Package com.opengamma.financial.convention.frequency

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

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    final ZonedDateTime startDate = zdt(2007, 3, 20, 0, 0, 0, 0, ZoneOffset.UTC);
    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;
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    final double notional = 10000000;
    final double spread = 0.01; /* 100bp */
    final double recoveryRate = 0.40;

    final Frequency couponFrequency = SimpleFrequency.QUARTERLY;

    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");

    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
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      final InstrumentDefinition<?> definition, final FixedIncomeConverterDataProvider definitionConverter) {
    final InstrumentDerivative derivative;
    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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      final String iborConventionName = getConventionName(currency, IBOR);
      final IborIndexConvention iborIndexConvention = conventionSource.getConvention(IborIndexConvention.class, ExternalId.of(SCHEME_NAME, iborConventionName));
      if (iborIndexConvention == null) {
        throw new OpenGammaRuntimeException("Could not get ibor index convention with the identifier " + ExternalId.of(SCHEME_NAME, iborConventionName));
      }
      final Frequency freqIbor = security.getFrequency();
      final Period tenorIbor = getTenor(freqIbor);
      final int spotLag = iborIndexConvention.getSettlementDays();
      final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(),
          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
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    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);

    final ExternalId dk = ExternalSchemes.financialRegionId("DK");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
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    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final ExternalId ch = ExternalSchemes.financialRegionId("CH");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
    //TODO check that it's actually libor that we need
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("SF00O/N Index"), simpleNameSecurityId("CHF LIBOR O/N")), "CHF LIBOR O/N", act360,
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    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final ExternalId jp = ExternalSchemes.financialRegionId("JP");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("JY00O/N Index"), simpleNameSecurityId("JPY LIBOR O/N")),
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    } catch (Exception ex) {
      s_logger.warn("Unable to obtain underlying id for " + currency + " " + startDate.toLocalDate() + " " + tenor, ex);
      return null;
    }
    final double strike = 0.01 + (double) getRandom(6) / 200;
    final Frequency frequency = getRandom(FREQUENCY);
    final DayCount dayCount = getRandom(DAY_COUNT);
    final CapFloorSecurity capFloor = new CapFloorSecurity(startDate, maturityDate, notional, underlyingIdentifier, strike, frequency, currency, dayCount, payer, cap, ibor);
    capFloor.setName(createName(ibor, cap, strike, startDate, maturityDate, frequency, currency, notional));
    return capFloor;
  }
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*/
public class MultiSwapLegVisitorTest {

  @Test
  public void payFixed() {
    final Frequency annual = SimpleFrequency.ANNUAL;
    final Frequency quarterly = SimpleFrequency.QUARTERLY;
    final SwapSecurity swap = swap(fixedLeg(annual), floatingLeg(quarterly));
    final Pair<Frequency, Frequency> frequencies = new FrequencyVisitor().visit(swap);
    final Pair<Frequency, Frequency> expected = Pair.of(annual, quarterly);
    assertEquals(expected, frequencies);
  }
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    assertEquals(expected, frequencies);
  }

  @Test
  public void receiveFixed() {
    final Frequency annual = SimpleFrequency.ANNUAL;
    final Frequency quarterly = SimpleFrequency.QUARTERLY;
    final SwapSecurity swap = swap(floatingLeg(quarterly), fixedLeg(annual));
    final Pair<Frequency, Frequency> frequencies = new FrequencyVisitor().visit(swap);
    final Pair<Frequency, Frequency> expected = Pair.of(annual, quarterly);
    assertEquals(expected, frequencies);
  }
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