Package com.opengamma.financial.convention.calendar

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

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    final ZonedDateTime maturity = zdt(2013, 3, 20, 0, 0, 0, 0, ZoneOffset.UTC);
    final int settlementDays = 3;
    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;

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    final ZonedDateTime maturity = zdt(2013, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC);
    final int settlementDays = 3;
    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;

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  @Test
  public void testBondFixedSecurity() {
    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";
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        for (final Map.Entry<LocalDate, YieldAndDiscountCurve> entry : originalCurveSeries.entrySet()) {
          final LocalDate valuationDate = entry.getKey();
          final ZonedDateTime valuationDateTime = ZonedDateTime.of(valuationDate, now.toLocalTime(), now.getZone());
          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 = 0;
          final ExternalId conventionSettlementRegion = convention.getRegionCalendar();
          ZonedDateTime spotDate;
          if (spotLag == 0 && conventionSettlementRegion == null) {
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        }
        final Integer settlementDays = convention.getSwapFloatingLegSettlementDays();
        if (settlementDays == null) {
          throw new OpenGammaRuntimeException("Could not get number of settlement days");
        }
        final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, currency);
        final LocalDate localNow = now.toLocalDate();
        final Period forwardPeriod = Period.parse(forwardTenorName);
        final Tenor forwardTenor = Tenor.of(forwardPeriod);
        final LocalDate forwardStart = ScheduleCalculator.getAdjustedDate(localNow.plus(forwardPeriod), settlementDays, calendar); //TODO check adjustments
        for (final Tenor tenor : definition.getTenors()) {
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    final CreditDefaultSwapIndexDefinitionSecurity underlyingDefinition = (CreditDefaultSwapIndexDefinitionSecurity) securitySource.getSingle(ExternalIdBundle.of(security.getReferenceEntity()));
    if (underlyingDefinition == null) {
      throw new OpenGammaRuntimeException("Could not get underlying index definition");
    }
    final double recoveryRate = underlyingDefinition.getRecoveryRate();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition definition = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
    definition = definition.withEffectiveDate(FOLLOWING.adjustDate(calendar, valuationTime.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1)));
    definition = definition.withRecoveryRate(recoveryRate);
    final Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (yieldCurveObject == null) {
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    final String fullDomesticCurveName = domesticCurveName + "_" + domesticCurrency.getCode();
    final String fullForeignCurveName = foreignCurveName + "_" + foreignCurrency.getCode();
    final List<InstrumentDerivative> derivatives = new ArrayList<>();
    int nInstruments = 0;
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    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 ExternalId conventionSettlementRegion = fxSpotConvention.getSettlementRegion();
    ZonedDateTime spotDate;
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    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final CreditDefaultSwapSecurityConverter converter = new CreditDefaultSwapSecurityConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    Object recoveryRateObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId()));
    if (recoveryRateObject == null) {
      throw new OpenGammaRuntimeException("Could not get recovery rate");
      //s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
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  }

  @Override
  public CDSAnalytic visitLegacyVanillaCDSSecurity(final LegacyVanillaCDSSecurity security) {
    final ExternalId regionId = security.getRegionId();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final StubType stubType = security.getStubType().toAnalyticsType();
    final Period period = (IMMDateGenerator.isIMMDate(security.getMaturityDate())) ? getPeriodFrequency(security.getCouponFrequency()).getPeriod() :
        Period.ofMonths(6); // non IMM forced to semi annual
    final CDSAnalytic cdsAnalytic = new CDSAnalytic(_valuationDate,
                                                    security.getEffectiveDate().toLocalDate(),
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  }

  @Override
  public CDSAnalytic visitStandardVanillaCDSSecurity(final StandardVanillaCDSSecurity security) {
    final ExternalId regionId = security.getRegionId();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final StubType stubType = security.getStubType().toAnalyticsType();
    final Period period = (IMMDateGenerator.isIMMDate(security.getMaturityDate())) ? getPeriodFrequency(security.getCouponFrequency()).getPeriod() :
        Period.ofMonths(6); // non IMM forced to semi annual
    final CDSAnalytic cdsAnalytic = new CDSAnalytic(_valuationDate,
                                                    security.getEffectiveDate().toLocalDate(),
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Related Classes of com.opengamma.financial.convention.calendar.Calendar

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  • com.opengamma.analytics.financial.credit.cds.ISDAApproxCDSPricingMethodTestData
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  • com.opengamma.analytics.financial.instrument.ConventionTest
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  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompoundedMaster
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