Package com.opengamma.financial.analytics.conversion

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

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    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    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 BondFutureSecurityConverter bondFutureConverter = new BondFutureSecurityConverter(securitySource, bondConverter);
    _visitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
        .swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).bondSecurityVisitor(bondConverter)
        .bondFutureSecurityVisitor(bondFutureConverter).create();
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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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  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    _visitor = new BondFutureSecurityConverter(securitySource, bondConverter);
  }
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    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    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 BondFutureSecurityConverter bondFutureConverter = new BondFutureSecurityConverter(securitySource, bondConverter);
    _visitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
        .swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).bondSecurityVisitor(bondConverter)
        .bondFutureSecurityVisitor(bondFutureConverter).create();
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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 = 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);
    final BondFutureSecurityConverter bondFutureConverter = new BondFutureSecurityConverter(securitySource, bondConverter);
    _visitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().bondSecurityVisitor(bondConverter)
        .bondFutureSecurityVisitor(bondFutureConverter).create();
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
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  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);
    return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
  }
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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) {
    final Trade trade = target.getTrade();
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondTradeConverter visitor = new BondTradeConverter(new BondSecurityConverter(holidaySource, conventionSource, regionSource));
    final BondFixedTransactionDefinition definition = visitor.convert(trade);
    BondFixedTransaction derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.presentValueFromCleanPrice(derivative, data, price);
  }
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    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    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);
    BondFixedSecurity bond = ((BondFixedSecurityDefinition) security.accept(visitor)).toDerivative(now, curveName);
    final YieldCurveBundle bundle;
    final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
    bundle = new YieldCurveBundle(new String[] {curveName}, new YieldAndDiscountCurve[] {curve});
    double pv = PV01_CALCULATOR.visit(bond, bundle).get(curveName);
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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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