Examples of com.opengamma.financial.convention.SwapIndexConvention

Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.SwapIndexConvention

com.opengamma.financial.convention.SwapIndexConvention
Convention for a swap index.

    public SwapIndexConvention 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 LocalTime fixingTime = LocalTime.parse(message.getString(FIXING_TIME_FIELD));
      final ExternalId receiveLegConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(SWAP_CONVENTION_FIELD));
      final SwapIndexConvention convention = new SwapIndexConvention(name, externalIdBundle, fixingTime, 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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        if (iborLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor leg convention with the identifier " + ExternalId.of(SCHEME_NAME, iborLegConventionName));
        }
        final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, iborLegConvention.getIborIndexConvention());
        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());
        }

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    // 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)
    final String quartFutureConventionName = getConventionName(Currency.USD, STIR_FUTURES + QUARTERLY);
    final Convention quartSTIRFutureConvention = new InterestRateFutureConvention(quartFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, quartFutureConventionName)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionQuarterlyExpiryCalculator.NAME), US, liborConventionId);

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    assertEquals(convention, cycleObject(SwapFixedLegConvention.class, convention));
  }


  @Test
  public void testSwapIndexConvention() {
    final SwapIndexConvention convention = new SwapIndexConvention("EUR 3m Swap", ExternalIdBundle.of(InMemoryConventionBundleMaster.simpleNameSecurityId("EUR 3m Swap")),
        LocalTime.of(11, 0), ExternalId.of("Test", "EUR 3m Swap"));
    convention.setUniqueId(UniqueId.of("Test", "12345"));
    assertEquals(convention, cycleObject(SwapIndexConvention.class, convention));
  }

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      return AnnuityCapFloorIborDefinition.from(startDate, endDate, notional, index, capFloorSecurity.getDayCount(), tenorPayment, capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
          capFloorSecurity.isCap(), calendar);
    }
    // Cap/floor on CMS
    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.SwapIndexConvention

com.opengamma.financial.analytics.conversion.CapFloorSecurityConverter

com.opengamma.financial.analytics.conversion.SwapSecurityConverter

com.opengamma.financial.convention.percurrency.USConventions

com.opengamma.financial.fudgemsg.ConventionBuilders$SwapIndexConventionBuilder

com.opengamma.financial.fudgemsg.ConventionBuildersTest

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