Package com.opengamma.financial.convention.daycount

Examples of com.opengamma.financial.convention.daycount.DayCount

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    final double notional = 1e6;
    final ExternalId underlyingIdentifier = ExternalId.of(ExternalSchemes.RIC, "USDSFIX10Y=");
    final double strike = 0.01;
    final Frequency frequency = frequency();
    final Currency currency = currency();
    final DayCount dayCount = dayCount();
    final boolean payer = bool();
    final boolean cap = bool();
    final boolean ibor = bool();
    final CapFloorSecurity security = new CapFloorSecurity(startDate, maturityDate, notional, underlyingIdentifier, strike, frequency, currency, dayCount, payer, cap, ibor);
    store(security);
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    final Currency currency = currency();
    final ExternalId longIdentifier = ExternalId.of(ExternalSchemes.RIC, "USDSFIX10Y=");
    final ExternalId shortIdentifier = ExternalId.of(ExternalSchemes.RIC, "USDSFIX1Y=");
    final double strike = 0;
    final Frequency frequency = frequency();
    final DayCount dayCount = dayCount();
    final boolean payer = bool();
    final boolean cap = bool();
    final CapFloorCMSSpreadSecurity security = new CapFloorCMSSpreadSecurity(startDate, maturityDate, notional, longIdentifier, shortIdentifier, strike, frequency, currency, dayCount, payer, cap);
    store(security);
    return security;
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  private CashSecurity createCashSecurity() {
    final Currency currency = currency();
    final ExternalId region = region();
    final ZonedDateTime start = ZonedDateTime.now().minusMonths(6);
    final ZonedDateTime maturity = ZonedDateTime.now().plusMonths(6);
    final DayCount dayCount = dayCount();
    final double rate = 0.01;
    final double amount = 100000;
    final CashSecurity security = new CashSecurity(currency, region, start, maturity, dayCount, rate, amount);
    store(security);
    return security;
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    final ZonedDateTime startDate = ZonedDateTime.now().minusMonths(6);
    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
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  private com.opengamma.financial.security.swap.SwapLeg convertFixedLeg(FixedLeg fixedLeg) {

    Notional notional = extractNotional(fixedLeg);

    DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(fixedLeg.getDayCount());
    Frequency frequency = SimpleFrequencyFactory.INSTANCE.getFrequency(fixedLeg.getFrequency());
    ExternalId region = extractRegion(fixedLeg);
    BusinessDayConvention businessDayConvention =
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(fixedLeg.getBusinessDayConvention());
    boolean isEndOfMonth = fixedLeg.isEndOfMonth();
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  private com.opengamma.financial.security.swap.SwapLeg convertFloatingLeg(FloatingLeg floatingLeg) {

    Notional notional = extractNotional(floatingLeg);

    ExternalId region = extractRegion(floatingLeg);
    DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(floatingLeg.getDayCount());
    Frequency frequency = SimpleFrequencyFactory.INSTANCE.getFrequency(floatingLeg.getFrequency());
    BusinessDayConvention businessDayConvention =
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(floatingLeg.getBusinessDayConvention());
    boolean isEndOfMonth = floatingLeg.isEndOfMonth();
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    final ZonedDateTime startDate = ZonedDateTime.now().minusMonths(6);
    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
View Full Code Here
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    final ZonedDateTime startDate = ZonedDateTime.now().minusMonths(6);
    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
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    final ZonedDateTime startDate = ZonedDateTime.now().minusMonths(6);
    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
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    final ZonedDateTime startDate = ZonedDateTime.now().minusMonths(6);
    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
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