Package com.opengamma.financial.convention.frequency

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

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    final ExternalId regionId = region();
    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();
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    final ExternalId regionId = region();
    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();
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    final ExternalId regionId = region();
    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();
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    final double annualizationFactor = 250;
    final ZonedDateTime firstObservationDate = ZonedDateTime.now().minusMonths(6);
    final ZonedDateTime lastObservationDate = ZonedDateTime.now().plusMonths(6);
    final ZonedDateTime settlementDate = lastObservationDate;
    final ExternalId regionId = region();
    final Frequency observationFrequency = frequency();
    final EquityVarianceSwapSecurity security = new EquityVarianceSwapSecurity(spotUnderlyingId, currency, strike, notional, parameterizedAsVariance, annualizationFactor, firstObservationDate,
          lastObservationDate, settlementDate, regionId, observationFrequency);
    store(security);
    return security;
  }
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    final ZonedDateTime payMaturityDate = paySpotDate.plus(strip.getMaturity().getPeriod());
    final String counterparty = "";
    final InterestRateNotional notional = new InterestRateNotional(spec.getCurrency(), 1);
    final ExternalId payRegionIdentifier = payConvention.getRegion();
    final DayCount payDayCount = payConvention.getDayCount();
    final Frequency payFrequency = PeriodFrequency.of(fixedIncomeStrip.getPayTenor().getPeriod());
    final BusinessDayConvention payBusinessDayConvention = payConvention.getBusinessDayConvention();
    final FloatingRateType payFloatingRateType = getFloatingTypeFromIndexType(fixedIncomeStrip.getPayIndexType());
    final ExternalId receiveRegionIdentifier = receiveConvention.getRegion();
    final DayCount receiveDayCount = receiveConvention.getDayCount();
    final Frequency receiveFrequency = PeriodFrequency.of(fixedIncomeStrip.getReceiveTenor().getPeriod());
    final BusinessDayConvention receiveBusinessDayConvention = receiveConvention.getBusinessDayConvention();
    final FloatingRateType receiveFloatingRateType = getFloatingTypeFromIndexType(fixedIncomeStrip.getReceiveIndexType());
    final double spread = marketValues.getDataPoint(swapIdentifier);
    // Implementation note: By convention the spread is on the first leg (shorter tenor)
    final FloatingSpreadIRLeg payLeg = new FloatingSpreadIRLeg(payDayCount, payFrequency, payRegionIdentifier, payBusinessDayConvention, notional, false, payFloatingReferenceRateId,
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    final String counterparty = "";
    final Double rate = marketValues.getDataPoint(swapIdentifier);
    if (rate == null) {
      throw new OpenGammaRuntimeException("rate was null on " + strip + " from " + spec);
    }
    Frequency floatingFrequency;
    final ExternalId floatingReferenceRateId;
    if (underlyingStrip.getResetTenor() != null) {
      final Period resetTenor = underlyingStrip.getResetTenor().getPeriod();
      floatingFrequency = PeriodFrequency.of(resetTenor);
      final IndexType indexType = underlyingStrip.getIndexType();
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        throw new OpenGammaRuntimeException(maturityStr + " returned from bloomberg not in format yyyy-mm-dd", e);
      }
      String couponType = validateAndGetStringField(fieldData, FIELD_CPN_TYP);
      Double couponRate = validateAndGetDoubleField(fieldData, FIELD_CPN);
      String zeroCoupon = validateAndGetStringField(fieldData, FIELD_ZERO_CPN);
      Frequency couponFrequency;
      if ("Y".equals(zeroCoupon)) {
        couponFrequency = SimpleFrequency.NEVER;
      } else {
        Integer couponFrequencyInt = validateAndGetNullableIntegerField(fieldData, FIELD_CPN_FREQ);
        couponFrequency = couponFrequencyInt != null ? SimpleFrequencyFactory.INSTANCE.getFrequency(couponFrequencyInt) : SimpleFrequency.NEVER;
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    ArgumentChecker.notNull(capFloorSecurity, "cap/floor security");
    final ZonedDateTime startDate = capFloorSecurity.getStartDate();
    final ZonedDateTime endDate = capFloorSecurity.getMaturityDate();
    final double notional = capFloorSecurity.getNotional();
    final Currency currency = capFloorSecurity.getCurrency();
    final Frequency payFreq = capFloorSecurity.getFrequency();
    // FIXME: convert frequency to period in a better way
    final Period tenorPayment = getTenor(payFreq);
    final boolean isIbor = capFloorSecurity.isIbor();
    final ConventionBundle iborIndexConvention;
    final ExternalId regionId;
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    final double spread = testCase.getCoupon() / 10000.0;
    final double recoveryRate = testCase.getRecoveryRate();

    // Assume 1 billion notional, quarterly premiums and ACT360 day count
    final double notional = 1000000000;
    final Frequency couponFrequency = SimpleFrequency.QUARTERLY;
    final StubType stubType = StubType.SHORT_START;

    // Now build the CDS object
    final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protect start */ true, /*notional*/ 1.0, spread, Currency.EUR, calendar);
    final ISDACDSDefinition cdsDefinition = new ISDACDSDefinition(startDate, maturity, premiumDefinition, /*notional*/1.0, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, couponFrequency, convention, stubType);
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    final InstrumentDerivative derivative;
    if (security instanceof SwapSecurity) {
      final SwapSecurity swapSecurity = (SwapSecurity) security;
      final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType(swapSecurity);
      if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD || type == InterestRateInstrumentType.SWAP_FIXED_OIS) {
        final Frequency resetFrequency;
        if (swapSecurity.getPayLeg() instanceof FloatingInterestRateLeg) {
          resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getPayLeg()).getFrequency();
        } else {
          resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getReceiveLeg()).getFrequency();
        }
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Related Classes of com.opengamma.financial.convention.frequency.Frequency

  • com.opengamma.analytics.financial.credit.cds.ISDAApproxCDSPricingMethodTestData
  • com.opengamma.analytics.financial.credit.cds.ISDAModelTest
  • com.opengamma.analytics.financial.credit.cds.ISDATestGridHarness
  • com.opengamma.analytics.financial.schedule.ScheduleCalculatorTest
  • com.opengamma.analytics.financial.schedule.ScheduleFactoryTest
  • com.opengamma.bbg.loader.BondLoader
  • com.opengamma.examples.bloomberg.loader.ExampleEURFixedIncomePortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleSwaptionPortfolioLoader
  • com.opengamma.examples.simulated.convention.SyntheticAUConventions
  • com.opengamma.examples.simulated.convention.SyntheticCAConventions
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