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

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

76
77
78
79
80
81
82
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final boolean isEOM = message.getBoolean(EOM_FIELD);
      final Period tenor = Period.parse(message.getString(TENOR_FIELD));
      final String name = message.getString(NAME_FIELD);
      return new IborIndex(currency, tenor, spotLag, dayCount, businessDayConvention, isEOM, name);
    }
View Full Code Here
238
239
240
241
242
243
244
245
246
247
248
      }
      final Map<IborIndex, YieldAndDiscountCurve> forwardIborCurves = new LinkedHashMap<>();
      final List<FudgeField> indexIborFields = message.getAllByName(INDEX_IBOR_FIELD);
      final List<FudgeField> forwardIborCurveFields = message.getAllByName(INDEX_IBOR_CURVE);
      for (int i = 0; i < currencyFields.size(); i++) {
        final IborIndex index = deserializer.fudgeMsgToObject(IborIndex.class, (FudgeMsg) indexIborFields.get(i).getValue());
        final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) forwardIborCurveFields.get(i).getValue());
        forwardIborCurves.put(index, curve);
      }
      final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = new LinkedHashMap<>();
      final List<FudgeField> indexONFields = message.getAllByName(INDEX_ON_FIELD);
View Full Code Here
310
311
312
313
314
315
316
317
318
319
320
      }
      final Map<IborIndex, DoublesCurve> forwardIborCurves = new LinkedHashMap<>();
      final List<FudgeField> indexIborFields = message.getAllByName(INDEX_IBOR_FIELD);
      final List<FudgeField> forwardIborCurveFields = message.getAllByName(FORWARD_IBOR_CURVE_FIELD);
      for (int i = 0; i < currencyFields.size(); i++) {
        final IborIndex index = deserializer.fudgeMsgToObject(IborIndex.class, (FudgeMsg) indexIborFields.get(i).getValue());
        final DoublesCurve curve = deserializer.fudgeMsgToObject(DoublesCurve.class, (FudgeMsg) forwardIborCurveFields.get(i).getValue());
        forwardIborCurves.put(index, curve);
      }
      final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = new LinkedHashMap<>();
      final List<FudgeField> indexONFields = message.getAllByName(INDEX_ON_FIELD);
View Full Code Here
69
70
71
72
73
74
75
76
77
78
79
    final ExternalId regionId = swapIndexConvention[0].getSwapFloatingLegRegion();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final IborIndex[] iborIndex = new IborIndex[2];
    final IndexSwap[] swapIndex = new IndexSwap[2];
    for (int loopindex = 0; loopindex < 2; loopindex++) {
      iborIndex[loopindex] = new IborIndex(currency, tenorPayment, iborIndexConvention[loopindex].getSettlementDays(), iborIndexConvention[loopindex].getDayCount(),
          iborIndexConvention[loopindex].getBusinessDayConvention(), iborIndexConvention[loopindex].isEOMConvention());
      final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention[loopindex].getSwapFixedLegFrequency());
      swapIndex[loopindex] = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention[loopindex].getSwapFixedLegDayCount(), iborIndex[loopindex], swapIndexConvention[loopindex].getPeriod(), calendar);
    }
    return AnnuityCapFloorCMSSpreadDefinition.from(startDate, endDate, notional, swapIndex[0], swapIndex[1], tenorPayment, capFloorCMSSpreadSecurity.getDayCount(),
View Full Code Here
88
89
90
91
92
93
94
95
96
97
98
    assertFalse(ERU2_DEFINITION.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, IBOR_INDEX, NOTIONAL, FUTURE_FACTOR * 2, NAME, CALENDAR);
    assertFalse(ERU2_DEFINITION.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, IBOR_INDEX, NOTIONAL, FUTURE_FACTOR, NAME + "x", CALENDAR);
    assertFalse(ERU2_DEFINITION.equals(modifiedFuture));
    final IborIndex otherIndex = new IborIndex(IBOR_INDEX.getCurrency(), IBOR_INDEX.getTenor(), IBOR_INDEX.getSpotLag(), IBOR_INDEX.getDayCount(), IBOR_INDEX.getBusinessDayConvention(),
        !IBOR_INDEX.isEndOfMonth(), "Ibor");
    modifiedFuture = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, otherIndex, NOTIONAL, FUTURE_FACTOR, NAME, CALENDAR);
    assertFalse(ERU2_DEFINITION.equals(modifiedFuture));
    assertFalse(ERU2_DEFINITION.equals(IBOR_INDEX));
    assertFalse(ERU2_DEFINITION.equals(null));
View Full Code Here
95
96
97
98
99
100
101
102
103
104
105
        FUTURE_FACTOR, NAME, CALENDAR);
    assertFalse(ERU2_DEFINITION.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureTransactionDefinition(TRADE_DATE, TRADE_PRICE, QUANTITY, LAST_TRADING_DATE.plusDays(1), SPOT_LAST_TRADING_DATE, FIXING_END_DATE, IBOR_INDEX, NOTIONAL,
        FUTURE_FACTOR, NAME, CALENDAR);
    assertFalse(ERU2_DEFINITION.equals(modifiedFuture));
    final IborIndex otherIndex = new IborIndex(IBOR_INDEX.getCurrency(), IBOR_INDEX.getTenor(), IBOR_INDEX.getSpotLag(), IBOR_INDEX.getDayCount(), IBOR_INDEX.getBusinessDayConvention(),
        !IBOR_INDEX.isEndOfMonth(), "Ibor");
    modifiedFuture = new InterestRateFutureTransactionDefinition(TRADE_DATE, TRADE_PRICE, QUANTITY, LAST_TRADING_DATE, SPOT_LAST_TRADING_DATE, FIXING_END_DATE, otherIndex, NOTIONAL, FUTURE_FACTOR,
        NAME, CALENDAR);
    assertFalse(ERU2_DEFINITION.equals(modifiedFuture));
    assertFalse(ERU2_DEFINITION.equals(IBOR_INDEX));
View Full Code Here
115
116
117
118
119
120
121
122
123
124
125
      final double accrualFactor = dayCount.getDayCountFraction(startDate, endDate);
      final int spotLag = iborConvention.getSettlementDays();
      final boolean eom = iborConvention.isIsEOM();
      final long months = maturityPeriod.toTotalMonths() - startPeriod.toTotalMonths();
      final Period indexTenor = Period.ofMonths((int) months);
      final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eom, convention.getName());
      return new DepositIborDefinition(currency, startDate, endDate, 1, rate, accrualFactor, iborIndex);
    } else {
      throw new OpenGammaRuntimeException("Could not handle convention of type " + convention.getClass());
    }
  }
View Full Code Here
345
346
347
348
349
350
351
352
353
354
355
    final ZonedDateTime[] midMonthModFolExpected = ScheduleCalculator.getAdjustedDateSchedule(midMonthUnadjusted, MOD_FOL, CALENDAR, false);
    final ZonedDateTime[] midMonthModFolDate = ScheduleCalculator.getAdjustedDateSchedule(midMonth, midMonth.plus(y5), m6, false, false, MOD_FOL, CALENDAR, false);
    assertArrayEquals("Adjusted schedule", midMonthModFolExpected, midMonthModFolDate);
    final ZonedDateTime[] midMonthModFolTenor = ScheduleCalculator.getAdjustedDateSchedule(midMonth, y5, m6, false, false, MOD_FOL, CALENDAR, false);
    assertArrayEquals("Adjusted schedule", midMonthModFolExpected, midMonthModFolTenor);
    final IborIndex ibor = new IborIndex(Currency.EUR, m6, 0, DayCountFactory.INSTANCE.getDayCount("Actual/360"), MOD_FOL, false, "Ibor");
    final ZonedDateTime[] midMonthModFolIbor = ScheduleCalculator.getAdjustedDateSchedule(midMonth, y5, false, false, ibor, CALENDAR);
    assertArrayEquals("Adjusted schedule", midMonthModFolExpected, midMonthModFolIbor);
    final ZonedDateTime[] midMonthModFolFreq = ScheduleCalculator.getAdjustedDateSchedule(midMonth, midMonth.plus(y5), semi, false, false, MOD_FOL, CALENDAR, false);
    assertArrayEquals("Adjusted schedule", midMonthModFolExpected, midMonthModFolFreq);
  }
View Full Code Here
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
  @Test
  public void testEqualHash() {
    CouponIborDefinition other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    assertEquals(IBOR_COUPON_DEFINITION, other);
    assertEquals(IBOR_COUPON_DEFINITION.hashCode(), other.hashCode());
    other = new CouponIborDefinition(Currency.AUD, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, new IborIndex(Currency.AUD, TENOR, SETTLEMENT_DAYS,
        DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor"), CALENDAR);
    assertFalse(IBOR_COUPON_DEFINITION.equals(other));
    other = new CouponIborDefinition(CUR, PAYMENT_DATE.plusDays(1), ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    assertFalse(IBOR_COUPON_DEFINITION.equals(other));
    other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE.plusDays(1), ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    assertFalse(IBOR_COUPON_DEFINITION.equals(other));
    other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE.plusDays(1), ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    assertFalse(IBOR_COUPON_DEFINITION.equals(other));
    other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR + 0.01, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    assertFalse(IBOR_COUPON_DEFINITION.equals(other));
    other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL + 100, FIXING_DATE, INDEX, CALENDAR);
    assertFalse(IBOR_COUPON_DEFINITION.equals(other));
    other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE.plusDays(1), INDEX, CALENDAR);
    assertFalse(IBOR_COUPON_DEFINITION.equals(other));
    other = new CouponIborDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, new IborIndex(CUR, TENOR, SETTLEMENT_DAYS + 1,
        DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor"), CALENDAR);
    assertFalse(IBOR_COUPON_DEFINITION.equals(other));
    other = new CouponIborDefinition(CUR, FIXING_END_DATE, FIXING_START_DATE, FIXING_END_DATE, ACCRUAL_FACTOR_FIXING, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    assertEquals(IBOR_COUPON_DEFINITION_2, other);
    assertEquals(IBOR_COUPON_DEFINITION_2.hashCode(), other.hashCode());
View Full Code Here
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
    CurveNode iborNode = new CashNode(Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new CashNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = iborNode.accept(converter);
    assertTrue(definition instanceof DepositIborDefinition);
    DepositIborDefinition ibor = (DepositIborDefinition) definition;
    final IborIndex ibor3m = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    DepositIborDefinition expectedLibor = new DepositIborDefinition(Currency.USD, DateUtils.getUTCDate(2013, 2, 6), DateUtils.getUTCDate(2013, 5, 6), 1, rate, 90. / 360, ibor3m);
    assertEquals(expectedLibor, ibor);
    iborNode = new CashNode(Tenor.of(Period.ZERO), Tenor.SIX_MONTHS, LIBOR_6M_ID, "Mapper");
    definition = iborNode.accept(converter);
    assertTrue(definition instanceof DepositIborDefinition);
    ibor = (DepositIborDefinition) definition;
    final IborIndex ibor6m = new IborIndex(Currency.USD, Tenor.SIX_MONTHS.getPeriod(), 2, ACT_360, MODIFIED_FOLLOWING, false, LIBOR_6M_ID.getValue());
    expectedLibor = new DepositIborDefinition(Currency.USD, DateUtils.getUTCDate(2013, 2, 6), DateUtils.getUTCDate(2013, 8, 6), 1, rate, 181. / 360, ibor6m);
    assertEquals(expectedLibor, ibor);
  }
View Full Code Here
TOP

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
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.