Package com.opengamma.financial.convention.frequency

Examples of com.opengamma.financial.convention.frequency.Frequency

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    ScheduleFactory.getSchedule(START2, END2, null, true, false, false);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testBadFrequency2() {
    final Frequency frequency = new Frequency() {

      @Override
      public String getConventionName() {
        return null;
      }
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  @Override
  public EquityVarianceSwapDefinition visitEquityVarianceSwapSecurity(final EquityVarianceSwapSecurity security) {
    final Currency currency = security.getCurrency();
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
    final Frequency frequency = security.getObservationFrequency();
    final PeriodFrequency periodFrequency;
    if (frequency instanceof PeriodFrequency) {
      periodFrequency = (PeriodFrequency) frequency;
    } else if (frequency instanceof SimpleFrequency) {
      periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
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    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(iborLeg.getFloatingReferenceRateId());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId() + " from swap " +
          swapSecurity.getExternalIdBundle());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex indexIbor = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention(), iborIndexConvention.getName());
    final Frequency freqFixed = fixedLeg.getFrequency();
    final Period tenorFixed = getTenor(freqFixed);
    final double fixedLegNotional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    if (hasSpread) {
      final double spread = ((FloatingSpreadIRLeg) iborLeg).getSpread();
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    final BusinessDayConvention businessDay = fixedLeg.getBusinessDayConvention();
    if (businessDay == null) {
      throw new OpenGammaRuntimeException("Could not get Business Day for " + fixedLeg);
    }
    final boolean isEOM = fixedLeg.isEom();
    final Frequency freqFixed = fixedLeg.getFrequency();
    final Period tenorFixed = getTenor(freqFixed);
    return AnnuityCouponFixedDefinition.from(((InterestRateNotional) fixedLeg.getNotional()).getCurrency(), effectiveDate, maturityDate, tenorFixed, calendar, fixedLeg.getDayCount(), businessDay,
        isEOM, notional, fixedLeg.getRate(), isPayer);
  }
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      final Calendar calendar, final Currency currency, final boolean isPayer) {
    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(iborLeg.getFloatingReferenceRateId());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex iborIndex = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    final double spread = iborLeg.getSpread();
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      final Calendar calendar, final Currency currency, final boolean isPayer) {
    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(iborLeg.getFloatingReferenceRateId());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex iborIndex = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    return AnnuityCouponIborDefinition.from(effectiveDate, maturityDate, tenorIbor, iborLegNotional, iborIndex, isPayer, iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLeg.getDayCount(),
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  }

  private AnnuityCouponCMSDefinition getCMSwapLegDefinition(final ZonedDateTime effectiveDate, final ZonedDateTime maturityDate, final FloatingInterestRateLeg floatLeg, final Calendar calendar,
      final Currency currency, final boolean isPayer) {
    final double notional = ((InterestRateNotional) floatLeg.getNotional()).getAmount();
    final Frequency freq = floatLeg.getFrequency();
    // FIXME: convert frequency to period in a better way
    final Period tenorPayment = getTenor(freq);
    final ConventionBundle swapIndexConvention = _conventionSource.getConventionBundle(floatLeg.getFloatingReferenceRateId());
    if (swapIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get swap index convention for " + floatLeg.getFloatingReferenceRateId().toString());
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          final BusinessDayConvention businessDay = legFixed.getBusinessDayConvention();
          if (businessDay == null) {
            throw new OpenGammaRuntimeException("Could not get Business Day for " + legFixed);
          }
          final boolean isEOM = legFixed.isEom();
          final Frequency freqFixed = legFixed.getFrequency();
          final Period tenorFixed = getTenor(freqFixed);
          legDefinition.add(AnnuityDefinitionBuilder.annuityCouponFixedWithNotional(currency[loopleg], settlementDate, maturityDate, tenorFixed,
              calendar[loopleg], legFixed.getDayCount(), businessDay, isEOM, notional[loopleg], legFixed.getRate(), payer[loopleg]));
        } else {
          throw new OpenGammaRuntimeException("X Ccy Swap legs should be Fixed or Floating legs");
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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();
    return new FixedInterestRateLeg(dayCount, frequency, region, businessDayConvention, notional, isEndOfMonth,
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    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();

    FixingIndex fixingIndex = floatingLeg.getFixingIndex();
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