Package com.opengamma.financial.convention.calendar

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

167
168
169
170
171
172
173
174
175
176
177
    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;

View Full Code Here
50
51
52
53
54
55
56
57
58
59
60
    final double notional = 1.0e7;
    final double spread = spreadBasisPoints/10000.0;
    final double recoveryRate = 0.4;

    final Frequency premiumFrequency = 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;
View Full Code Here
44
45
46
47
48
49
50
51
52
53
54
  @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";
View Full Code Here
TOP

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

  • com.opengamma.analytics.financial.credit.cds.ISDAApproxCDSPricingMethodTestData
  • com.opengamma.analytics.financial.credit.cds.ISDACalendars
  • com.opengamma.analytics.financial.credit.cds.ISDAModelTest
  • com.opengamma.analytics.financial.credit.cds.ISDATestGridHarness
  • com.opengamma.analytics.financial.instrument.bond.BillSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorDepositONTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorDepositTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationTest
  • com.opengamma.analytics.financial.interestrate.RateReplacingInterestRateDerivativeVisitorTest
  • com.opengamma.analytics.financial.interestrate.RateReplacingVisitorTest
    • 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.