Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ConventionBundle

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    final DefaultConventionBundleSource cbs = new DefaultConventionBundleSource(cbm);
    final Set<ExternalId> externalInitialRateId = newHashSet();
    for (final Currency currency : currencies) {
      for (final String swapType : new String[]{"SWAP", "3M_SWAP", "6M_SWAP"}) {
        final String product = currency.getCode() + "_" + swapType;
        final ConventionBundle convention = cbs.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, product));
        if (convention != null) {
          final ExternalId initialRate = convention.getSwapFloatingLegInitialRate();
          final ConventionBundle realIdConvention = cbs.getConventionBundle(initialRate);
          externalInitialRateId.add(realIdConvention.getIdentifiers().getExternalId(ExternalSchemes.BLOOMBERG_TICKER));
        } else {
          s_logger.info("No convention for {} product", product);
        }
      }
    }
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    final Currency currency = getRandomCurrency();
    final ExternalId region = ExternalSchemes.currencyRegionId(currency);
    final ZonedDateTime start = previousWorkingDay(ZonedDateTime.now().minusDays(getRandom(60) + 7), currency);
    final int length = getRandom(6) + 3;
    final ZonedDateTime maturity = nextWorkingDay(start.plusMonths(length), currency);
    final ConventionBundle convention = getConventionBundleSource().getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_GENERIC_CASH"));
    if (convention == null) {
      return null;
    }
    final DayCount dayCount = convention.getDayCount();
    final ExternalId cashRate = getCashRate(currency, start.toLocalDate(), Tenor.ofMonths(length));
    if (cashRate == null) {
      return null;
    }
    final HistoricalTimeSeries timeSeries = getHistoricalSource().getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, cashRate.toBundle(), null, start.toLocalDate(), true,
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    final Currency ccy = getRandomCurrency();
    final ZonedDateTime now = ZonedDateTime.now();
    final ZonedDateTime tradeDate = previousWorkingDay(now.minusDays(getRandom(getDaysTrading())), ccy);
    final Tenor forward = getRandom(FORWARDS);
    final ZonedDateTime forwardDate = nextWorkingDay(now.plus(forward.getPeriod()), ccy);
    ConventionBundle swapConvention = getConventionBundleSource().getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, ccy.getCode() + "_SWAP"));
    if (swapConvention == null) {
      s_logger.error("Couldn't get swap convention for {}", ccy.getCode());
      return null;
    }
    final Tenor maturity = getRandom(TENORS);
    // get the convention of the identifier of the initial rate
    ConventionBundle liborConvention = getConventionBundleSource().getConventionBundle(swapConvention.getSwapFloatingLegInitialRate());
    if (liborConvention == null) {
      s_logger.error("Couldn't get libor convention for {}", swapConvention.getSwapFloatingLegInitialRate());
      return null;
    }
    // look up the rate timeseries identifier out of the bundle
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    SecurityMaster securityMaster = toolContext.getSecurityMaster();
    byte[] rawData = new byte[] {0};
    StringBuilder sb = new StringBuilder();
    sb.append("Created ").append(currencies.size()).append(" libor securities:\n");
    for (Currency ccy : currencies) {
      ConventionBundle swapConvention = getSwapConventionBundle(ccy, toolContext.getConventionBundleSource());
      ConventionBundle liborConvention = getLiborConventionBundle(swapConvention, toolContext.getConventionBundleSource());
      sb.append("\t").append(liborConvention.getIdentifiers()).append("\n");
      RawSecurity rawSecurity = new RawSecurity(LIBOR_RATE_SECURITY_TYPE, rawData);
      rawSecurity.setExternalIdBundle(liborConvention.getIdentifiers());
      SecurityDocument secDoc = new SecurityDocument();
      secDoc.setSecurity(rawSecurity);
      securityMaster.add(secDoc);
    }
    s_logger.info(sb.toString());
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    }
    s_logger.info(sb.toString());
  }

  private static ConventionBundle getSwapConventionBundle(Currency ccy, ConventionBundleSource conventionSource) {
    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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    }
    return swapConvention;
  }

  private static ConventionBundle getLiborConventionBundle(ConventionBundle swapConvention, ConventionBundleSource conventionSource) {
    ConventionBundle liborConvention = conventionSource.getConventionBundle(swapConvention.getSwapFloatingLegInitialRate());
    if (liborConvention == null) {
      throw new OpenGammaRuntimeException("Couldn't get libor convention for " + swapConvention.getSwapFloatingLegInitialRate());
    }
    return liborConvention;
  }
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        throw new OpenGammaRuntimeException("Unhandled type of instrument in curve definition " + strip.getInstrumentType());
    }
  }

  private CashSecurity getCash(final InterpolatedYieldCurveSpecification spec, final FixedIncomeStripWithIdentifier strip, final SnapshotDataBundle marketValues) {
    final ConventionBundle cashConvention = _conventionBundleSource.getConventionBundle(strip.getSecurity());
    if (cashConvention == null) {
      throw new OpenGammaRuntimeException("No convention for cash " + strip.getSecurity() + " so can't establish business day convention");
    }
    if (cashConvention.getRegion() == null) {
      throw new OpenGammaRuntimeException("Region for strip " + strip + " was null");
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, cashConvention.getRegion());
    if (calendar == null) {
      throw new OpenGammaRuntimeException("Calendar was null");
    }
    final ZonedDateTime curveDate = spec.getCurveDate().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(curveDate, cashConvention.getSettlementDays(), calendar);
    final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, cashConvention.getPeriod(), cashConvention.getBusinessDayConvention(), calendar, cashConvention.isEOMConvention());
    final Double rate = marketValues.getDataPoint(strip.getSecurity());
    if (rate == null) {
      throw new OpenGammaRuntimeException("No market data for " + strip.getSecurity());
    }
    final CashSecurity sec = new CashSecurity(spec.getCurrency(), spec.getRegion(), startDate, endDate, cashConvention.getDayCount(), rate, 1.0d);
    sec.setExternalIdBundle(ExternalIdBundle.of(strip.getSecurity()));
    return sec;
  }
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    Calendar calendar;
    ExternalId underlyingIdentifier;
    int settlementDays;
    if (underlyingId == null) {
      s_logger.info("Could not get convention for underlying from {}; trying tenor-based convention", strip);
      final ConventionBundle fraConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, spec.getCurrency().getCode() + "_" + months
          + "M_FRA"));
      if (fraConvention == null) {
        throw new OpenGammaRuntimeException("Could not get convention for " + fraIdentifier + ": tried "
            + ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, spec.getCurrency().getCode() + "_" + months + "M_FRA"));
      }
      underlyingIdentifier = fraConvention.getSwapFloatingLegInitialRate();
      final ConventionBundle iborConvention = _conventionBundleSource.getConventionBundle(underlyingIdentifier);
      underlyingIdentifier = fraConvention.getSwapFloatingLegInitialRate();
      fraPeriod = iborConvention.getPeriod();
      businessDayConvention = iborConvention.getBusinessDayConvention();
      eom = iborConvention.isEOMConvention();
      calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, fraConvention.getSwapFloatingLegRegion());
      settlementDays = iborConvention.getSettlementDays();
    } else {
      ConventionBundle fraConvention = _conventionBundleSource.getConventionBundle(underlyingId);
      if (fraConvention == null || fraConvention.getIdentifiers().size() != 1) {
        s_logger.info("Could not get unique convention for underlying from {}; trying tenor-based convention", strip);
        fraConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, spec.getCurrency().getCode() + "_" + months
            + "M_FRA"));
        if (fraConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention for " + fraIdentifier + ": tried "
              + ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, spec.getCurrency().getCode() + "_" + months + "M_FRA"));
        }
        final ConventionBundle iborConvention = _conventionBundleSource.getConventionBundle(fraConvention.getSwapFloatingLegInitialRate());
        fraPeriod = iborConvention.getPeriod();
        businessDayConvention = fraConvention.getSwapFloatingLegBusinessDayConvention();
        eom = fraConvention.isEOMConvention();
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, fraConvention.getSwapFloatingLegRegion());
        underlyingIdentifier = underlyingId;
        settlementDays = fraConvention.getSwapFloatingLegSettlementDays();
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    final Double rate = marketValues.getDataPoint(swapIdentifier);
    if (rate == null) {
      throw new OpenGammaRuntimeException("No market data for " + swapIdentifier);
    }
    final long months = resetTenor.getPeriod().toTotalMonths();
    final ConventionBundle fixedLegConvention = getFixedLegConvention(spec, strip, swapIdentifier);
    final ZonedDateTime curveDate = spec.getCurveDate().atStartOfDay(ZoneOffset.UTC);
    final String counterparty = "";
    Calendar calendar;
    ExternalId floatingRateId;
    FloatingInterestRateLeg iborLeg;
    final ExternalId underlyingId = getUnderlyingId(spec, strip);
    if (underlyingId == null) {
      s_logger.info("Could not get convention for underlying from {}; trying tenor-based convention", strip);
      final ExternalId id = ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, spec.getCurrency().getCode() + "_" + months + "M_SWAP");
      ConventionBundle floatingLegConvention = _conventionBundleSource.getConventionBundle(id);
      if (floatingLegConvention == null) {
        floatingLegConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
            spec.getCurrency().getCode() + "_" + months + "_SWAP"));
        if (floatingLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get floating leg convention for swap strip " + strip);
        }
      }
      calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, floatingLegConvention.getSwapFloatingLegRegion());
      floatingRateId = floatingLegConvention.getSwapFloatingLegInitialRate();
      if (floatingRateId == null) {
        throw new OpenGammaRuntimeException("Could not get floating rate id from convention");
      }
      iborLeg = new FloatingInterestRateLeg(floatingLegConvention.getSwapFloatingLegDayCount(), floatingLegConvention.getSwapFloatingLegFrequency(),
          floatingLegConvention.getSwapFloatingLegRegion(), floatingLegConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingRateId,
          FloatingRateType.IBOR);
    } else {
      final ConventionBundle underlyingConvention = _conventionBundleSource.getConventionBundle(underlyingId);
      if (underlyingConvention == null || underlyingConvention.getIdentifiers().size() != 1) {
        s_logger.info("Could not get unique convention for underlying from {}; trying tenor-based convention", strip);
        ConventionBundle floatingLegConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
            spec.getCurrency().getCode() + "_" + months + "M_SWAP"));
        if (floatingLegConvention == null) {
          floatingLegConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
              spec.getCurrency().getCode() + "_" + months + "_SWAP"));
          if (floatingLegConvention == null) {
            throw new OpenGammaRuntimeException("Could not get floating leg convention for swap strip " + strip);
          }
        }
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, floatingLegConvention.getSwapFloatingLegRegion());
        floatingRateId = floatingLegConvention.getSwapFloatingLegInitialRate();
        if (floatingRateId == null) {
          throw new OpenGammaRuntimeException("Could not get floating rate id from convention");
        }
        iborLeg = new FloatingInterestRateLeg(floatingLegConvention.getSwapFloatingLegDayCount(), floatingLegConvention.getSwapFloatingLegFrequency(),
            floatingLegConvention.getSwapFloatingLegRegion(), floatingLegConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingRateId,
            FloatingRateType.IBOR);
      } else {
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, underlyingConvention.getRegion());
        final ExternalId underlyingTicker = Iterables.getOnlyElement(underlyingConvention.getIdentifiers());
        iborLeg = new FloatingInterestRateLeg(underlyingConvention.getDayCount(), PeriodFrequency.of(underlyingConvention.getPeriod()),
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    final Double rate = marketValues.getDataPoint(swapIdentifier);
    if (rate == null) {
      throw new OpenGammaRuntimeException("No market data for " + swapIdentifier);
    }
    final ZonedDateTime curveDate = spec.getCurveDate().atStartOfDay(ZoneOffset.UTC);
    final ConventionBundle convention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "BRL_DI_SWAP"));
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getSwapFloatingLegRegion());
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, convention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(convention.getSwapFixedLegDayCount(), convention.getSwapFixedLegFrequency(),
        convention.getSwapFixedLegRegion(), convention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final FloatingInterestRateLeg iborLeg = new FloatingInterestRateLeg(convention.getSwapFloatingLegDayCount(), convention.getSwapFloatingLegFrequency(),
        convention.getSwapFloatingLegRegion(), convention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, convention.getSwapFloatingLegInitialRate(),
        FloatingRateType.OIS); //convention type is wrong but it's ignored in the converter anyway.
    final String counterparty = "";
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
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