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

Package com.opengamma.financial.analytics.curve

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

com.opengamma.financial.analytics.curve.OvernightCurveTypeConfiguration
Configuration object for curves that are to be used as an overnight curve.

              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) {
                throw new OpenGammaRuntimeException("Convention " + overnight.getConvention() + " was null");
              }
              if (!(convention instanceof OvernightIndexConvention)) {
                throw new OpenGammaRuntimeException("Expecting convention of type OvernightIndexConvention; have " + convention.getClass());
              }
              final OvernightIndexConvention overnightConvention = (OvernightIndexConvention) convention;

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              }
              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) {
                throw new OpenGammaRuntimeException("Overnight convention called " + overnight.getConvention() + " was null");
              }
              overnightIndex.add(new IndexON(overnightConvention.getName(), overnightConvention.getCurrency(), overnightConvention.getDayCount(), overnightConvention.getPublicationLag()));
            } else if (type instanceof IssuerCurveTypeConfiguration) {
              final IssuerCurveTypeConfiguration issuer = (IssuerCurveTypeConfiguration) type;
              final String issuerName = issuer.getIssuerName();

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              }
              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) {
                throw new OpenGammaRuntimeException("Overnight convention called " + overnight.getConvention() + " was null");
              }
              overnightIndex.add(new IndexON(overnightConvention.getName(), overnightConvention.getCurrency(), overnightConvention.getDayCount(), overnightConvention.getPublicationLag()));
            } else {
              throw new OpenGammaRuntimeException("Cannot handle " + type.getClass());
            }

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    }


    @Override
    public OvernightCurveTypeConfiguration buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final ExternalId convention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(CONVENTION_FIELD));
      final OvernightCurveTypeConfiguration configuration = new OvernightCurveTypeConfiguration(convention);
      return configuration;
    }

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

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$OvernightCurveTypeConfigurationBuilder

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