Package com.opengamma.analytics.financial.interestrate.bond.definition

Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity

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    final Double cleanPrice = (Double) cleanPriceObject;
    final String creditCurveName = riskFreeCurveName;
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, curveName);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE_Z_SPREAD_SENSITIVITY, target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) security.accept(_visitor);
    final BondFixedSecurity bond = definition.toDerivative(date, curveName, riskFreeCurveName);
    final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
    final YieldAndDiscountCurve riskFreeCurve = (YieldAndDiscountCurve) riskFreeCurveObject;
    final YieldCurveBundle data = new YieldCurveBundle(new String[] {curveName, riskFreeCurveName}, new YieldAndDiscountCurve[] {curve, riskFreeCurve});
    return Sets.newHashSet(new ComputedValue(resultSpec, CALCULATOR.presentValueZSpreadSensitivityFromCurvesAndClean(bond, data, cleanPrice)));
  }
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    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) security.accept(visitor);
    BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
  }
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    final String creditCurveName = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE);
    final String creditCurveConfig = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE_CONFIG);
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, riskFreeCurveConfig, creditCurveConfig);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bondSecurity.accept(getConverter());
    final BondFixedSecurity bond = definition.toDerivative(date, creditCurveName, riskFreeCurveName);
    return Sets.newHashSet(new ComputedValue(resultSpec, bond.accept(getCalculator(), data)));
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity

  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondFixedTransactionDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedTransactionDefinitionTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDEDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityUKDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityUSDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethodTest
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