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

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

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                                                        _holidaySource,
                                                        indexConvention.getRegionCalendar());
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
    final Period maturityTenor = swapNode.getMaturityTenor().getPeriod();
    final IndexON indexON = new IndexON(indexConvention.getName(), currency, dayCount, publicationLag);
    final Period paymentPeriod = convention.getPaymentTenor().getPeriod();
    final boolean eomLeg = convention.isIsEOM();
    final BusinessDayConvention businessDayConvention = convention.getBusinessDayConvention();
    final int paymentLag = convention.getPaymentLag();
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDateLeg,
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      throw new OpenGammaRuntimeException("Underlying convention was null");
    }
    final Currency currency = indexConvention.getCurrency();
    final DayCount dayCount = indexConvention.getDayCount();
    final int publicationLag = indexConvention.getPublicationLag();
    final IndexON index = new IndexON(indexConvention.getName(), currency, dayCount, publicationLag);
    final double paymentAccrualFactor = 1 / 12.;
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
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        ACCRUED_RATE);
    assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(modified));
    modified = CouponArithmeticAverageON.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL + 10, FEDFUND, FIXING_TIMES, FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
        ACCRUED_RATE);
    assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(modified));
    final IndexON modifiedIndex = IndexONMaster.getInstance().getIndex("EONIA");
    modified = CouponArithmeticAverageON.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, modifiedIndex, FIXING_TIMES, FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
        ACCRUED_RATE);
    assertFalse("CouponArithmeticAverageON: equal-hash", CPN_AA_ON.equals(modified));
    modified = CouponArithmeticAverageON.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, FIXING_TIMES, FEDFUND_CPN_3M_2_DEF.getFixingPeriodAccrualFactors(),
        ACCRUED_RATE + 0.1);
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    assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
    modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction() + 0.1, NOTIONAL, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
    assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
    modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL + 0.1, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
    assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
    final IndexON modifiedIndex = IndexONMaster.getInstance().getIndex("EONIA");
    modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, modifiedIndex, ACCRUAL_START_TIME, ACCRUAL_END_TIME, SPREAD);
    assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
    modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, ACCRUAL_START_TIME + 0.1, ACCRUAL_END_TIME, SPREAD);
    assertFalse("CouponArithmeticAverageONSpreadSimplified: equal-hash", CPN_AA_ON.equals(modified));
    modified = CouponArithmeticAverageONSpreadSimplified.from(PAYMENT_TIME, FEDFUND_CPN_3M_2_DEF.getPaymentYearFraction(), NOTIONAL, FEDFUND, ACCRUAL_START_TIME, ACCRUAL_END_TIME + 0.1, SPREAD + 0.1);
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   * @return The price.
   */
  public double price(final FederalFundsFutureSecurity futures, final MulticurveProviderInterface multicurves) {
    ArgumentChecker.notNull(futures, "Futures");
    ArgumentChecker.notNull(multicurves, "Multi-curves provider");
    final IndexON index = futures.getIndex();
    final int nbFixing = futures.getFixingPeriodAccrualFactor().length;
    final double[] rates = new double[nbFixing];
    for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
      rates[loopfix] = multicurves.getForwardRate(index, futures.getFixingPeriodTime()[loopfix], futures.getFixingPeriodTime()[loopfix + 1], futures.getFixingPeriodAccrualFactor()[loopfix]);
    }
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   * @return The curve sensitivity.
   */
  public MulticurveSensitivity priceCurveSensitivity(final FederalFundsFutureSecurity futures, final MulticurveProviderInterface multicurves) {
    ArgumentChecker.notNull(futures, "Futures");
    ArgumentChecker.notNull(multicurves, "Multi-curves provider");
    final IndexON index = futures.getIndex();
    final int nbFixing = futures.getFixingPeriodAccrualFactor().length;
    final double[] rates = new double[nbFixing];
    for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
      rates[loopfix] = multicurves.getForwardRate(index, futures.getFixingPeriodTime()[loopfix], futures.getFixingPeriodTime()[loopfix + 1], futures.getFixingPeriodAccrualFactor()[loopfix]);
    }
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    final Integer publicationLag = indexConvention.getOvernightIndexSwapPublicationLag();
    if (publicationLag == null) {
      throw new OpenGammaRuntimeException("Could not get ON Index publication lag for " + indexConvention.getIdentifiers());
    }
    final ConventionBundle brlSwapConvention = _conventionSource.getConventionBundle(simpleNameSecurityId("BRL_DI_SWAP"));
    final IndexON index = new IndexON(floatLeg.getFloatingReferenceRateId().getValue(), currency, indexConvention.getDayCount(), publicationLag);
    final String name = index.getName();
    final DayCount fixedLegDayCount = fixedLeg.getDayCount();
    final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
    final boolean isEOM = fixedLeg.isEom();
    final int spotLag = brlSwapConvention.getSwapFixedLegSettlementDays();
    final int paymentLag = brlSwapConvention.getSwapFixedLegSettlementDays();
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    final Integer publicationLag = indexConvention.getOvernightIndexSwapPublicationLag();
    if (publicationLag == null) {
      throw new OpenGammaRuntimeException("Could not get ON Index publication lag for " + indexConvention.getIdentifiers());
    }
    final Period paymentFrequency = getTenor(floatLeg.getFrequency());
    final IndexON index = new IndexON(floatLeg.getFloatingReferenceRateId().getValue(), currency, indexConvention.getDayCount(), publicationLag);
    final GeneratorSwapFixedON generator = new GeneratorSwapFixedON(currencyString + "_OIS_Convention", index, paymentFrequency, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(),
        fixedLeg.isEom(), 0, 1 - publicationLag, calendar); // TODO: The payment lag is not available at the security level!
    final double notionalFixed = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double notionalOIS = ((InterestRateNotional) floatLeg.getNotional()).getAmount();
    if (forCurve) {
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    final int publicationLag = indexConvention.getPublicationLag();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
    final Period maturityTenor = swapNode.getMaturityTenor().getPeriod();
    final IndexON indexON = new IndexON(indexConvention.getName(), currency, dayCount, publicationLag);
    final Period paymentPeriod = convention.getPaymentTenor().getPeriod();
    final boolean eomLeg = convention.isIsEOM();
    final BusinessDayConvention businessDayConvention = convention.getBusinessDayConvention();
    final int paymentLag = convention.getPaymentLag();
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDateLeg, swapNode.getStartTenor().getPeriod(), businessDayConvention, calendar, eomLeg);
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    public IndexON buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final int publicationLag = message.getInt(PUBLICATION_LAG_FIELD);
      return new IndexON(name, currency, dayCount, publicationLag);
    }
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Related Classes of com.opengamma.analytics.financial.instrument.index.IndexON

  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadSimplifiedDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONSimplifiedDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONSpreadSimplifiedDefinitionTest
  • com.opengamma.analytics.financial.interestrate.future.provider.FederalFundsFutureSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONSpreadSimplifiedTest
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONSpreadTest
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONTest
  • com.opengamma.financial.analytics.conversion.FederalFundsFutureSecurityConverter
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