Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ConventionSource

79
80
81
82
83
84
85
86
87
88
89
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final InterestRateFutureOptionSecurityConverter irFutureOptionConverter = new InterestRateFutureOptionSecurityConverter(holidaySource, conventionSource, regionSource, securitySource);
    final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
        .irfutureOptionVisitor(irFutureOptionConverter)
        .create();
    final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource,
View Full Code Here
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
     * @param fxMatrix The FX matrix, not null
     * @return The Black surface and curve data
     */
    protected BlackSTIRFuturesSmileProviderInterface getBlackSurface(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
        final ComputationTarget target, final FXMatrix fxMatrix) {
      final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
      final IRFutureOptionSecurity security = (IRFutureOptionSecurity) target.getTrade().getSecurity();
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
      final Currency currency = security.getCurrency();
      // TODO the convention name should not be hard-coded, but there's no way of getting this information until
      // there's a convention link in the security.
      final InterestRateFutureConvention convention = conventionSource.getConvention(InterestRateFutureConvention.class, ExternalId.of(SCHEME_NAME, EURODOLLAR_FUTURE));
      if (convention == null) {
        throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, EURODOLLAR_FUTURE));
      }
      final IborIndexConvention iborIndexConvention = conventionSource.getConvention(IborIndexConvention.class, convention.getIndexConvention());
      final Period period = Period.ofMonths(3); //TODO
      final int spotLag = iborIndexConvention.getSettlementDays();
      final IborIndex iborIndex = new IborIndex(currency, period, spotLag, iborIndexConvention.getDayCount(),
          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
      final BlackSTIRFuturesSmileProvider blackData = new BlackSTIRFuturesSmileProvider(data, volatilitySurface.getSurface(), iborIndex);
View Full Code Here
206
207
208
209
210
211
212
213
214
215
216
217
    final String fullForeignCurveName = foreignCurveName + "_" + foreignCurrency.getCode();
    final List<InstrumentDerivative> derivatives = new ArrayList<>();
    int nInstruments = 0;
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final Calendar calendar = CalendarUtils.getCalendar(holidaySource, domesticCurrency, foreignCurrency);
    final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
    final FXSpotConvention fxSpotConvention = (FXSpotConvention) conventionSource.getConvention(ExternalId.of("CONVENTION", "FX Spot"));
    final int spotLag = fxSpotConvention.getSettlementDays();
    final ExternalId conventionSettlementRegion = fxSpotConvention.getSettlementRegion();
    ZonedDateTime spotDate;
    if (spotLag == 0 && conventionSettlementRegion == null) {
      spotDate = now; //This preserves the old behaviour that ignored holidays and settlement days.
View Full Code Here
81
82
83
84
85
86
87
88
89
90
91
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final CapFloorSecurityConverter converter = new CapFloorSecurityConverter(holidaySource, conventionSource, regionSource);
    final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
        .capFloorVisitor(converter)
        .create();
    final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource,
View Full Code Here
206
207
208
209
210
211
212
213
214
215
216
      }
      final double absoluteTolerance = Double.parseDouble(Iterables.getOnlyElement(bundleProperties.getValues(PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE)));
      final double relativeTolerance = Double.parseDouble(Iterables.getOnlyElement(bundleProperties.getValues(PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE)));
      final int maxIterations = Integer.parseInt(Iterables.getOnlyElement(bundleProperties.getValues(PROPERTY_ROOT_FINDER_MAX_ITERATIONS)));
      final U builder = getBuilder(absoluteTolerance, relativeTolerance, maxIterations);
      final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
      final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
      final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
      final Pair<T, CurveBuildingBlockBundle> pair = getCurves(inputs, now, builder, knownData, conventionSource, holidaySource, regionSource);
      final ValueSpecification bundleSpec = new ValueSpecification(CURVE_BUNDLE, ComputationTargetSpecification.NULL, bundleProperties);
      final ValueSpecification jacobianSpec = new ValueSpecification(JACOBIAN_BUNDLE, ComputationTargetSpecification.NULL, bundleProperties);
View Full Code Here
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
     * @param target The computation target, not null
     * @param fxMatrix The FX matrix, not null
     * @return The Black surface and curve data
     */
    protected BlackSmileCapProviderInterface getBlackSurface(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final FXMatrix fxMatrix) {
      final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
      final CapFloorSecurity security = (CapFloorSecurity) target.getTrade().getSecurity();
      final Currency currency = FinancialSecurityUtils.getCurrency(security);
      final String iborConventionName = getConventionName(currency, IBOR);
      final IborIndexConvention iborIndexConvention = conventionSource.getConvention(IborIndexConvention.class, ExternalId.of(SCHEME_NAME, iborConventionName));
      if (iborIndexConvention == null) {
        throw new OpenGammaRuntimeException("Could not get ibor index convention with the identifier " + ExternalId.of(SCHEME_NAME, iborConventionName));
      }
      final Frequency freqIbor = security.getFrequency();
      final Period tenorIbor = getTenor(freqIbor);
View Full Code Here
70
71
72
73
74
75
76
77
78
79
80
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final SwapSecurityConverter swapConverter = new SwapSecurityConverter(holidaySource, conventionSource, regionSource);
    final SwaptionSecurityConverter swaptionConverter = new SwaptionSecurityConverter(securitySource, swapConverter);
    final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
        .swaptionVisitor(swaptionConverter)
        .create();
View Full Code Here
83
84
85
86
87
88
89
90
91
92
93
    final CurveConstructionConfiguration curveConstructionConfiguration = curveConfigurationSource.getCurveConstructionConfiguration(_configurationName,
        VersionCorrection.of(versionTime, versionTime));
    if (curveConstructionConfiguration == null) {
      throw new OpenGammaRuntimeException("Could not get curve construction configuration called " + _configurationName);
    }
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final CurveNodeVisitor<Set<Currency>> visitor = new CurveNodeCurrencyVisitor(conventionSource);
    final Set<Currency> currencies = CurveUtils.getCurrencies(curveConstructionConfiguration, configSource, versionTime, conventionSource, visitor);
    final ValueProperties properties = createValueProperties()
        .with(CURVE_CONSTRUCTION_CONFIG, _configurationName)
        .get();
View Full Code Here
36
37
38
39
40
41
42
43
44
45
46
  }

  @Override
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final InflationSwapSecurityConverter swapConverter = new InflationSwapSecurityConverter(conventionSource, regionSource, holidaySource);
    final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource,
View Full Code Here
80
81
82
83
84
85
86
87
88
89
90
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverter fraConverter = new FRASecurityConverter(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverter swapConverter = new SwapSecurityConverter(holidaySource, conventionSource, regionSource);
    final SwaptionSecurityConverter swaptionConverter = new SwaptionSecurityConverter(securitySource, swapConverter);
    final FXForwardSecurityConverter fxForwardSecurityConverter = new FXForwardSecurityConverter();
View Full Code Here
TOP

Related Classes of com.opengamma.financial.convention.ConventionSource

  • com.opengamma.component.factory.source.ConventionSourceComponentFactory
  • com.opengamma.financial.analytics.model.black.BlackDiscountingCapFloorFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingCapFloorFunction$BlackDiscountingCompiledFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingFXOptionFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingIRFutureOptionFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingIRFutureOptionFunction$BlackDiscountingCompiledFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingSwaptionFunction
  • com.opengamma.financial.analytics.model.black.ConstantBlackDiscountingSwaptionFunction
  • com.opengamma.financial.analytics.model.curve.FXMatrixFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.