Package com.opengamma.financial.analytics.curve

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

198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
                discountingMap.put(curveName, currency);
              } catch (final IllegalArgumentException e) {
                throw new OpenGammaRuntimeException("Cannot handle reference type " + reference + " for discounting curves");
              }
            } else if (type instanceof IborCurveTypeConfiguration) {
              final IborCurveTypeConfiguration ibor = (IborCurveTypeConfiguration) type;
              final Convention convention = conventionSource.getConvention(ibor.getConvention());
              if (convention == null) {
                throw new OpenGammaRuntimeException("Convention " + ibor.getConvention() + " was null");
              }
              if (!(convention instanceof IborIndexConvention)) {
                throw new OpenGammaRuntimeException("Expecting convention of type IborIndexConvention; have " + convention.getClass());
              }
              final IborIndexConvention iborIndexConvention = (IborIndexConvention) convention;
              final int spotLag = iborIndexConvention.getSettlementDays();
              iborIndex.add(new IborIndex(iborIndexConvention.getCurrency(), ibor.getTenor().getPeriod(), spotLag, iborIndexConvention.getDayCount(),
                  iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName()));
            } else if (type instanceof OvernightCurveTypeConfiguration) {
              final OvernightCurveTypeConfiguration overnight = (OvernightCurveTypeConfiguration) type;
              final Convention convention = conventionSource.getConvention(overnight.getConvention());
              if (convention == null) {
View Full Code Here
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
                discountingMap.put(curveName, currency);
              } catch (final IllegalArgumentException e) {
                throw new OpenGammaRuntimeException("Cannot handle reference type " + reference + " for discounting curves");
              }
            } else if (type instanceof IborCurveTypeConfiguration) {
              final IborCurveTypeConfiguration ibor = (IborCurveTypeConfiguration) type;
              final IborIndexConvention iborIndexConvention = conventionSource.getConvention(IborIndexConvention.class, ibor.getConvention());
              if (iborIndexConvention == null) {
                throw new OpenGammaRuntimeException("Ibor index convention called " + ibor.getConvention() + " was null");
              }
              final int spotLag = iborIndexConvention.getSettlementDays();
              iborIndex.add(new IborIndex(iborIndexConvention.getCurrency(), ibor.getTenor().getPeriod(), spotLag, iborIndexConvention.getDayCount(),
                  iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName()));
            } else if (type instanceof OvernightCurveTypeConfiguration) {
              final OvernightCurveTypeConfiguration overnight = (OvernightCurveTypeConfiguration) type;
              final OvernightIndexConvention overnightConvention = conventionSource.getConvention(OvernightIndexConvention.class, overnight.getConvention());
              if (overnightConvention == null) {
View Full Code Here
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
                discountingMap.put(curveName, currency);
              } catch (final IllegalArgumentException e) {
                throw new OpenGammaRuntimeException("Cannot handle reference type " + reference + " for discounting curves");
              }
            } else if (type instanceof IborCurveTypeConfiguration) {
              final IborCurveTypeConfiguration ibor = (IborCurveTypeConfiguration) type;
              final IborIndexConvention iborIndexConvention = conventionSource.getConvention(IborIndexConvention.class, ibor.getConvention());
              if (iborIndexConvention == null) {
                throw new OpenGammaRuntimeException("Ibor index convention called " + ibor.getConvention() + " was null");
              }
              final int spotLag = iborIndexConvention.getSettlementDays();
              iborIndex.add(new IborIndex(iborIndexConvention.getCurrency(), ibor.getTenor().getPeriod(), spotLag, iborIndexConvention.getDayCount(),
                  iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName()));
            } else if (type instanceof OvernightCurveTypeConfiguration) {
              final OvernightCurveTypeConfiguration overnight = (OvernightCurveTypeConfiguration) type;
              final OvernightIndexConvention overnightConvention = conventionSource.getConvention(OvernightIndexConvention.class, overnight.getConvention());
              if (overnightConvention == null) {
View Full Code Here
93
94
95
96
97
98
99
    @Override
    public IborCurveTypeConfiguration buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final ExternalId convention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(CONVENTION_FIELD));
      final Tenor tenor = Tenor.of(Period.parse(message.getString(TENOR_FIELD)));
      return new IborCurveTypeConfiguration(convention, tenor);
    }
View Full Code Here
TOP

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

  • com.opengamma.financial.analytics.model.curve.HullWhiteOneFactorDiscountingCurveFunction$MyCompiledFunctionDefinition
  • com.opengamma.financial.analytics.model.curve.IssuerProviderDiscountingFunction$MyCompiledFunctionDefinition
  • com.opengamma.financial.analytics.model.curve.MultiCurveDiscountingFunction$MyCompiledFunctionDefinition
  • com.opengamma.financial.fudgemsg.CurveConfigurationBuilders$IborCurveTypeConfigurationBuilder
    • 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.