Examples of com.opengamma.financial.analytics.curve.CashNodeConverter

Package com.opengamma.financial.analytics.curve

Examples of com.opengamma.financial.analytics.curve.CashNodeConverter

com.opengamma.financial.analytics.curve.CashNodeConverter
Convert a cash node into an Instrument definition. The dates of the deposits are computed in the following way: - The spot date is computed from the valuation date adding the "Settlement Days" (i.e. the number of business days) of the convention. - The start date is computed from the spot date adding the "StartTenor" of the node and using the business-day-convention, calendar and EOM of the convention. - The end date is computed from the start date adding the "MaturityTenor" of the node and using the business-day-convention, calendar and EOM of the convention. The deposit notional is 1.


    @Override
    protected CurveNodeVisitor<InstrumentDefinition<?>> getCurveNodeConverter(final ConventionSource conventionSource, final HolidaySource holidaySource, final RegionSource regionSource,
        final SnapshotDataBundle marketData, final ExternalId dataId, final HistoricalTimeSeriesBundle historicalData, final ZonedDateTime valuationTime) {
      return CurveNodeVisitorAdapter.<InstrumentDefinition<?>>builder()
          .cashNodeVisitor(new CashNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .fraNode(new FRANodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .fxForwardNode(new FXForwardNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .rateFutureNode(new RateFutureNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .swapNode(new SwapNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .zeroCouponInflationNode(new ZeroCouponInflationNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime, historicalData))

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    @Override
    protected CurveNodeVisitor<InstrumentDefinition<?>> getCurveNodeConverter(final ConventionSource conventionSource, final HolidaySource holidaySource, final RegionSource regionSource,
        final SnapshotDataBundle marketData, final ExternalId dataId, final HistoricalTimeSeriesBundle historicalData, final ZonedDateTime valuationTime) {
      return CurveNodeVisitorAdapter.<InstrumentDefinition<?>>builder()
          .cashNodeVisitor(new CashNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .deliverableSwapFutureNode(new DeliverableSwapFutureNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .fraNode(new FRANodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .fxForwardNode(new FXForwardNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .rateFutureNode(new RateFutureNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .swapNode(new SwapNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))

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    @Override
    protected CurveNodeVisitor<InstrumentDefinition<?>> getCurveNodeConverter(final ConventionSource conventionSource, final HolidaySource holidaySource, final RegionSource regionSource,
        final SnapshotDataBundle marketData, final ExternalId dataId, final HistoricalTimeSeriesBundle historicalData, final ZonedDateTime valuationTime) {
      return CurveNodeVisitorAdapter.<InstrumentDefinition<?>>builder()
          .cashNodeVisitor(new CashNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .fraNode(new FRANodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .fxForwardNode(new FXForwardNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .rateFutureNode(new RateFutureNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .swapNode(new SwapNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .zeroCouponInflationNode(new ZeroCouponInflationNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime, historicalData))

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    @Override
    protected CurveNodeVisitor<InstrumentDefinition<?>> getCurveNodeConverter(final ConventionSource conventionSource, final HolidaySource holidaySource,
        final RegionSource regionSource, final SnapshotDataBundle marketData, final ExternalId dataId, final HistoricalTimeSeriesBundle historicalData,
        final ZonedDateTime valuationTime) {
      return CurveNodeVisitorAdapter.<InstrumentDefinition<?>>builder()
          .cashNodeVisitor(new CashNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .fraNode(new FRANodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .fxForwardNode(new FXForwardNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .rateFutureNode(new RateFutureNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .swapNode(new SwapNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
          .create();

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Related Classes of com.opengamma.financial.analytics.curve.CashNodeConverter

com.opengamma.analytics.financial.instrument.cash.CashDefinition

com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition

com.opengamma.analytics.financial.instrument.index.IborIndex

com.opengamma.financial.analytics.model.curve.HullWhiteOneFactorDiscountingCurveFunction$MyCompiledFunctionDefinition

com.opengamma.financial.analytics.model.curve.InflationProviderDiscountingFunction$MyCompiledFunctionDefinition

com.opengamma.financial.analytics.model.curve.IssuerProviderDiscountingFunction$MyCompiledFunctionDefinition

com.opengamma.financial.analytics.model.curve.MultiCurveDiscountingFunction$MyCompiledFunctionDefinition

com.opengamma.financial.convention.businessday.BusinessDayConvention

com.opengamma.financial.convention.calendar.Calendar

com.opengamma.financial.convention.Convention

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