Package com.opengamma.financial.analytics.conversion

Examples of com.opengamma.financial.analytics.conversion.BondSecurityConverter

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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    _visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
  }
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    final BondSecurity security = target.getValue(FinancialSecurityTypes.BOND_SECURITY);
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext
        .getConventionBundleSource(executionContext);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFixedSecurityDefinition bond = (BondFixedSecurityDefinition) security.accept(visitor);
    final ZonedDateTime firstCouponDate = bond.getCoupons().getNthPayment(0).getAccrualStartDate();
    final ZonedDateTime lastCouponDate = bond.getCoupons().getNthPayment(bond.getCoupons().getNumberOfPayments() - 1).getPaymentDate();
    final int t = DateUtils.getDaysBetween(firstCouponDate, lastCouponDate) / 365;
    final ValueSpecification specification = new ValueSpecification(ValueRequirementNames.BOND_TENOR, target.toSpecification(), createValueProperties().get());
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    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 InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFutureSecurityConverter bondFutureConverter = new BondFutureSecurityConverter(securitySource, bondConverter);
    final FutureSecurityConverterDeprecated futureSecurityConverter = new FutureSecurityConverterDeprecated(irFutureConverter, bondFutureConverter);
    _converter = new EquityOptionsConverter(futureSecurityConverter, securitySource);
  }
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    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final ForexSecurityConverter fxConverter = new ForexSecurityConverter(baseQuotePairs);
    return new Compiled(FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
        .swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).bondSecurityVisitor(bondConverter).fxForwardVisitor(fxConverter)
        .nonDeliverableFxForwardVisitor(fxConverter).create(), new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver));
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    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final ForexSecurityConverter fxConverter = new ForexSecurityConverter(baseQuotePairs);
    return new Compiled(FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
        .swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).bondSecurityVisitor(bondConverter).fxForwardVisitor(fxConverter)
        .nonDeliverableFxForwardVisitor(fxConverter).create(), new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver));
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    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final ForexSecurityConverter fxConverter = new ForexSecurityConverter(baseQuotePairs);
    return new Compiled(FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
        .swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).bondSecurityVisitor(bondConverter).fxForwardVisitor(fxConverter)
        .nonDeliverableFxForwardVisitor(fxConverter).create(), new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver));
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    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 InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFutureSecurityConverter bondFutureConverter = new BondFutureSecurityConverter(securitySource, bondConverter);
    _converter = new FutureSecurityConverterDeprecated(irFutureConverter, bondFutureConverter);
  }
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        final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
        final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
        final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final BondSecurityConverter converter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
        final FinancialSecuritySource securitySource = executionContext.getSecuritySource(FinancialSecuritySource.class);
        final Collection<Security> allBonds = new ArrayList<Security>(securitySource.getBondsWithIssuerName(ISSUER_NAME));
        final Iterator<Security> iter = allBonds.iterator();
        while (iter.hasNext()) {
          final Security sec = iter.next();
          if (sec instanceof BondSecurity) {
            final BondSecurity bond = (BondSecurity) sec;
            if (bond.getLastTradeDate().getExpiry().isBefore(now)) {
              iter.remove();
            }
            s_logger.info(bond.getLastTradeDate().toString());
          } else {
            throw new OpenGammaRuntimeException("non-bond security " + sec + " returned by getAllBondsOfIssuerType()");
          }
        }
        final int n = allBonds.size();
        final double[] t = new double[n];
        final double[] ytm = new double[n];
        int i = 0;
        for (final Security security : allBonds) {
          final GovernmentBondSecurity bondSec = (GovernmentBondSecurity) security;
          final Object ytmObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.YTM, ComputationTargetType.SECURITY, security.getUniqueId()));
          if (ytmObject == null) {
            s_logger.warn("Could not get YTM for " + security.getUniqueId());
            continue;
          }
          if (!(ytmObject instanceof Double)) {
            throw new IllegalArgumentException("YTM should be a double");
          }
          final InstrumentDefinition<?> definition = converter.visitGovernmentBondSecurity(bondSec);
          final String bondStringName = PROPERTY_PREFIX + "_" + CURRENCY.getCode();
          final InstrumentDerivative bond = definition.toDerivative(now, bondStringName);
          t[i] = bond.accept(LAST_DATE);
          ytm[i++] = ((Double) ytmObject / 100);
        }
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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    _visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
  }
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  protected double getValue(FunctionExecutionContext context, ZonedDateTime date, String riskFreeCurveName, String creditCurveName, ComputationTarget target, YieldCurveBundle data, double price) {
    BondSecurity security = (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) security.accept(visitor);
    BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
  }
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Related Classes of com.opengamma.financial.analytics.conversion.BondSecurityConverter

  • com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition
  • com.opengamma.financial.analytics.cashflow.FixedCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.FloatingCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.NettedFixedCashFlowFunction
  • com.opengamma.financial.analytics.model.bond.BondCouponPaymentDiaryFunction
  • com.opengamma.financial.analytics.model.bond.BondFunction
  • com.opengamma.financial.analytics.model.bond.BondPresentValueFromCleanPriceFunction
  • com.opengamma.financial.analytics.model.bond.BondPV01Function
  • com.opengamma.financial.analytics.model.bond.BondTenorFunction
  • com.opengamma.financial.analytics.model.bond.BondZSpreadFromCurveCleanPriceFunction
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