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

Package com.opengamma.financial.analytics.curve

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

com.opengamma.financial.analytics.curve.SwapNodeConverter
Convert a swap node into an Instrument definition. The dates of the swap 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 Annuity constructor. The swap notional for each leg is 1. A fixed leg always has the market quote as fixed rate. If both legs are floating (VanillaIborLegConvention or OISLegConvention), the receive leg has a spread equal to the market quote.

      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))
          .create();
    }

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          .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))
          .create();
    }

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      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))
          .create();
    }

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

com.opengamma.analytics.financial.instrument.index.IndexON

com.opengamma.analytics.financial.instrument.swap.SwapDefinition

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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