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

Package com.opengamma.financial.analytics.ircurve

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

com.opengamma.financial.analytics.ircurve.StaticCurveInstrumentProvider
Provides the external id of instruments for which the ticker does not change with time. This should be pulled from the configuration.

    final FudgeField instrumentIdentifier = message.getByName(INSTRUMENT_FIELD);
    final ExternalId identifier = deserializer.fieldValueToObject(ExternalId.class, instrumentIdentifier);
    if (message.hasField(DATA_FIELD) && message.hasField(TYPE_FIELD)) {
      final String dataField = message.getString(DATA_FIELD);
      final DataFieldType fieldType = DataFieldType.valueOf(message.getString(TYPE_FIELD));
      return new StaticCurveInstrumentProvider(identifier, dataField, fieldType);
    }
    return new StaticCurveInstrumentProvider(identifier);
  }

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@Test(groups = TestGroup.UNIT)
public class CurveInstrumentProviderFudgeEncodingTest extends FinancialTestBase {


  @Test
  public void testStaticCurveInstrumentProvider() {
    final CurveInstrumentProvider cip = new StaticCurveInstrumentProvider(ExternalId.of("JIM", "BO"));
    assertEquals(cip, cycleObject(CurveInstrumentProvider.class, cip));
  }

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@Test(groups = TestGroup.UNIT)
public class StaticCurveInstrumentProviderFudgeBuilderTest extends AnalyticsTestBase {


  @Test
  public void test() {
    StaticCurveInstrumentProvider provider = new StaticCurveInstrumentProvider(ExternalSchemes.syntheticSecurityId("ABCD"));
    assertEquals(provider, cycleObject(StaticCurveInstrumentProvider.class, provider));
    provider = new StaticCurveInstrumentProvider(ExternalSchemes.syntheticSecurityId("EFGH"), "LAST_CLOSE", DataFieldType.POINTS);
    assertEquals(provider, cycleObject(StaticCurveInstrumentProvider.class, provider));
  }

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  @Test
  public void test() {
    final String name = "Mapper";
    final Map<Tenor, CurveInstrumentProvider> cashIds = new HashMap<>();
    cashIds.put(Tenor.ONE_DAY, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("123")));
    cashIds.put(Tenor.ONE_WEEK, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("1234")));
    cashIds.put(Tenor.ONE_MONTH, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("12345")));
    cashIds.put(Tenor.TWO_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("123456")));
    cashIds.put(Tenor.THREE_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("1234567")));
    final Map<Tenor, CurveInstrumentProvider> creditSpreadIds = new HashMap<>();
    creditSpreadIds.put(Tenor.ONE_MONTH, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("ABC")));
    creditSpreadIds.put(Tenor.TWO_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("DEF")));
    creditSpreadIds.put(Tenor.THREE_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("GHI")));
    creditSpreadIds.put(Tenor.FOUR_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("JKL")));
    creditSpreadIds.put(Tenor.FIVE_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("MNO")));
    creditSpreadIds.put(Tenor.SIX_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("PQR")));
    creditSpreadIds.put(Tenor.SEVEN_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("STU")));
    creditSpreadIds.put(Tenor.EIGHT_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("VWX")));
    final Map<Tenor, CurveInstrumentProvider> swapIds = new HashMap<>();
    swapIds.put(Tenor.ONE_YEAR, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("q")));
    swapIds.put(Tenor.TWO_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("w")));
    swapIds.put(Tenor.THREE_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("e")));
    swapIds.put(Tenor.FOUR_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("r")));
    swapIds.put(Tenor.FIVE_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("t")));
    final Map<Tenor, CurveInstrumentProvider> continuouslyCompoundedRateIds = new HashMap<>();
    continuouslyCompoundedRateIds.put(Tenor.ONE_MONTH, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("z")));
    continuouslyCompoundedRateIds.put(Tenor.TWO_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("x")));
    continuouslyCompoundedRateIds.put(Tenor.THREE_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("c")));
    continuouslyCompoundedRateIds.put(Tenor.FOUR_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("v")));
    final Map<Tenor, CurveInstrumentProvider> discountFactorIds = new HashMap<>();
    discountFactorIds.put(Tenor.ONE_YEAR, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("m")));
    discountFactorIds.put(Tenor.TWO_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("n")));
    discountFactorIds.put(Tenor.FOUR_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("b")));
    final Map<Tenor, CurveInstrumentProvider> fraIds = new HashMap<>();
    fraIds.put(Tenor.ONE_MONTH, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("j")));
    fraIds.put(Tenor.TWO_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("k")));
    fraIds.put(Tenor.FIVE_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("l")));
    final Map<Tenor, CurveInstrumentProvider> fxForwardIds = new HashMap<>();
    fxForwardIds.put(Tenor.ONE_MONTH, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergBuidSecurityId("FX1")));
    fxForwardIds.put(Tenor.TWO_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergBuidSecurityId("FX2")));
    fxForwardIds.put(Tenor.THREE_MONTHS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergBuidSecurityId("FX3")));
    final Map<Tenor, CurveInstrumentProvider> rateFutureIds = new HashMap<>();
    rateFutureIds.put(Tenor.ONE_YEAR, new BloombergFutureCurveInstrumentProvider("ED", "RATE"));
    rateFutureIds.put(Tenor.TWO_YEARS, new BloombergFutureCurveInstrumentProvider("ED", "RATE"));
    rateFutureIds.put(Tenor.EIGHTEEN_MONTHS, new BloombergFutureCurveInstrumentProvider("ED", "RATE"));
    final Map<Tenor, CurveInstrumentProvider> zeroCouponInflationIds = new HashMap<>();
    zeroCouponInflationIds.put(Tenor.ONE_YEAR, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("CPI1")));
    zeroCouponInflationIds.put(Tenor.TWO_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("CPI2")));
    zeroCouponInflationIds.put(Tenor.THREE_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("CPI3")));
    zeroCouponInflationIds.put(Tenor.FOUR_YEARS, new StaticCurveInstrumentProvider(ExternalSchemes.bloombergTickerSecurityId("CPI4")));
    final Map<Tenor, CurveInstrumentProvider> deliverableSwapFutureNodeIds = new HashMap<>();
    deliverableSwapFutureNodeIds.put(Tenor.TWO_YEARS, new BloombergFutureCurveInstrumentProvider("SW", "p"));
    deliverableSwapFutureNodeIds.put(Tenor.FIVE_YEARS, new BloombergFutureCurveInstrumentProvider("SW", "e"));
    deliverableSwapFutureNodeIds.put(Tenor.TEN_YEARS, new BloombergFutureCurveInstrumentProvider("SW", "k"));
    final CurveNodeIdMapper mapper = CurveNodeIdMapper.builder().name(name)

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Related Classes of com.opengamma.financial.analytics.ircurve.StaticCurveInstrumentProvider

com.opengamma.financial.fudgemsg.CurveInstrumentProviderFudgeEncodingTest

com.opengamma.financial.fudgemsg.CurveNodeIdMapperBuilderTest

com.opengamma.financial.fudgemsg.StaticCurveInstrumentProviderFudgeBuilder

com.opengamma.financial.fudgemsg.StaticCurveInstrumentProviderFudgeBuilderTest

com.opengamma.OpenGammaRuntimeException

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