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

      throw new OpenGammaRuntimeException("Could not get fixed convention");
    }
    final Period fixedLegPaymentPeriod = fixedConvention.getPaymentTenor().getPeriod();
    final ExternalId regionId = fixedConvention.getRegionCalendar();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    return new IndexSwap(fixedLegPaymentPeriod, fixedConvention.getDayCount(), iborIndex, fixedLegPaymentPeriod, calendar);
  }

        final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(), iborIndexConvention.getBusinessDayConvention(),
            iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
        final Period fixedLegPaymentPeriod = payLegConvention.getPaymentTenor().getPeriod();
        final DayCount fixedLegDayCount = payLegConvention.getDayCount();
        final Period period = Period.ofYears(10); // TODO why is a variable field like this in IndexSwap? It's only used in one place in the entire analytics library.
        final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, fixedLegDayCount, iborIndex, period, calendar);
        return AnnuityCouponCMSDefinition.from(effectiveDate, maturityDate, notional, swapIndex, tenorIbor, dayCount, isPayer, calendar);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getOvernightAAverageAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency) {

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

Related Classes of com.opengamma.analytics.financial.instrument.index.IndexSwap