Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.VanillaIborLegConvention$Meta

79
80
81
82
83
84
85
86
87
88
89
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final IborIndex index = new IborIndex(currency, iborTenor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
    if (isIbor) { // Cap/floor on Ibor
      final String vanillaIborLegConventionName = getConventionName(Currency.USD, TENOR_STR_3M, IRS_IBOR_LEG);
      final VanillaIborLegConvention vanillaIborLegConvention =
          _conventionSource.getConvention(VanillaIborLegConvention.class, ExternalId.of(SCHEME_NAME, vanillaIborLegConventionName));
      if (vanillaIborLegConvention == null) {
        throw new OpenGammaRuntimeException("Could not get vanilla ibor leg convention called " + vanillaIborLegConventionName);
      }
      return AnnuityCapFloorIborDefinition.from(startDate, endDate, notional, index, capFloorSecurity.getDayCount(), tenorPayment, capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
View Full Code Here
48
49
50
51
52
53
54
55
56
57
58
    final String tenorString = "3m";
    final String libor3mConventionName = getConventionName(ZAR, tenorString, JIBOR);
    final ExternalId libor3mConventionId = InMemoryConventionBundleMaster.simpleNameSecurityId(libor3mConventionName);
    final Convention fixedLegConvention = new SwapFixedLegConvention(fixedSwapLegConventionName, getIds(ZAR, IRS_FIXED_LEG),
        Tenor.THREE_MONTHS, ACT_365, FOLLOWING, ZAR, ZA, 2, false, StubType.NONE, false, 2);
    final Convention vanillaIborLegConvention = new VanillaIborLegConvention(vanillaIborLegConventionName, getIds(ZAR, tenorString, IRS_IBOR_LEG),
        libor3mConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, false, StubType.NONE, false, 2);
    conventionMaster.add(fixedLegConvention);
    conventionMaster.add(vanillaIborLegConvention);
    addDepositConventions(conventionMaster);
    addLiborConventions(conventionMaster);
View Full Code Here
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
    final String oisFloatLegConventionName = getConventionName(Currency.EUR, OIS_ON_LEG);
    final Convention oisFloatLegConvention = new OISLegConvention(oisFloatLegConventionName, getIds(Currency.EUR, OIS_ON_LEG), onIndexId,
        Tenor.ONE_YEAR, MODIFIED_FOLLOWING, 2, true, StubType.SHORT_START, false, 2);
    // Ibor legs
    final String irsLibor6MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_6M, IBOR_LEG);
    final Convention irsLibor6MLegConvention = new VanillaIborLegConvention(irsLibor6MLegConventionName, getIds(Currency.EUR, TENOR_STR_6M, IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.NONE, false, 0);
   
    final String irsEuribor12MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_12M, EURIBOR_LEG);
    final Convention irsEuribor12MLegConvention = new VanillaIborLegConvention(irsEuribor12MLegConventionName, getIds(Currency.EUR, TENOR_STR_12M, EURIBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.TWELVE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsEuribor6MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_6M, EURIBOR_LEG);
    final Convention irsEuribor6MLegConvention = new VanillaIborLegConvention(irsEuribor6MLegConventionName, getIds(Currency.EUR, TENOR_STR_6M, EURIBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsEuribor3MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_3M, EURIBOR_LEG);
    final Convention irsEuribor3MLegConvention = new VanillaIborLegConvention(irsEuribor3MLegConventionName, getIds(Currency.EUR, TENOR_STR_3M, EURIBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsEuribor1MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_1M, EURIBOR_LEG);
    final Convention irsEuribor1MLegConvention = new VanillaIborLegConvention(irsEuribor1MLegConventionName, getIds(Currency.EUR, TENOR_STR_1M, EURIBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.ONE_MONTH, 2, true, StubType.SHORT_START, false, 0);
   
    // Note: Temporally used to retrieve underlying index convention.
    final String irsibor12MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_12M, IRS_IBOR_LEG);
    final Convention irsIbor12MLegConvention = new VanillaIborLegConvention(irsibor12MLegConventionName, getIds(Currency.EUR, TENOR_STR_12M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.TWELVE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsibor6MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_6M, IRS_IBOR_LEG);
    final Convention irsIbor6MLegConvention = new VanillaIborLegConvention(irsibor6MLegConventionName, getIds(Currency.EUR, TENOR_STR_6M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsibor3MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_3M, IRS_IBOR_LEG);
    final Convention irsIbor3MLegConvention = new VanillaIborLegConvention(irsibor3MLegConventionName, getIds(Currency.EUR, TENOR_STR_3M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsibor1MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_1M, IRS_IBOR_LEG);
    final Convention irsIbor1MLegConvention = new VanillaIborLegConvention(irsibor1MLegConventionName, getIds(Currency.EUR, TENOR_STR_1M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.ONE_MONTH, 2, true, StubType.SHORT_START, false, 0);
   
    // Futures
    final String quarterlySTIRFutureConventionName = getConventionName(Currency.EUR, STIR_FUTURES + QUARTERLY);   
    final Convention quarterlySTIRFutureConvention = new InterestRateFutureConvention(quarterlySTIRFutureConventionName,
View Full Code Here
88
89
90
91
92
93
94
95
96
97
98
    // Ibor swap legs
    final String irsFixedLegConventionName = getConventionName(Currency.JPY, IRS_FIXED_LEG);
    final String irsIborLegConventionName = getConventionName(Currency.JPY, tenorString, IRS_IBOR_LEG);
    final Convention irsFixedLegConvention = new SwapFixedLegConvention(irsFixedLegConventionName, getIds(Currency.JPY, IRS_FIXED_LEG),
        Tenor.SIX_MONTHS, ACT_365, MODIFIED_FOLLOWING, Currency.JPY, JP, 2, true, StubType.SHORT_START, false, 2);
    final Convention irsIborLegConvention = new VanillaIborLegConvention(irsIborLegConventionName, getIds(Currency.JPY, tenorString, IRS_IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.NONE, false, 2);
    // X-Ccy OIS
    final Convention oisXCcyUSDLegConvention = new OISLegConvention(OIS_USD_JPY_ON_LEG, getIds(OIS_USD_JPY_ON_LEG), onIndexId,
        Tenor.THREE_MONTHS, MODIFIED_FOLLOWING, 2, true, StubType.NONE, false, 2);
    conventionMaster.add(oisXCcyUSDLegConvention);
View Full Code Here
TOP

Related Classes of com.opengamma.financial.convention.VanillaIborLegConvention$Meta

  • com.opengamma.financial.analytics.conversion.CapFloorSecurityConverter
  • com.opengamma.financial.analytics.conversion.FRASecurityConverter
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverter
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.DeliverableSwapFutureNodeConverter
  • com.opengamma.financial.analytics.model.curve.ISDACompliantCurveFunction
  • com.opengamma.financial.convention.percurrency.AUConventions
  • com.opengamma.financial.convention.percurrency.EUConventions
  • com.opengamma.financial.convention.percurrency.JPConventions
  • com.opengamma.financial.convention.percurrency.USConventions
    • 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.