Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ConventionSource

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  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 FXVanillaOptionConverter fxOptionConverter = new FXVanillaOptionConverter(getCurrencyPairs(context));
    final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
        .fxOptionVisitor(fxOptionConverter)
        .create();
    final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource,
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  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();
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  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,
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     * @param fxMatrix The FX matrix, not null
     * @return The Black surface and curve data
     */
    protected BlackSmileShiftCapProviderInterface 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);
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  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    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 HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final InterestRateFutureOptionSecurityConverter irFutureOptionConverter = new InterestRateFutureOptionSecurityConverter(holidaySource, conventionSource, regionSource, securitySource);
    final InterestRateFutureOptionTradeConverter optionTradeToTxnDefnConverter = new InterestRateFutureOptionTradeConverter(irFutureOptionConverter);
    final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource, regionSource);
    final FixedIncomeConverterDataProvider definitionConverter = new FixedIncomeConverterDataProvider(conventionBundleSource, timeSeriesResolver);
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  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();
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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
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