Package com.opengamma.financial.convention.frequency

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

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    assertEquals(expected, frequencies);
  }

  @Test
  public void floatFloat() {
    final Frequency annual = SimpleFrequency.ANNUAL;
    final Frequency quarterly = SimpleFrequency.QUARTERLY;
    final SwapSecurity swap = swap(floatingLeg(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 inflationFixedFloat() {
    final Frequency annual = SimpleFrequency.ANNUAL;
    final Frequency quarterly = SimpleFrequency.QUARTERLY;
    final ZeroCouponInflationSwapSecurity swap = zciSwap(fixedInflationLeg(annual), indexInflationLeg(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 inflationFloatFloat() {
    final Frequency annual = SimpleFrequency.ANNUAL;
    final Frequency quarterly = SimpleFrequency.QUARTERLY;
    final ZeroCouponInflationSwapSecurity swap = zciSwap(indexInflationLeg(annual), indexInflationLeg(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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    final RestructuringClause restructuringClause = RestructuringClause.NONE;
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate();
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final StubType stubType = security.getStubType();
    final Frequency couponFrequency = security.getCouponFrequency();
    final DayCount dayCount = security.getDayCount();
    final BusinessDayConvention businessDayConvention = security.getBusinessDayConvention();
    final boolean immAdjustMaturityDate = false;
    final boolean adjustEffectiveDate = false;
    final boolean adjustMaturityDate = false;
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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 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 convention called " + iborConventionName);
    }
    final Frequency freqIbor = capFloorSecurity.getFrequency();
    final Period iborTenor = getTenor(freqIbor);
    final int spotLag = iborIndexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, iborTenor, spotLag, iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
    final ExternalId regionId = iborIndexConvention.getRegionCalendar();
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  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    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 nz = ExternalSchemes.financialRegionId("NZ");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ00O/N Index"), simpleNameSecurityId("NZD LIBOR O/N")), "NZD LIBOR O/N", act365,
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  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);

    //TODO holiday associated with AUD swaps is Sydney
    final ExternalId au = ExternalSchemes.financialRegionId("AU");

    final Integer overnightPublicationLag = 0;
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    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final ExternalId kr = ExternalSchemes.financialRegionId("KR");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    for (int i = 1; i < 3; i++) {
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  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final ExternalId in = ExternalSchemes.financialRegionId("IN");
    final Integer overnightPublicationLag = 0;
    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    for (int i = 1; i < 3; i++) {
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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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