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

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

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  public double getVolBondForward(final double startTime, final double endTime, final InflationConvexityAdjustmentProviderInterface inflationConvexity) {
    ArgumentChecker.isTrue(startTime <= endTime, null);
    if (startTime == endTime) {
      return 0.0;
    }
    final IborIndex iborIndex = inflationConvexity.getBlackSmileIborCapParameters().getIndex();
    final int liborTenorInMonth = iborIndex.getTenor().getMonths();
    final double lenghtOfInterval = liborTenorInMonth / 12.0;
    final int numberOfInterval = (int) Math.round((endTime - startTime) / lenghtOfInterval);

    if (numberOfInterval == 0) {
      double volBondForward = ((endTime - startTime) / lenghtOfInterval) * inflationConvexity.getMulticurveProvider().getForwardRate(iborIndex, startTime, endTime, 1.0);
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    }
    final ZonedDateTime accrualStartDate = security.getStartDate();
    final ZonedDateTime accrualEndDate = security.getEndDate();
    final double notional = security.getAmount();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, ExternalSchemes.currencyRegionId(currency)); //TODO exchange region?
    final IborIndex iborIndex = new IborIndex(currency, fraConvention.getPeriod(), fraConvention.getSettlementDays(), fraConvention.getDayCount(), fraConvention.getBusinessDayConvention(),
        fraConvention.isEOMConvention());
    return ForwardRateAgreementDefinition.from(accrualStartDate, accrualEndDate, notional, iborIndex, security.getRate(), calendar);
  }
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    final DayCount dayCount = indexConvention.getDayCount();
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final boolean eom = indexConvention.isIsEOM();
    final Period indexTenor = iborLegConvention.getResetTenor().getPeriod();
    final int spotLagIndex = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, indexConvention.getName());
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", fixedLegConvention.getPaymentTenor().getPeriod(), fixedLegConvention.getDayCount(), iborIndex, calendar);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(deliveryDate, maturityTenor.getPeriod(), generator, notional, 0.0, false); //FIXME: rate of underlying?
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(lastTradeDate, underlying, notional);
    return new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, _valuationTime, price, 1);
  }
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      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId() + " from swap " +
          swapSecurity.getExternalIdBundle());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex indexIbor = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention(), iborIndexConvention.getName());
    final Frequency freqFixed = fixedLeg.getFrequency();
    final Period tenorFixed = getTenor(freqFixed);
    final double fixedLegNotional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
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    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex iborIndex = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    final double spread = iborLeg.getSpread();
    return AnnuityCouponIborSpreadDefinition.from(effectiveDate, maturityDate, tenorIbor, iborLegNotional, iborIndex, isPayer, iborLeg.getBusinessDayConvention(), iborLeg.isEom(),
        iborLeg.getDayCount(), spread, calendar);
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    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex iborIndex = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    return AnnuityCouponIborDefinition.from(effectiveDate, maturityDate, tenorIbor, iborLegNotional, iborIndex, isPayer, iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLeg.getDayCount(),
        calendar);
  }
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    }
    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(swapIndexConvention.getSwapFloatingLegInitialRate());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get ibor index convention for " + swapIndexConvention.getSwapFloatingLegInitialRate());
    }
    final IborIndex iborIndex = new IborIndex(currency, tenorPayment, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention.getSwapFixedLegFrequency());
    final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention.getSwapFixedLegDayCount(), iborIndex, swapIndexConvention.getPeriod(), calendar);
    return AnnuityCouponCMSDefinition.from(effectiveDate, maturityDate, notional, swapIndex, tenorPayment, floatLeg.getDayCount(), isPayer, calendar);
  }
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        final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(legFloat.getFloatingReferenceRateId());
        if (iborIndexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency[0] + " using " + legFloat.getFloatingReferenceRateId());
        }
        final Period tenorIbor = iborIndexConvention.getPeriod();
        final IborIndex iborIndex = new IborIndex(currency[loopleg], tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
            iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
        legDefinition.add(AnnuityDefinitionBuilder.annuityIborSpreadWithNotionalFrom(settlementDate, maturityDate, notional[loopleg], iborIndex, spread, payer[loopleg], calendar[loopleg]));
      } else {
        if (swapLeg[loopleg] instanceof FixedInterestRateLeg) { // Leg is Fixed
          final FixedInterestRateLeg legFixed = (FixedInterestRateLeg) swapLeg[loopleg];
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    final boolean eomIndex = indexConvention.isIsEOM();
    final boolean eomLeg = convention.isIsEOM();
    final Period indexTenor = convention.getResetTenor().getPeriod();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getFixingCalendar());
    final int spotLag = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eomIndex, indexConvention.getName());
    final Period maturityTenor = swapNode.getMaturityTenor().getPeriod();
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDateLeg, swapNode.getStartTenor().getPeriod(), businessDayConvention, calendar, eomLeg);
    final StubType stub = convention.getStubType();
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    final boolean eomLeg = convention.isIsEOM();
    final Period indexTenor = convention.getCompositionTenor().getPeriod();
    final Period paymentTenor = convention.getPaymentTenor().getPeriod();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getFixingCalendar());
    final int spotLag = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eomIndex, indexConvention.getName());
    final Period maturityTenor = swapNode.getMaturityTenor().getPeriod();
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDateLeg, swapNode.getStartTenor().getPeriod(), businessDayConvention, calendar, eomLeg);
    final StubType stubLeg = convention.getStubTypeLeg();
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Related Classes of com.opengamma.analytics.financial.instrument.index.IborIndex

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesTransactionDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborAverageDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborDefinitionTest
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