Package com.opengamma.financial.analytics.ircurve

Examples of com.opengamma.financial.analytics.ircurve.CurveSpecificationBuilderConfiguration

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      for (final FudgeField field : continuousZeroDepositInstrumentProvidersMessage.getAllFields()) {
        continuousZeroDepositInstrumentProviders.put(Tenor.of(DateUtils.toPeriod(field.getName())), deserializer.fieldValueToObject(CurveInstrumentProvider.class, field));
      }
    }

    return new CurveSpecificationBuilderConfiguration(cashInstrumentProviders, fra3MInstrumentProviders, fra6MInstrumentProviders, liborInstrumentProviders, euriborInstrumentProviders,
        cdorInstrumentProviders, ciborInstrumentProviders, stiborInstrumentProviders, futureInstrumentProviders, swap6MInstrumentProviders, swap3MInstrumentProviders, basisSwapInstrumentProviders,
        tenorSwapInstrumentProviders, oisSwapInstrumentProviders, simpleZeroDepositInstrumentProviders, periodicZeroDepositInstrumentProviders, continuousZeroDepositInstrumentProviders,
        swap12MInstrumentProviders, swap28DInstrumentProviders);
  }
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    }
    return fixedRateSeries.getTimeSeries().getLatestValue();
  }

  private static ExternalId getSwapRateFor(final ConfigSource configSource, final Currency ccy, final LocalDate tradeDate, final Tenor tenor) {
    final CurveSpecificationBuilderConfiguration curveSpecConfig = configSource.getSingle(CurveSpecificationBuilderConfiguration.class, "DEFAULT_" + ccy.getCode(), VersionCorrection.LATEST);
    if (curveSpecConfig == null) {
      throw new OpenGammaRuntimeException("No curve spec builder configuration for DEFAULT_" + ccy.getCode());
    }
    ExternalId swapSecurity;
    if (ccy.equals(Currency.USD)) {
      // Standard (i.e. matches convention) floating leg tenor for USD is 3M
      swapSecurity = curveSpecConfig.getSwap3MSecurity(tradeDate, tenor);
    } else {
      // Standard (i.e. matches convention) floating leg tenor for CHF, JPY, GBP, EUR is 6M
      swapSecurity = curveSpecConfig.getSwap6MSecurity(tradeDate, tenor);
    }
    return swapSecurity;
  }
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    sb.append(frequency.getConventionName()).append(", ").append(currency.getCode()).append(' ').append(NOTIONAL_FORMATTER.format(notional));
    return sb.toString();
  }

  private ExternalId getUnderlying(final Currency ccy, final LocalDate tradeDate, final Tenor tenor) {
    final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
    if (curveSpecConfig == null) {
      return null;
    }
    final ExternalId swapSecurity;
    if (ccy.equals(Currency.USD)) {
      // Standard (i.e. matches convention) floating leg tenor for USD is 3M
      swapSecurity = curveSpecConfig.getSwap3MSecurity(tradeDate, tenor);
    } else {
      // Standard (i.e. matches convention) floating leg tenor for CHF, JPY, GBP, EUR is 6M
      swapSecurity = curveSpecConfig.getSwap6MSecurity(tradeDate, tenor);
    }
    return swapSecurity;
  }
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    }
    return fixedRateSeries.getTimeSeries().getLatestValue() / 100;
  }

  private static ExternalId getSwapRateFor(final ConfigSource configSource, final Currency ccy, final LocalDate tradeDate, final Tenor tenor) {
    final CurveSpecificationBuilderConfiguration curveSpecConfig = configSource.getSingle(CurveSpecificationBuilderConfiguration.class, "DEFAULT_" + ccy.getCode(), VersionCorrection.LATEST);
    if (curveSpecConfig == null) {
      throw new OpenGammaRuntimeException("No curve spec builder configuration for DEFAULT_" + ccy.getCode());
    }
    ExternalId swapSecurity;
    if (ccy.equals(Currency.USD)) {
      // Standard (i.e. matches convention) floating leg tenor for USD is 3M
      swapSecurity = curveSpecConfig.getSwap3MSecurity(tradeDate, tenor);
    } else {
      // Standard (i.e. matches convention) floating leg tenor for CHF, JPY, GBP, EUR is 6M
      swapSecurity = curveSpecConfig.getSwap6MSecurity(tradeDate, tenor);
    }
    return swapSecurity;
  }
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    sb.append(" @ ").append(RATE_FORMATTER.format(rate)).append(", maturity ").append(maturity.toString(DATE_FORMATTER));
    return sb.toString();
  }

  private ExternalId getCashRate(final Currency ccy, final LocalDate tradeDate, final Tenor tenor) {
    final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
    if (curveSpecConfig == null) {
      return null;
    }
    return curveSpecConfig.getCashSecurity(tradeDate, tenor);
  }
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  protected ExternalId getTimeSeriesIdentifier(final ConventionBundle liborConvention) {
    return liborConvention.getIdentifiers().getExternalId(getPreferredScheme());
  }

  private ExternalId getSwapRateFor(Currency ccy, LocalDate tradeDate, Tenor maturityTenor, Tenor forwardTenor) {
    final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
    if (curveSpecConfig == null) {
      return null;
    }
    final ExternalId swapSecurity;
    final Tenor tenor;
    final int months = (int) maturityTenor.getPeriod().toTotalMonths() + (int) forwardTenor.getPeriod().toTotalMonths();
    if (months < 12) {
      tenor = Tenor.ofMonths(months);
    } else {
      // TODO: this isn't particularly great
      tenor = Tenor.ofYears(months / 12);
    }
    try {
      if (ccy.equals(Currency.USD)) {
        // Standard (i.e. matches convention) floating leg tenor for USD is 3M
        swapSecurity = curveSpecConfig.getSwap3MSecurity(tradeDate, tenor);
      } else {
        // Standard (i.e. matches convention) floating leg tenor for CHF, JPY, GBP, EUR is 6M
        swapSecurity = curveSpecConfig.getSwap6MSecurity(tradeDate, tenor);
      }
    } catch (OpenGammaRuntimeException e) {
      return null;
    }
    return swapSecurity;
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  protected ExternalId getTimeSeriesIdentifier(final ConventionBundle liborConvention) {
    return liborConvention.getIdentifiers().getExternalId(getPreferredScheme());
  }

  private ExternalId getSwapRateFor(Currency ccy, LocalDate tradeDate, Tenor tenor) {
    final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
    if (curveSpecConfig == null) {
      return null;
    }
    final ExternalId swapSecurity;
    if (ccy.equals(Currency.USD)) {
      // Standard (i.e. matches convention) floating leg tenor for USD is 3M
      swapSecurity = curveSpecConfig.getSwap3MSecurity(tradeDate, tenor);
    } else {
      // Standard (i.e. matches convention) floating leg tenor for CHF, JPY, GBP, EUR is 6M
      swapSecurity = curveSpecConfig.getSwap6MSecurity(tradeDate, tenor);
    }
    return swapSecurity;
  }
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    final Currency ccy = s_currencies[offset];
    return ccy;
  }

  private static ExternalId getSwapRateFor(final ConfigSource configSource, final Currency ccy, final LocalDate tradeDate, final Tenor tenor) {
    final CurveSpecificationBuilderConfiguration curveSpecConfig = configSource.getSingle(CurveSpecificationBuilderConfiguration.class, "DEFAULT_" + ccy.getCode(), VersionCorrection.LATEST);
    if (curveSpecConfig == null) {
      throw new OpenGammaRuntimeException("No curve spec builder configuration for DEFAULT_" + ccy.getCode());
    }
    ExternalId swapSecurity;
    if (ccy.equals(Currency.USD)) {
      // Standard (i.e. matches convention) floating leg tenor for USD is 3M
      swapSecurity = curveSpecConfig.getSwap3MSecurity(tradeDate, tenor);
    } else {
      // Standard (i.e. matches convention) floating leg tenor for CHF, JPY, GBP, EUR is 6M
      swapSecurity = curveSpecConfig.getSwap6MSecurity(tradeDate, tenor);
    }
    return swapSecurity;
  }
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    sb.append(" @ ").append(RATE_FORMATTER.format(rate)).append(", maturity ").append(maturity.toString(DATE_FORMATTER));
    return sb.toString();
  }

  private ExternalId getUnderlyingRate(final Currency ccy, final LocalDate tradeDate, final Tenor tenor) {
    final CurveSpecificationBuilderConfiguration curveSpecConfig = getCurrencyCurveConfig(ccy);
    if (curveSpecConfig == null) {
      return null;
    }
    return curveSpecConfig.getLiborSecurity(tradeDate, tenor);
  }
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  private static final Logger s_logger = LoggerFactory.getLogger(CurveSpecificationBuilderConfigurationFudgeEncodingTest.class);

  @Test
  public void testCycle() {
    CurveSpecificationBuilderConfiguration configuration = TestYieldCurveDefinitionAndSpecificationProvider.buildOldTestCurveConfiguration();
    CurveSpecificationBuilderConfiguration cycleObject = cycleObject(CurveSpecificationBuilderConfiguration.class, configuration);
    s_logger.info(configuration.toString());
    s_logger.info(cycleObject.toString());
    assertEquals(configuration, cycleObject(CurveSpecificationBuilderConfiguration.class, configuration));
    configuration = TestYieldCurveDefinitionAndSpecificationProvider.buildTestUSDCurveConfiguration();
    cycleObject = cycleObject(CurveSpecificationBuilderConfiguration.class, configuration);
    s_logger.info(configuration.toString());
    s_logger.info(cycleObject.toString());
    assertEquals(configuration, cycleObject(CurveSpecificationBuilderConfiguration.class, configuration));
    configuration = TestYieldCurveDefinitionAndSpecificationProvider.buildTestEURCurveConfiguration();
    cycleObject = cycleObject(CurveSpecificationBuilderConfiguration.class, configuration);
    s_logger.info(configuration.toString());
    s_logger.info(cycleObject.toString());
    assertEquals(configuration, cycleObject(CurveSpecificationBuilderConfiguration.class, configuration));
  }
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