Package com.opengamma.financial.convention.calendar

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

42
43
44
45
46
47
48
49
50
51
52
  /**
   * Private constructor.
   */
  private GeneratorSwapFixedCompoundedONCompoundedMaster() {
    final IndexONMaster indexONMaster = IndexONMaster.getInstance();
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    final DayCount bus252 = DayCountFactory.INSTANCE.getDayCount("Business/252");
    final BusinessDayConvention modFol = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    _generatorSwap = new HashMap<>();
    final IndexON cdi = indexONMaster.getIndex("CDI");
    _generatorSwap.put("BRLCDI", new GeneratorSwapFixedCompoundedONCompounded("BRLCDI", cdi, bus252, modFol, true, 2, 2, baseCalendar));
View Full Code Here
43
44
45
46
47
48
49
50
51
52
  /**
   * Private constructor.
   */
  private GeneratorSwapIborIborMaster() {
    _iborIndexMaster = IndexIborMaster.getInstance();
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    _generatorSwap = new HashMap<>();
    _generatorSwap.put("AUDBBSW3MBBSW6M", new GeneratorSwapIborIbor("AUDBBSW3MBBSW6M", _iborIndexMaster.getIndex("AUDBB3M"), _iborIndexMaster.getIndex("AUDBB6M"),
        baseCalendar, baseCalendar));
  }
View Full Code Here
50
51
52
53
54
55
56
57
58
59
60
    final DoubleTimeSeries<ZonedDateTime> eurPriceIndexTimeSerie = MulticurveProviderDiscountDataSets.euroHICPXFrom2009();
    final DoubleTimeSeries<ZonedDateTime> usPriceIndexTimeSerie = MulticurveProviderDiscountDataSets.usCpiFrom2009();
    final DoubleTimeSeries<ZonedDateTime> ukPriceIndexTimeSerie = MulticurveProviderDiscountDataSets.ukRpiFrom2010();

    final BusinessDayConvention modFol = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    final boolean endOfMonth = true;
    final int monthLag = 3;
    final int spotLag = 2;
    final boolean linear = true;
    final boolean piecewiseconstant = false;
View Full Code Here
44
45
46
47
48
49
50
51
52
53
54
  /**
   * Private constructor.
   */
  private GeneratorSwapFixedONMaster() {
    final IndexONMaster indexONMaster = IndexONMaster.getInstance();
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final BusinessDayConvention modFol = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    _generatorSwap = new HashMap<>();
    final IndexON fedFund = indexONMaster.getIndex("FED FUND");
View Full Code Here
46
47
48
49
50
51
52
53
54
55
56
  /**
   * Private constructor.
   */
  private GeneratorSwapFixedIborMaster() {
    _iborIndexMaster = IndexIborMaster.getInstance();
    final Calendar baseCalendar = new CalendarNoHoliday("No Holidays");
    _generatorSwap = new HashMap<>();
    _generatorSwap.put("USD6MLIBOR3M",
        new GeneratorSwapFixedIbor("USD6MLIBOR3M", Period.ofMonths(6), DayCountFactory.INSTANCE.getDayCount("30/360"), _iborIndexMaster.getIndex("USDLIBOR3M"), baseCalendar));
    _generatorSwap.put("USD1YLIBOR3M",
        new GeneratorSwapFixedIbor("USD1YLIBOR3M", Period.ofMonths(12), DayCountFactory.INSTANCE.getDayCount("ACT/360"),
View Full Code Here
TOP

Related Classes of com.opengamma.financial.convention.calendar.CalendarNoHoliday

  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompoundedMaster
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationMaster
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedONMaster
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapIborIborMaster
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.