Package com.opengamma.financial.convention.calendar

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

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  @Override
  public LegacyVanillaCreditDefaultSwapDefinition visitLegacyVanillaCDSSecurity(final LegacyVanillaCDSSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final ExternalId regionId = security.getRegionId();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate();
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
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      iborIndexConvention = _conventionSource.getConventionBundle(capFloorSecurity.getUnderlyingId());
      if (iborIndexConvention == null) {
        throw new OpenGammaRuntimeException("Could not get ibor index convention for " + capFloorSecurity.getUnderlyingId());
      }
      regionId = iborIndexConvention.getRegion();
      final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
      final IborIndex index = new IborIndex(currency, iborIndexConvention.getPeriod(), iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention(), "Ibor");
      return AnnuityCapFloorIborDefinition.from(startDate, endDate, notional, index, capFloorSecurity.getDayCount(), tenorPayment, capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
          capFloorSecurity.isCap(), calendar);
    }
    // Cap/floor on CMS
    final ConventionBundle swapIndexConvention = _conventionSource.getConventionBundle(capFloorSecurity.getUnderlyingId());
    if (swapIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get swap index convention for " + capFloorSecurity.getUnderlyingId().toString());
    }
    iborIndexConvention = _conventionSource.getConventionBundle(swapIndexConvention.getSwapFloatingLegInitialRate());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get ibor index convention for " + swapIndexConvention.getSwapFloatingLegInitialRate());
    }
    regionId = swapIndexConvention.getSwapFloatingLegRegion();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final IborIndex iborIndex = new IborIndex(currency, tenorPayment, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention.getSwapFixedLegFrequency());
    final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention.getSwapFixedLegDayCount(), iborIndex, swapIndexConvention.getPeriod(), calendar);
    return AnnuityCapFloorCMSDefinition.from(startDate, endDate, notional, swapIndex, tenorPayment, capFloorSecurity.getDayCount(), capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
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      iborConvention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_IR_FUTURE"));
      if (iborConvention == null) {
        throw new OpenGammaRuntimeException("Could not get ibor convention for " + currency.getCode());
      }
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, ExternalSchemes.currencyRegionId(currency));
    final double paymentAccrualFactor = getAccrualFactor(iborConvention.getPeriod());
    final IborIndex iborIndex = new IborIndex(currency, iborConvention.getPeriod(), iborConvention.getSettlementDays(), iborConvention.getDayCount(),
        iborConvention.getBusinessDayConvention(), iborConvention.isEOMConvention());
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return new InterestRateFutureSecurityDefinition(lastTradeDate, iborIndex, notional, paymentAccrualFactor, security.getName(), calendar);
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  @SuppressWarnings("deprecation")
  public TestResult runTestCase(final ISDATestGridRow testCase, final ISDACurve discountCurve) {

    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final Convention convention = new Convention(3, dayCount, businessDays, calendar, "");
    final TemporalAdjuster adjuster = businessDays.getTemporalAdjuster(calendar);

    final ZonedDateTime pricingDate = testCase.getTradeDate().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime maturity = testCase.getMaturityDate().atStartOfDay(ZoneOffset.UTC);
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    final double spread = 0.01; /* 100bp */
    final double recoveryRate = 0.40;

    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, "");

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    final InterestRateFutureConvention convention = _conventionSource.getConvention(InterestRateFutureConvention.class, ExternalId.of(SCHEME_NAME, conventionName)); // PLAT-4532
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, conventionName));
    }
    final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, convention.getIndexConvention());
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
    final Period period = Period.ofMonths(3); //TODO
    final double paymentAccrualFactor = getAccrualFactor(period);
    final int spotLag = iborIndexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, period, spotLag, iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
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  @Test
  /**
   * Test the future convexity adjustment factor v a hard-coded value.
   */
  public void futureConvexityFactor() {
    final Calendar calendar = new MondayToFridayCalendar("A");
    final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
    final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -EURIBOR3M.getSpotLag(), calendar);
    final double noitonal = 1000000.0; // 1m
    final double futuresAccrualFactor = 0.25;
    final double referencePrice = 0.99;
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      final ValueProperties resultJacobianProperties = resultCurveProperties
          .withoutAny(CURVE);
      final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
      final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
      final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
      final Calendar calendar = CalendarUtils.getCalendar(holidaySource, _currency);
      final DepositConvention convention = conventionSource.getConvention(DepositConvention.class, ExternalId.of(SCHEME_NAME, getConventionName(_currency, DEPOSIT)));
      final int spotLag = convention.getSettlementDays();
      final ExternalId conventionSettlementRegion = convention.getRegionCalendar();
      ZonedDateTime spotDate;
      if (spotLag == 0 && conventionSettlementRegion == null) {
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      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues) {
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
        final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
        //TODO use separate definition and specification names?
        final String curveDefinitionName = curveName;
        final String curveSpecificationName = curveName;
        final FuturePriceCurveDefinition<Object> priceCurveDefinition = getCurveDefinition(curveDefinitionSource, target, curveDefinitionName);
        final FuturePriceCurveSpecification priceCurveSpecification = getCurveSpecification(curveSpecificationSource, target, curveSpecificationName);
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      throw new OpenGammaRuntimeException("Could not get spot FX time series");
    }
    final LocalDateDoubleTimeSeries spotTS = spotTimeSeries.getTimeSeries();
    final Map<LocalDate, YieldAndDiscountCurve> foreignCurves = (Map<LocalDate, YieldAndDiscountCurve>) foreignCurveObject;
    final Map<LocalDate, YieldAndDiscountCurve> domesticCurves = new LinkedHashMap<>();
    final Calendar calendar = CalendarUtils.getCalendar(holidaySource, domesticCurrency, foreignCurrency);
    final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
    final FXSpotConvention fxSpotConvention = (FXSpotConvention) conventionSource.getConvention(ExternalId.of("CONVENTION", "FX Spot"));
    final int spotLag = fxSpotConvention.getSettlementDays();
    final boolean isRegular = specification.isMarketQuoteConvention();
    final ExternalId conventionSettlementRegion = fxSpotConvention.getSettlementRegion();
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