Package com.opengamma.financial.convention.businessday

Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

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    final double recoveryRate = 0.4;

    final Frequency premiumFrequency = SimpleFrequency.QUARTERLY;
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
    final StubType stubType = StubType.SHORT_START;

    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, premiumFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);

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    final double notional = 10000000, spread = 0.01 /* 100bp */, recoveryRate = 0.4;

    final Frequency couponFrequency = SimpleFrequency.QUARTERLY;
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
    final StubType stubType = StubType.SHORT_START;

    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);

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    final double notional = 10000000, spread = 0.05 /* 500bp */, recoveryRate = 0.4;

    final Frequency couponFrequency = SimpleFrequency.QUARTERLY;
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
    final StubType stubType = StubType.SHORT_START;

    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);

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  /**
   * convention == following
   */
  @Test
  public void anotherConventionTest() {
    final BusinessDayConvention conv = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");

    // date from ISDA excel
    final double[] sampleTimes = new double[] {0.0849315068493151, 0.167123287671233, 0.257534246575342, 0.495890410958904, 0.747945205479452, 1.00547945205479, 1.4958904109589, 2.0027397260274,
      2.5013698630137, 3.0027397260274, 3.4986301369863, 4.0027397260274, 4.4986301369863, 5.0027397260274, 5.4986301369863, 6.0027397260274, 6.5013698630137, 7.00821917808219, 7.50684931506849,
      8.00547945205479, 8.5041095890411, 9.00547945205479, 9.5013698630137, 10.0054794520548, 10.5041095890411, 11.0082191780822, 11.5041095890411, 12.013698630137, 12.5041095890411,
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  /**
   * BAD_DAY_PRIVIOUS case
   */
  @Test(enabled = false)
  public void ConventionTest() {
    final BusinessDayConvention conv = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Preceding");

    // date from ISDA excel
    final double[] sampleTimes = new double[] {0.0849315068493151, 0.167123287671233, 0.257534246575342, 0.495890410958904, 0.747945205479452, 0.997260273972603, 1.00547945205479, 1.4958904109589,
      1.99452054794521, 2.49315068493151, 3.0027397260274, 3.4986301369863, 4.0027397260274, 4.4986301369863, 5.0027397260274, 5.4986301369863, 6.0027397260274, 6.5013698630137, 7, 7.4986301369863,
      8.00547945205479, 8.4958904109589, 9.00547945205479, 9.5013698630137, 10.0054794520548, 10.5041095890411, 11.0082191780822, 11.5041095890411, 12.0054794520548, 12.5041095890411,
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    final ZonedDateTime maturityDate = DateUtils.getUTCDate(2020, 1, 1);
    final ZonedDateTime firstAccrualDate = DateUtils.getUTCDate(2010, 1, 1);
    final Period paymentPeriod = Period.ofMonths(6);
    final Calendar calendar = new MondayToFridayCalendar("A");
    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final BusinessDayConvention businessDay = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final YieldConvention yieldConvention = SimpleYieldConvention.TRUE;
    final ZonedDateTime date = DateUtils.getUTCDate(2011, 1, 1);
    final String c1 = "a";
    final String c2 = "b";
    final BondFixedSecurity b1 = BondFixedSecurityDefinition.from(CUR, maturityDate, firstAccrualDate, paymentPeriod, R1, 0, calendar, dayCount, businessDay, yieldConvention, false, "I").toDerivative(
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*/
public class TRConventions {

  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final ExternalId sg = ExternalSchemes.financialRegionId("TR");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

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   * Adds conventions for deposit, Libor and Cibor fixings, swaps and FRAs.
   * @param conventionMaster The convention master, not null
   */
  public static void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
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   * Adds conventions for deposit, Libor, swaps and FRAs
   * @param conventionMaster The convention master, not null
   */
  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
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   * Adds conventions for deposit, Libor fixings, swaps, FRAs and IR futures.
   * @param conventionMaster The convention master, not null
   */
  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
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