Package com.opengamma.financial.analytics.ircurve

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

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    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final CashSecurity cash = new CashSecurity(Currency.USD, ExternalSchemes.financialRegionId("US"), start, maturity, dayCount, 0.05, 1);
    cash.setUniqueId(UniqueId.of("TEST", "TEST"));
    cash.setName("1m deposit rate");
    cash.setExternalIdBundle(bundle);
    final FixedIncomeStripWithSecurity cashStrip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ONE_MONTH, "DEFAULT"), Tenor.ONE_MONTH, maturity, dummyId, cash);

    dummyId = ExternalSchemes.bloombergTickerSecurityId("EDZ2 Comdty");
    bundle = ExternalIdBundle.of(dummyId);
    final FutureSecurity future = new InterestRateFutureSecurity(new Expiry(ZonedDateTime.now()), "XCSE", "XCSE", Currency.USD, 0, dummyId, "Interest Rate");
    future.setExternalIdBundle(bundle);
    final FixedIncomeStripWithSecurity futureStrip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.FUTURE, Tenor.THREE_MONTHS, 2, "DEFAULT"), Tenor.THREE_MONTHS, DateUtils.getUTCDate(2011, 12, 1), dummyId, future);

    dummyId = ExternalSchemes.bloombergTickerSecurityId("USFR0BE Curncy");
    bundle = ExternalIdBundle.of(dummyId);
    final ZonedDateTime startDate = DateUtils.getUTCDate(2011, 11, 1);
    final ZonedDateTime endDate = DateUtils.getUTCDate(2012, 2, 1);
    final ExternalId underlyingIdentifier = ExternalSchemes.bloombergTickerSecurityId("US0003M Index");
    final ZonedDateTime fixingDate = startDate.minusDays(2);
    final FRASecurity fra = new FRASecurity(Currency.USD, ExternalSchemes.financialRegionId("US"), startDate, endDate, 0.05, 1, underlyingIdentifier, fixingDate);
    fra.setExternalIdBundle(bundle);
    final FixedIncomeStripWithSecurity fraStrip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.FRA_3M, Tenor.FIVE_MONTHS, "DEFAULT"), Tenor.FIVE_MONTHS, endDate, dummyId, fra);

    final Collection<FixedIncomeStripWithSecurity> strips = new ArrayList<FixedIncomeStripWithSecurity>();
    strips.add(cashStrip);
    strips.add(futureStrip);
    strips.add(fraStrip);
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        final InterpolatedYieldCurveSpecificationWithSecurities spec = getYieldCurveSpecification(inputs, targetSpec, curveName);
        int nInstruments = 0;
        final Interpolator1D interpolator = spec.getInterpolator();
        final HistoricalTimeSeriesBundle marketData = getHistoricalMarketData(inputs, targetSpec, curveName);
        final DoubleArrayList nodeTimes = new DoubleArrayList();
        FixedIncomeStripWithSecurity previousStrip = null;
        for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
          //TODO a lot of this can be moved outside the date loop
          final HistoricalTimeSeries historicalTimeSeries = marketData.get(MarketDataRequirementNames.MARKET_VALUE, strip.getSecurityIdentifier());
          if (historicalTimeSeries == null) {
            throw new OpenGammaRuntimeException("Could not get historical time series for " + strip);
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    Tenor resolvedTenor = deserializer.fieldValueToObject(Tenor.class, message.getByName(RESOLVED_TENOR_NAME));
    ZonedDateTimeFudgeBuilder zonedDateTimeBuilder = new ZonedDateTimeFudgeBuilder();
    ZonedDateTime maturity = zonedDateTimeBuilder.buildObject(deserializer, message.getMessage(MATURITY_NAME));
    ExternalId identifier = deserializer.fieldValueToObject(ExternalId.class, message.getByName(IDENTIFIER_NAME));
    Security security = (Security) deserializer.fieldValueToObject(message.getByName(SECURITY_NAME));
    return new FixedIncomeStripWithSecurity(strip, resolvedTenor, maturity, identifier, security);
  }
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    DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final CashSecurity cash = new CashSecurity(Currency.USD, ExternalSchemes.financialRegionId("US"), start, maturity, dayCount, 0.05, 1);
    cash.setUniqueId(UniqueId.of("TEST", "TEST"));
    cash.setName("1m deposit rate");
    cash.setExternalIdBundle(bundle);
    FixedIncomeStripWithSecurity strip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ONE_MONTH, "DEFAULT"), Tenor.ONE_MONTH, maturity, dummyId, cash);
    assertEquals(strip, cycleObject(FixedIncomeStripWithSecurity.class, strip));

    dummyId = ExternalSchemes.bloombergTickerSecurityId("EDZ2 Comdty");
    bundle = ExternalIdBundle.of(dummyId);
    final FutureSecurity future = new InterestRateFutureSecurity(new Expiry(ZonedDateTime.now()), "XCSE", "XCSE", Currency.USD, 0, dummyId, "Interest Rate");
    future.setExternalIdBundle(bundle);
    strip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.FUTURE, Tenor.THREE_MONTHS, 2, "DEFAULT"), Tenor.THREE_MONTHS, DateUtils.getUTCDate(2011, 12, 1), dummyId, future);
    assertEquals(strip, cycleObject(FixedIncomeStripWithSecurity.class, strip));
   
    dummyId = ExternalSchemes.bloombergTickerSecurityId("USFR0BE Curncy");
    bundle = ExternalIdBundle.of(dummyId);
    ZonedDateTime startDate = DateUtils.getUTCDate(2011, 11, 1);
    ZonedDateTime endDate = DateUtils.getUTCDate(2012, 2, 1);
    ExternalId underlyingIdentifier = ExternalSchemes.bloombergTickerSecurityId("US0003M Index");
    ZonedDateTime fixingDate = startDate.minusDays(2);
    FRASecurity fra = new FRASecurity(Currency.USD, ExternalSchemes.financialRegionId("US"), startDate, endDate, 0.05, 1, underlyingIdentifier, fixingDate);
    fra.setExternalIdBundle(bundle);
    strip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.FRA_3M, Tenor.FIVE_MONTHS, "DEFAULT"), Tenor.FIVE_MONTHS, endDate, dummyId, fra);
    assertEquals(strip, cycleObject(FixedIncomeStripWithSecurity.class, strip));
  }
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      }
      int nInstruments = 0;
      final Interpolator1D interpolator = spec.getInterpolator();
      final SnapshotDataBundle marketData = getMarketData(inputs, targetSpec, curveName);
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      FixedIncomeStripWithSecurity previousStrip = null;
      for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
        final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
        if (marketValue == null) {
          throw new OpenGammaRuntimeException("Could not get market data for " + strip);
        }
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      }
      int nInstruments = 0;
      final Interpolator1D interpolator = spec.getInterpolator();
      final SnapshotDataBundle marketData = getMarketData(inputs, targetSpec, curveName);
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      FixedIncomeStripWithSecurity previousStrip = null;
      for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
        final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
        if (marketValue == null) {
          throw new OpenGammaRuntimeException("Could not get market data for " + strip.getSecurityIdentifier());
        }
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    final Object[] labels = new Object[n];
    final Iterator<FixedIncomeStripWithSecurity> iterator = curveSpec.getStrips().iterator();
    for (int i = 0; i < n; i++) {
      keys[i] = Double.valueOf(i);
      values[i] = resultFx.getEntry(i);
      final FixedIncomeStripWithSecurity strip = iterator.next();
      labels[i] = strip.getResolvedTenor().getPeriod().toString();
    }
    final DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
    return Sets.newHashSet(new ComputedValue(spec, labelledMatrix));
  }
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Related Classes of com.opengamma.financial.analytics.ircurve.FixedIncomeStripWithSecurity

  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodSeriesFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePresentValueMethodFunction
  • com.opengamma.financial.analytics.model.forex.forward.FXForwardFXImpliedYCNSFunction
  • com.opengamma.financial.fudgemsg.FixedIncomeStripWithSecurityFudgeBuilder
  • com.opengamma.financial.fudgemsg.FixedIncomeStripWithSecurityFudgeEncodingTest
  • com.opengamma.financial.fudgemsg.InterpolatedYieldCurveSpecificationWithSecuritiesFudgeEncodingTest
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