Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ConventionBundle

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    return liborConvention;
  }

  private ConventionBundle getSwapConventionBundle(final Currency ccy) {
    final ConventionBundleSource conventionSource = getToolContext().getConventionBundleSource();
    final ConventionBundle swapConvention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, ccy.getCode() + "_SWAP"));
    if (swapConvention == null) {
      throw new OpenGammaRuntimeException("Couldn't get swap convention for " + ccy.getCode());
    }
    return swapConvention;
  }
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    final Currency currency = capFloorSecurity.getCurrency();
    final Frequency payFreq = capFloorSecurity.getFrequency();
    // FIXME: convert frequency to period in a better way
    final Period tenorPayment = getTenor(payFreq);
    final boolean isIbor = capFloorSecurity.isIbor();
    final ConventionBundle iborIndexConvention;
    final ExternalId regionId;
    if (isIbor) { // Cap/floor on Ibor
      iborIndexConvention = _conventionSource.getConventionBundle(capFloorSecurity.getUnderlyingId());
      if (iborIndexConvention == null) {
        throw new OpenGammaRuntimeException("Could not get ibor index convention for " + capFloorSecurity.getUnderlyingId());
      }
      regionId = iborIndexConvention.getRegion();
      final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
      final IborIndex index = new IborIndex(currency, iborIndexConvention.getPeriod(), iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention(), "Ibor");
      return AnnuityCapFloorIborDefinition.from(startDate, endDate, notional, index, capFloorSecurity.getDayCount(), tenorPayment, capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
          capFloorSecurity.isCap(), calendar);
    }
    // Cap/floor on CMS
    final ConventionBundle swapIndexConvention = _conventionSource.getConventionBundle(capFloorSecurity.getUnderlyingId());
    if (swapIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get swap index convention for " + capFloorSecurity.getUnderlyingId().toString());
    }
    iborIndexConvention = _conventionSource.getConventionBundle(swapIndexConvention.getSwapFloatingLegInitialRate());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get ibor index convention for " + swapIndexConvention.getSwapFloatingLegInitialRate());
    }
    regionId = swapIndexConvention.getSwapFloatingLegRegion();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final IborIndex iborIndex = new IborIndex(currency, tenorPayment, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention.getSwapFixedLegFrequency());
    final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention.getSwapFixedLegDayCount(), iborIndex, swapIndexConvention.getPeriod(), calendar);
    return AnnuityCapFloorCMSDefinition.from(startDate, endDate, notional, swapIndex, tenorPayment, capFloorSecurity.getDayCount(), capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
        capFloorSecurity.isCap(), calendar);
  }
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    }
    return ExternalIdBundle.of(floatingLeg.getFloatingReferenceRateId());
  }

  private ExternalIdBundle getIndexIdBundle(final ExternalId indexId) {
    final ConventionBundle indexConvention = _conventionSource.getConventionBundle(indexId);
    if (indexConvention == null) {
      throw new OpenGammaRuntimeException("No conventions found for floating reference rate " + indexId);
    }
    return indexConvention.getIdentifiers();
  }
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  @Override
  public InterestRateFutureSecurityDefinition visitInterestRateFutureSecurity(final InterestRateFutureSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final ZonedDateTime lastTradeDate = security.getExpiry().getExpiry();
    final Currency currency = security.getCurrency();
    ConventionBundle iborConvention = _conventionSource.getConventionBundle(security.getUnderlyingId());
    if (iborConvention == null) {
      iborConvention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_IR_FUTURE"));
      if (iborConvention == null) {
        throw new OpenGammaRuntimeException("Could not get ibor convention for " + currency.getCode());
      }
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, ExternalSchemes.currencyRegionId(currency));
    final double paymentAccrualFactor = getAccrualFactor(iborConvention.getPeriod());
    final IborIndex iborIndex = new IborIndex(currency, iborConvention.getPeriod(), iborConvention.getSettlementDays(), iborConvention.getDayCount(),
        iborConvention.getBusinessDayConvention(), iborConvention.isEOMConvention());
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return new InterestRateFutureSecurityDefinition(lastTradeDate, iborIndex, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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   *
   * @param indexId The external id.
   * @return The bundle.
   */
  private ExternalIdBundle getIndexIdBundle(final ExternalId indexId) {
    final ConventionBundle indexConvention = getConventionSource().getConventionBundle(indexId);
    if (indexConvention == null) {
      throw new OpenGammaRuntimeException("No conventions found for floating reference rate " + indexId);
    }
    return indexConvention.getIdentifiers();
  }
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final HistoricalTimeSeries marketTS = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    if (marketTS == null) {
      throw new OpenGammaRuntimeException("Market value series was not availble");
    }
    final HistoricalTimeSeries riskFreeRateTS = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMRiskFreeRate());
    if (riskFreeRateTS == null) {
      throw new OpenGammaRuntimeException("Risk free rate series was not available");
    }
    final Object assetPnLObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec)); //TODO replace with return series when portfolio weights are in
    if (assetPnLObject == null) {
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    result.add(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, pnlSeriesProperties));
    result.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    result.add(new ValueRequirement(ValueRequirementNames.CAPM_BETA, targetSpec, betaProperties));
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final DateConstraint startDate = DateConstraint.VALUATION_TIME.minus(samplingPeriodName);
    HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    result.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,
        DateConstraint.VALUATION_TIME, true));
    timeSeries = resolver.resolve(bundle.getCAPMRiskFreeRate(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    result.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,
        DateConstraint.VALUATION_TIME, true));
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    result.add(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, pnlSeriesProperties));
    result.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    result.add(new ValueRequirement(ValueRequirementNames.CAPM_BETA, targetSpec, betaProperties));
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    result.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,
        DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true));
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final HistoricalTimeSeries marketTSObject = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    if (marketTSObject == null) {
      throw new OpenGammaRuntimeException("Market value series was not available");
    }
    final HistoricalTimeSeries riskFreeTSObject = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMRiskFreeRate());
    if (riskFreeTSObject == null) {
      throw new OpenGammaRuntimeException("Risk free series was not available");
    }
    final Object assetPnLObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec)); //TODO replace with return series when portfolio weights are in
    if (assetPnLObject == null) {
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        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName)
        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName).get()));
    requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final DateConstraint startDate = DateConstraint.VALUATION_TIME.minus(samplingPeriodName);
    HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,
        DateConstraint.VALUATION_TIME, true));
    timeSeries = resolver.resolve(bundle.getCAPMRiskFreeRate(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,
        DateConstraint.VALUATION_TIME, true));
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