Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.PeriodicInterestRate

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      s_act365.getDayCountFraction(baseDate, zdt(2013, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
      s_act365.getDayCountFraction(baseDate, zdt(2015, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
      s_act365.getDayCountFraction(baseDate, zdt(2018, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
    };

    final double ccRate = (new PeriodicInterestRate(0.09740867310916100000, 1)).toContinuous().getRate();
    final double[] rates = {
      ccRate, ccRate, ccRate, ccRate
    };

    return new ISDACurve("HAZARD_RATE_CURVE", times, rates, 0.0);
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      s_act365.getDayCountFraction(baseDate, zdt(2038, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
      s_act365.getDayCountFraction(baseDate, zdt(2038, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
    };

    final double[] rates = {
        (new PeriodicInterestRate(0.00452115893602745000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.00965814197655757000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01256719569422680000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01808999617970230000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01966710100627830000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02112741666666660000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01809534760435110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01655763824251000000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01880609764411780000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02033274208031280000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02201082479582110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02329627269146610000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02457991990962620000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02564349380607000000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02664198869678810000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02747534265210970000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02822421752113560000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02887011718207980000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02947938315126190000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03001849170997110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03051723047721790000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03096814372457490000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03140378315953840000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03180665717369410000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03220470040815960000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03257895748982500000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03300576868204530000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03339934269742980000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03371439235915700000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03401013049588440000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03427957764613110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03453400145380310000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03476707646146720000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03498827591548650000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03504602653686710000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03510104623115760000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03515188034751750000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03519973661653090000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03524486925430900000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03528773208373260000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03532784361012300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03536647655059340000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03540272683370320000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03543754047166620000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03539936837313170000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03536201961264760000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03532774866571060000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03529393446018300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03526215518920560000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03523175393297300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03520264296319420000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03517444167763210000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03514783263597550000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03512186451200650000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03510945878934860000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03509733233582990000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03508585365890470000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03507449693456950000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03506379166273740000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03505346751846350000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03504350450444570000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03503383205190350000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03502458863645770000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03501550511625420000, 1)).toContinuous().getRate()
    };

    return new ISDACurve("IR_CURVE", times, rates, s_act365.getDayCountFraction(pricingDate, baseDate));
  }
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    final Currency currency = security.getCurrency();
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime endDate = security.getMaturityDate();
    final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_ZERO_DEPOSIT"));
    final DayCount daycount = convention.getDayCount();
    final InterestRate rate = new PeriodicInterestRate(security.getRate(), (int) security.getCompoundingPeriodsPerYear());
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
    return DepositZeroDefinition.from(currency, startDate, endDate, daycount, rate, calendar);
  }
View Full Code Here
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Related Classes of com.opengamma.analytics.financial.interestrate.PeriodicInterestRate

  • com.opengamma.analytics.financial.credit.cds.ISDAApproxCDSPricingMethodTestData
  • com.opengamma.analytics.financial.credit.cds.ISDAModelTest
  • com.opengamma.analytics.financial.credit.cds.ISDATestGridHarness
  • com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve
  • com.opengamma.analytics.financial.instrument.cash.definition.DepositZeroDefinitionTest
  • com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZeroTest
  • com.opengamma.analytics.financial.interestrate.cash.derivative.DeprecatedDepositZeroTest
  • com.opengamma.analytics.financial.interestrate.cash.method.DepositZeroDiscountingMethodTest
  • com.opengamma.analytics.financial.model.interestrate.curve.YieldPeriodicCurve
  • com.opengamma.financial.analytics.conversion.ZeroDepositConverter
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