Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.SwapConvention

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    public SwapConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final ExternalId payLegConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(PAY_LEG_FIELD));
      final ExternalId receiveLegConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(RECEIVE_LEG_FIELD));
      final SwapConvention convention = new SwapConvention(name, externalIdBundle, payLegConvention, receiveLegConvention);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueIdMsg != null) {
        convention.setUniqueId(deserializer.fieldValueToObject(UniqueId.class, uniqueIdMsg));
      }
      return convention;
    }
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      price = 0.99;
//      throw new OpenGammaRuntimeException("Could not get market data for " + _dataId);
    }
    final DeliverablePriceQuotedSwapFutureConvention futureConvention =
        _conventionSource.getConvention(DeliverablePriceQuotedSwapFutureConvention.class, swapFuture.getFutureConvention());
    final SwapConvention underlyingSwapConvention = _conventionSource.getConvention(SwapConvention.class, swapFuture.getSwapConvention());
    final Tenor maturityTenor = swapFuture.getUnderlyingTenor();
    final Convention payLegConvention = _conventionSource.getConvention(underlyingSwapConvention.getPayLegConvention());
    if (payLegConvention == null) {
      throw new OpenGammaRuntimeException("Convention with id " + underlyingSwapConvention.getPayLegConvention() + " was null");
    }
    final Convention receiveLegConvention = _conventionSource.getConvention(underlyingSwapConvention.getReceiveLegConvention());
    if (receiveLegConvention == null) {
      throw new OpenGammaRuntimeException("Convention with id " + underlyingSwapConvention.getPayLegConvention() + " was null");
    }
    if (!(payLegConvention instanceof SwapFixedLegConvention)) {
      throw new OpenGammaRuntimeException("Convention of pay leg was not Fixed Leg for " + underlyingSwapConvention);
    }
    final SwapFixedLegConvention fixedLegConvention = (SwapFixedLegConvention) payLegConvention;
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        final String swapIndexConventionName = getConventionName(currency, tenorString, SWAP_INDEX);
        final SwapIndexConvention swapIndexConvention = _conventionSource.getConvention(SwapIndexConvention.class, ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        if (swapIndexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap index convention with the identifier " + ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        }
        final SwapConvention underlyingSwapConvention = _conventionSource.getConvention(SwapConvention.class, swapIndexConvention.getSwapConvention());
        if (underlyingSwapConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap convention with the identifier " + swapIndexConvention.getSwapConvention());
        }
        final SwapFixedLegConvention payLegConvention = _conventionSource.getConvention(SwapFixedLegConvention.class, underlyingSwapConvention.getPayLegConvention());
        if (payLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getPayLegConvention());
        }
        final VanillaIborLegConvention receiveLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class, underlyingSwapConvention.getReceiveLegConvention());
        if (receiveLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getReceiveLegConvention());
        }
        final Frequency freqIbor = swapLeg.getFrequency();
        final Period tenorIbor = getTenor(freqIbor);
        final int spotLag = iborIndexConvention.getSettlementDays();
        final DayCount dayCount = swapLeg.getDayCount();
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    final String liborLeg1MComp3MConventionName = getConventionName(Currency.USD, TENOR_STR_1M + " x " + TENOR_STR_3M, IBOR_CMP_LEG); // "USD 1M x 3M Comp Ibor Leg" 
    final Convention liborLeg1MComp3MConvention = new CompoundingIborLegConvention(liborLeg1MComp3MConventionName, getIds(Currency.USD, TENOR_STR_1M + " x " + TENOR_STR_3M, IBOR_CMP_LEG),
        liborConventionId, Tenor.THREE_MONTHS, CompoundingType.FLAT_COMPOUNDING, Tenor.ONE_MONTH, StubType.SHORT_START, 2, false, StubType.LONG_START, false, 0);
   
    // Swaps
    final Convention swapConvention = new SwapConvention("USD Swap", ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, "USD Swap")),
        ExternalId.of(SCHEME_NAME, getConventionName(Currency.USD, IRS_FIXED_LEG)),
        ExternalId.of(SCHEME_NAME, getConventionName(Currency.USD, TENOR_STR_3M, IRS_IBOR_LEG)));
    final Convention swapIndexConvention = new SwapIndexConvention(swapIndexConventionName, getIds(Currency.USD, SWAP_INDEX), LocalTime.of(11, 0), ExternalId.of(SCHEME_NAME, "USD Swap"));
   
    // Futures (for ED-LIBOR3M and EM-LIBOR1M)
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    assertEquals(convention, cycleObject(PriceIndexConvention.class, convention));
  }

  @Test
  public void testSwapConvention() {
    final SwapConvention convention = new SwapConvention("EUR Swap", ExternalIdBundle.of(InMemoryConventionBundleMaster.simpleNameSecurityId("EUR Swap")),
        ExternalId.of("Test", "EUR Pay Leg"), ExternalId.of("Test", "EUR Receive Leg"));
    convention.setUniqueId(UniqueId.of("Test", "123"));
    assertEquals(convention, cycleObject(SwapConvention.class, convention));
  }
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    final String swapIndexConventionName = getConventionName(currency, SWAP_INDEX);
    final SwapIndexConvention swapIndexConvention = _conventionSource.getConvention(SwapIndexConvention.class, ExternalId.of(SCHEME_NAME, swapIndexConventionName));
    if (swapIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get swap index convention called " + capFloorSecurity.getUnderlyingId().toString());
    }
    final SwapConvention swapConvention = _conventionSource.getConvention(SwapConvention.class, swapIndexConvention.getSwapConvention());
    final IndexSwap swapIndex = getSwapIndex(swapConvention, iborIndex);
    return AnnuityCapFloorCMSDefinition.from(startDate, endDate, notional, swapIndex, tenorPayment, capFloorSecurity.getDayCount(), capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
        capFloorSecurity.isCap(), calendar);
  }
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Related Classes of com.opengamma.financial.convention.SwapConvention

  • com.opengamma.financial.analytics.conversion.CapFloorSecurityConverter
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverter
  • com.opengamma.financial.analytics.curve.DeliverableSwapFutureNodeConverter
  • com.opengamma.financial.convention.percurrency.USConventions
  • com.opengamma.financial.fudgemsg.ConventionBuilders$SwapConventionBuilder
  • com.opengamma.financial.fudgemsg.ConventionBuildersTest
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