Package com.opengamma.financial.convention.calendar

Examples of com.opengamma.financial.convention.calendar.Calendar

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        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    final BusinessDayConvention bdc = cds.getBusinessDayAdjustmentConvention();
    final Calendar holidays = cds.getCalendar();
    date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(bdc.adjustDate(holidays, date));
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   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
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   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
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   */
  public MultipleCurrencyMulticurveSensitivity presentValueSecondOrderCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
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   */
  public PresentValueBlackSwaptionSensitivity presentValueBlackSensitivity(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
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   */
  public CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
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   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
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   */
  public PresentValueBlackSwaptionSensitivity presentValueBlackSensitivity(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
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   */
  public double forwardDeltaTheoretical(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
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   */
  public double forwardGammaTheoretical(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
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