Package com.opengamma.core.holiday

Examples of com.opengamma.core.holiday.HolidaySource

85
86
87
88
89
90
91
92
93
94
95
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final CreditDefaultSwapSecurityConverter converter = new CreditDefaultSwapSecurityConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
View Full Code Here
105
106
107
108
109
110
111
112
113
114
115
  private FixedIncomeConverterDataProvider _definitionConverter;

  @Override
  public void init(final FunctionCompilationContext context) {
    super.init(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
View Full Code Here
77
78
79
80
81
82
83
84
85
86
87
    _valueRequirement = valueRequirement;
  }

  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
View Full Code Here
65
66
67
68
69
70
71
72
73
74
75
  @Override
  public DoublesPair executeImpl(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    // Set up converter (could this be compiled?)
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final ISDACDSSecurityConverter converter = new ISDACDSSecurityConverter(holidaySource);

    // Security being priced
    final CDSSecurity cds = (CDSSecurity) target.getSecurity();
    final ISDACDSDefinition cdsDefinition = (ISDACDSDefinition) cds.accept(converter);
View Full Code Here
83
84
85
86
87
88
89
90
91
92
93
  @Override
  public DoublesPair executeImpl(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    // Set up converter (could this be compiled?)
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final ISDACDSSecurityConverter converter = new ISDACDSSecurityConverter(holidaySource);

    // Security being priced
    final CDSSecurity cds = (CDSSecurity) target.getSecurity();
    final ISDACDSDefinition cdsDefinition = (ISDACDSDefinition) cds.accept(converter);
View Full Code Here
113
114
115
116
117
118
119
120
121
122
123
  }

  @Override
  protected double getValue(FunctionExecutionContext context, ZonedDateTime date, String riskFreeCurveName, String creditCurveName, ComputationTarget target, YieldCurveBundle data, double price) {
    BondSecurity bond = (BondSecurity) target.getSecurity();
    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) bond.accept(visitor);
    BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
View Full Code Here
78
79
80
81
82
83
84
85
86
87
88
  }

  @Override
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final CapFloorSecurityConverter converter = new CapFloorSecurityConverter(holidaySource, conventionSource, regionSource);
    final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
View Full Code Here
207
208
209
210
211
212
213
214
215
216
217
      final double absoluteTolerance = Double.parseDouble(Iterables.getOnlyElement(bundleProperties.getValues(PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE)));
      final double relativeTolerance = Double.parseDouble(Iterables.getOnlyElement(bundleProperties.getValues(PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE)));
      final int maxIterations = Integer.parseInt(Iterables.getOnlyElement(bundleProperties.getValues(PROPERTY_ROOT_FINDER_MAX_ITERATIONS)));
      final U builder = getBuilder(absoluteTolerance, relativeTolerance, maxIterations);
      final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
      final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
      final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
      final Pair<T, CurveBuildingBlockBundle> pair = getCurves(inputs, now, builder, knownData, conventionSource, holidaySource, regionSource);
      final ValueSpecification bundleSpec = new ValueSpecification(CURVE_BUNDLE, ComputationTargetSpecification.NULL, bundleProperties);
      final ValueSpecification jacobianSpec = new ValueSpecification(JACOBIAN_BUNDLE, ComputationTargetSpecification.NULL, bundleProperties);
      return getResults(bundleSpec, jacobianSpec, bundleProperties, pair);
View Full Code Here
80
81
82
83
84
85
86
87
88
89
90
  }

  @Override
  public void init(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    _visitor = new SwaptionSecurityConverterDeprecated(securitySource, swapConverter);
    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
View Full Code Here
75
76
77
78
79
80
81
82
83
84
85
  private InterestRateFutureOptionTradeConverterDeprecated _converter;
  private FixedIncomeConverterDataProvider _dataConverter;

  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _converter = new InterestRateFutureOptionTradeConverterDeprecated(
View Full Code Here
TOP

Related Classes of com.opengamma.core.holiday.HolidaySource

  • com.opengamma.component.factory.source.HolidaySourceComponentFactory
  • com.opengamma.examples.bloomberg.loader.ExampleFxForwardPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleMultiCurrencySwapPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleSwaptionPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleVanillaFxOptionPortfolioLoader
  • com.opengamma.financial.analytics.cashflow.FixedCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.FloatingCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.NettedFixedCashFlowFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingCapFloorFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingFXOptionFunction
    • 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.