Package com.opengamma.financial.convention.calendar

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

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   */
  public double driftlessThetaTheoretical(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 forwardThetaTheoretical(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 forwardVegaTheoretical(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 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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   * @return The present value.
   */
  public CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    Calendar calendar;
    DayCount dayCountModification;
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
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    _noticeLastDate = noticeLastDate;
    _notional = notional;
    _deliveryBasket = deliveryBasket;
    _conversionFactor = conversionFactor;
    _settlementDays = _deliveryBasket[0].getSettlementDays();
    final Calendar calendar = _deliveryBasket[0].getCalendar();
    _deliveryFirstDate = ScheduleCalculator.getAdjustedDate(_noticeFirstDate, _settlementDays, calendar);
    _deliveryLastDate = ScheduleCalculator.getAdjustedDate(_noticeLastDate, _settlementDays, calendar);
  }
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    //TODO business day convention and currency are in both conventions - should we enforce that they're the same or use
    // different ones for each leg?
    final BusinessDayConvention businessDayConvention = fixedLegConvention.getBusinessDayConvention();
    final boolean endOfMonth = fixedLegConvention.isIsEOM();
    final Currency currency = priceIndexConvention.getCurrency();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, priceIndexConvention.getRegion());
    final ZoneId zone = _valuationTime.getZone(); //TODO time zone set to midnight UTC
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar).toLocalDate().atStartOfDay(zone);
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, businessDayConvention, calendar, endOfMonth).toLocalDate().atStartOfDay(zone);
    final CouponFixedCompoundingDefinition fixedCoupon = CouponFixedCompoundingDefinition.from(currency, settlementDate, paymentDate, notional, tenor.getYears(),
        rate);
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      throw new OpenGammaRuntimeException("Could not get convention for " + security.getUnderlyingId());
    }
    final ZonedDateTime accrualStartDate = security.getStartDate();
    final ZonedDateTime accrualEndDate = security.getEndDate();
    final double notional = security.getAmount();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, ExternalSchemes.currencyRegionId(currency)); //TODO exchange region?
    final IborIndex iborIndex = new IborIndex(currency, fraConvention.getPeriod(), fraConvention.getSettlementDays(), fraConvention.getDayCount(), fraConvention.getBusinessDayConvention(),
        fraConvention.isEOMConvention());
    return ForwardRateAgreementDefinition.from(accrualStartDate, accrualEndDate, notional, iborIndex, security.getRate(), calendar);
  }
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    assertFalse(CONVENTION.equals(other));
    other = new Convention(SETTLEMENT_DAYS, DayCountFactory.INSTANCE.getDayCount("Actual/365"), BUSINESS_DAY, CALENDAR, NAME);
    assertFalse(CONVENTION.equals(other));
    other = new Convention(SETTLEMENT_DAYS, DAY_COUNT, BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("None"), CALENDAR, NAME);
    assertFalse(CONVENTION.equals(other));
    other = new Convention(SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, new Calendar() {

      @Override
      public boolean isWorkingDay(final LocalDate date) {
        return false;
      }
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   */
  @Override
  public InstrumentDefinition<?> visitCDSSecurity(final CDSSecurity cds) {

    // TODO: Does convention name matter? ISDA code never uses it
    final Calendar calendar = CalendarUtils.getCalendar(_holidaySource, cds.getCurrency());
    final Convention convention = new Convention(
      cds.getSettlementDays(), cds.getDayCount(), cds.getBusinessDayConvention(), calendar, cds.getName() + "_convention"); // TODO: Is convention name important?

    final ISDACDSPremiumDefinition premiumPayments = ISDACDSPremiumDefinition.from(
      cds.getStartDate(), cds.getMaturity(), cds.getPremiumFrequency(),
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