeg.getFloatingRateType());
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Related Classes of com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompounded

  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSpreadBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborSpreadBlackMethod
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated
  • com.opengamma.financial.analytics.model.swaption.SwaptionUtils
  • org.threeten.bp.ZonedDateTime
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