Package com.opengamma.financial.convention.calendar

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

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    }
    final int settlementDays = fixedLegConvention.getSettlementDays();
    final boolean isEOM = fixedLegConvention.isIsEOM();
    final DayCount fixedLegDayCount = fixedLeg.getDayCount();
    final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegion());
    final ZoneOffset zone = ZoneOffset.UTC; //TODO
    final Period paymentPeriod = getTenor(indexLeg.getFrequency());
    final Period maturityTenor = security.getMaturityTenor().getPeriod();
    boolean isMonthly;
    switch (indexLeg.getInterpolationMethod()) {
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      throw new OpenGammaRuntimeException("Can only convert fixed / float inflation swaps");
    }
    final int settlementDays = fixedLegConvention.getSettlementDays();
    final boolean isEOM = fixedLegConvention.isIsEOM();
    final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegion());
    final ZoneOffset zone = ZoneOffset.UTC; //TODO
   
    final int swapMaturityTenor = (int) Math.round(indexLeg.getDayCount().getDayCountFraction(security.getEffectiveDate(), security.getMaturityDate()));
    boolean isMonthly;
    switch (indexLeg.getInterpolationMethod()) {
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
    final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
    final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.IR_FUTURE_OPTION);
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    final Tenor forwardTenor = fxForward.getMaturityTenor();
    final double payAmount = 1;
    final double receiveAmount = forward;
    final int settlementDays = spotConvention.getSettlementDays();
    final ExternalId settlementRegion = forwardConvention.getSettlementRegion();
    final Calendar settlementCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, settlementRegion);
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, settlementCalendar);
    final ZonedDateTime exchangeDate = ScheduleCalculator.getAdjustedDate(spotDate, forwardTenor.getPeriod(), forwardConvention.getBusinessDayConvention(), settlementCalendar,
        forwardConvention.isIsEOM());
    return ForexDefinition.fromAmounts(payCurrency, receiveCurrency, exchangeDate, payAmount, -receiveAmount);
  }
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    final Period startPeriod = cashNode.getStartTenor().getPeriod();
    final Period maturityPeriod = cashNode.getMaturityTenor().getPeriod();
    if (convention instanceof DepositConvention) {
      final DepositConvention depositConvention = (DepositConvention) convention;
      final Currency currency = depositConvention.getCurrency();
      final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, depositConvention.getRegionCalendar());
      final BusinessDayConvention businessDayConvention = depositConvention.getBusinessDayConvention();
      final boolean isEOM = depositConvention.isIsEOM();
      final DayCount dayCount = depositConvention.getDayCount();
      final int settlementDays = depositConvention.getSettlementDays();
      final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar);
      final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDate, startPeriod, businessDayConvention, calendar, isEOM);
      final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, maturityPeriod, businessDayConvention, calendar, isEOM);
      final double accrualFactor = dayCount.getDayCountFraction(startDate, endDate);
      return new CashDefinition(currency, startDate, endDate, 1, rate, accrualFactor);
    } else if (convention instanceof IborIndexConvention) {
      final IborIndexConvention iborConvention = (IborIndexConvention) convention;
      final Currency currency = iborConvention.getCurrency();
      final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, iborConvention.getRegionCalendar());
      final BusinessDayConvention businessDayConvention = iborConvention.getBusinessDayConvention();
      final boolean isEOM = iborConvention.isIsEOM();
      final DayCount dayCount = iborConvention.getDayCount();
      final int settlementDays = iborConvention.getSettlementDays();
      final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar);
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
    final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
    final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.BOND_FUTURE_OPTION);
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  }

  @Override
  public EquityVarianceSwapDefinition visitEquityVarianceSwapSecurity(final EquityVarianceSwapSecurity security) {
    final Currency currency = security.getCurrency();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
    final Frequency frequency = security.getObservationFrequency();
    final PeriodFrequency periodFrequency;
    if (frequency instanceof PeriodFrequency) {
      periodFrequency = (PeriodFrequency) frequency;
    } else if (frequency instanceof SimpleFrequency) {
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  public InstrumentDefinition<?> visitBondSecurity(final BondSecurity security, final ConventionBundle convention, final String conventionName) {
    final ExternalId regionId = ExternalSchemes.financialRegionId(security.getIssuerDomicile());
    if (regionId == null) {
      throw new OpenGammaRuntimeException("Could not find region for " + security.getIssuerDomicile());
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = security.getCurrency();
    final ZoneId zone = security.getInterestAccrualDate().getZone();
    final ZonedDateTime firstAccrualDate = ZonedDateTime.of(security.getInterestAccrualDate().toLocalDate().atStartOfDay(), zone);
    final ZonedDateTime maturityDate = ZonedDateTime.of(security.getLastTradeDate().getExpiry().toLocalDate().atStartOfDay(), zone);
    final double rate = security.getCouponRate() / 100;
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    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final ConventionBundle indexConvention = _conventionSource.getConventionBundle(floatLeg.getFloatingReferenceRateId());
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (indexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get OIS index convention for " + currency + " using " + floatLeg.getFloatingReferenceRateId());
    }
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    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg iborLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(iborLeg.getFloatingReferenceRateId());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId() + " from swap " +
          swapSecurity.getExternalIdBundle());
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