Package com.opengamma.financial.analytics.curve

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

103
104
105
106
107
108
109
110
111
112
113
    final Map<Tenor, CurveInstrumentProvider> fraNodeIds = getMapForField(FRA_NODE_FIELD, deserializer, message);
    final Map<Tenor, CurveInstrumentProvider> fxForwardNodeIds = getMapForField(FX_FORWARD_NODE_FIELD, deserializer, message);
    final Map<Tenor, CurveInstrumentProvider> rateFutureNodeIds = getMapForField(RATE_FUTURE_FIELD, deserializer, message);
    final Map<Tenor, CurveInstrumentProvider> swapNodeIds = getMapForField(SWAP_NODE_FIELD, deserializer, message);
    final Map<Tenor, CurveInstrumentProvider> zeroCouponInflationNodeIds = getMapForField(ZERO_COUPON_INFLATION_NODE_FIELD, deserializer, message);
    final CurveNodeIdMapper idMapper = CurveNodeIdMapper.builder().
        cashNodeIds(cashNodeIds).
        continuouslyCompoundedRateNodeIds(continuouslyCompoundedRateNodeIds).
        creditSpreadNodeIds(creditSpreadNodeIds).
        deliverableSwapFutureNodeIds(deliverableSwapFutureNodeIds).
        discountFactorNodeIds(discountFactorNodeIds).
View Full Code Here
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
          ZonedDateTime maturity = cds.getMaturityDate();
          Period period = Period.between(start.toLocalDate(), maturity.toLocalDate());
          Tenor tenor = Tenor.of(period);


          final CurveNodeIdMapper curveNodeIdMapper = configSource.getSingle(CurveNodeIdMapper.class,
                                                                             curveDefinitionID,
                                                                             VersionCorrection.LATEST);


          try {
            tenor = Tenor.of(Period.ofYears(5));
            ExternalId timeSeriesId = curveNodeIdMapper.getCreditSpreadNodeId(null /* magic null - ask Elaine */, tenor);

           
            Object strikeObj = snapshot.getGlobalValues().getValue(timeSeriesId, "PX_LAST").getMarketValue();
            if ((strikeObj instanceof Double)) {
              cdsOption.setStrike((Double) strikeObj);
View Full Code Here
79
80
81
82
83
84
85
86
87
88
89
    zeroCouponInflationIds.put(Tenor.FOUR_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("CPI4")));
    final Map<Tenor, CurveInstrumentProvider> deliverableSwapFutureNodeIds = new HashMap<>();
    deliverableSwapFutureNodeIds.put(Tenor.TWO_YEARS, new BloombergFutureCurveInstrumentProvider("SW", "p"));
    deliverableSwapFutureNodeIds.put(Tenor.FIVE_YEARS, new BloombergFutureCurveInstrumentProvider("SW", "e"));
    deliverableSwapFutureNodeIds.put(Tenor.TEN_YEARS, new BloombergFutureCurveInstrumentProvider("SW", "k"));
    final CurveNodeIdMapper mapper = CurveNodeIdMapper.builder().name(name)
        .cashNodeIds(cashIds)
        .continuouslyCompoundedRateNodeIds(continuouslyCompoundedRateIds)
        .creditSpreadNodeIds(creditSpreadIds)
        .deliverableSwapFutureNodeIds(deliverableSwapFutureNodeIds)
        .discountFactorNodeIds(discountFactorIds)
View Full Code Here
TOP

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

  • com.opengamma.financial.analytics.ircurve.CurveInstrumentProvider
  • com.opengamma.financial.fudgemsg.CurveNodeIdMapperBuilder
  • com.opengamma.financial.fudgemsg.CurveNodeIdMapperBuilderTest
  • com.opengamma.integration.tool.portfolio.CDSStrikeFixer
  • com.opengamma.OpenGammaRuntimeException
    • 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.