Package com.opengamma.financial.convention.frequency

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


    Validate.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("NO");

    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 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);

    //TODO holiday associated with EUR swaps is TARGET
    final ExternalId eu = ExternalSchemes.financialRegionId("EU");
    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
    //EURO LIBOR
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU00O/N Index"), simpleNameSecurityId("EUR LIBOR O/N"),
        tullettPrebonSecurityId("ASLIBEULONL")),
        "EUR LIBOR O/N", act360, following, Period.ofDays(1), 0, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU00T/N Index"), simpleNameSecurityId("EUR LIBOR T/N")),
        "EUR LIBOR T/N", act360, following, Period.ofDays(1), 1, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0001W Index"), simpleNameSecurityId("EUR LIBOR 1w"),
        tullettPrebonSecurityId("ASLIBEUL1WL")),
        "EUR LIBOR 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0002W Index"), simpleNameSecurityId("EUR LIBOR 2w"),
        tullettPrebonSecurityId("ASLIBEUL2WL")),
        "EUR LIBOR 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0001M Index"), simpleNameSecurityId("EUR LIBOR 1m"),
        tullettPrebonSecurityId("ASLIBEUL01L")),
        "EUR LIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0002M Index"), simpleNameSecurityId("EUR LIBOR 2m"),
        tullettPrebonSecurityId("ASLIBEUL02L")),
        "EUR LIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0003M Index"), simpleNameSecurityId("EUR LIBOR 3m"),
        tullettPrebonSecurityId("ASLIBEUL03L")),
        "EUR LIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0004M Index"), simpleNameSecurityId("EUR LIBOR 4m"),
        tullettPrebonSecurityId("ASLIBEUL04L")),
        "EUR LIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0005M Index"), simpleNameSecurityId("EUR LIBOR 5m"),
        tullettPrebonSecurityId("ASLIBEUL05L")),
        "EUR LIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0006M Index"), simpleNameSecurityId("EUR LIBOR 6m"),
        tullettPrebonSecurityId("ASLIBEUL06L")),
        "EUR LIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0007M Index"), simpleNameSecurityId("EUR LIBOR 7m"),
        tullettPrebonSecurityId("ASLIBEUL07L")),
        "EUR LIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0008M Index"), simpleNameSecurityId("EUR LIBOR 8m"),
        tullettPrebonSecurityId("ASLIBEUL08L")),
        "EUR LIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0009M Index"), simpleNameSecurityId("EUR LIBOR 9m"),
        tullettPrebonSecurityId("ASLIBEUL09L")),
        "EUR LIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0010M Index"), simpleNameSecurityId("EUR LIBOR 10m"),
        tullettPrebonSecurityId("ASLIBEUL10L")),
        "EUR LIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0011M Index"), simpleNameSecurityId("EUR LIBOR 11m"),
        tullettPrebonSecurityId("ASLIBEUL11L")),
        "EUR LIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0012M Index"), simpleNameSecurityId("EUR LIBOR 12m"),
        tullettPrebonSecurityId("ASLIBEUL12L")),
        "EUR LIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);
    // EURIBOR
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR001W Index"), simpleNameSecurityId("EURIBOR 1w"),
        tullettPrebonSecurityId("ASLIBEUR1WL")),
        "EURIBOR 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR002W Index"), simpleNameSecurityId("EURIBOR 2w"),
        tullettPrebonSecurityId("ASLIBEUR2WL")),
        "EURIBOR 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR003W Index"), simpleNameSecurityId("EURIBOR 3w"),
        tullettPrebonSecurityId("ASLIBEUR3WL")),
        "EURIBOR 3w", act360, following, Period.ofDays(21), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR001M Index"), simpleNameSecurityId("EURIBOR 1m"),
        tullettPrebonSecurityId("ASLIBEUR01L")),
        "EURIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR002M Index"), simpleNameSecurityId("EURIBOR 2m"),
        tullettPrebonSecurityId("ASLIBEUR02L")),
        "EURIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR003M Index"), ExternalSchemes.ricSecurityId("EURIBOR3MD="),
            simpleNameSecurityId("EURIBOR 3m"), tullettPrebonSecurityId("ASLIBEUR03L")),
            "EURIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR004M Index"), simpleNameSecurityId("EURIBOR 4m"),
        tullettPrebonSecurityId("ASLIBEUR04L")),
        "EURIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR005M Index"), simpleNameSecurityId("EURIBOR 5m"),
        tullettPrebonSecurityId("ASLIBEUR05L")),
        "EURIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR006M Index"), ExternalSchemes.ricSecurityId("EURIBOR6MD="),
            simpleNameSecurityId("EURIBOR 6m"), tullettPrebonSecurityId("ASLIBEUR06L")),
            "EURIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR007M Index"), simpleNameSecurityId("EURIBOR 7m"),
        tullettPrebonSecurityId("ASLIBEUR07L")),
        "EURIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR008M Index"), simpleNameSecurityId("EURIBOR 8m"),
        tullettPrebonSecurityId("ASLIBEUR08L")),
        "EURIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR009M Index"), simpleNameSecurityId("EURIBOR 9m"),
        tullettPrebonSecurityId("ASLIBEUR09L")),
        "EURIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR010M Index"), simpleNameSecurityId("EURIBOR 10m"),
        tullettPrebonSecurityId("ASLIBEUR10L")),
        "EURIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR011M Index"), simpleNameSecurityId("EURIBOR 11m"),
        tullettPrebonSecurityId("ASLIBEUR11L")),
        "EURIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR012M Index"), simpleNameSecurityId("EURIBOR 12m"),
        tullettPrebonSecurityId("ASLIBEUR12L")),
        "EURIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);

    // Deposit
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1T Curncy"), simpleNameSecurityId("EUR DEPOSIT 1d")),
        "EUR DEPOSIT 1d", act360, following, Period.ofDays(1), 0, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2T Curncy"), simpleNameSecurityId("EUR DEPOSIT 2d")),
        "EUR DEPOSIT 2d", act360, following, Period.ofDays(1), 1, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3T Curncy"), simpleNameSecurityId("EUR DEPOSIT 3d")),
        "EUR DEPOSIT 3d", act360, following, Period.ofDays(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 1w"),
        icapSecurityId("EUR_1W"), tullettPrebonSecurityId("MNDEPEURSPT01W")), "EUR DEPOSIT 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 2w"),
        icapSecurityId("EUR_2W"), tullettPrebonSecurityId("MNDEPEURSPT02W")), "EUR DEPOSIT 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 3w"),
        icapSecurityId("EUR_3W"), tullettPrebonSecurityId("MNDEPEURSPT03W")), "EUR DEPOSIT 3w", act360, following, Period.ofDays(21), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRA Curncy"), simpleNameSecurityId("EUR DEPOSIT 1m"),
        icapSecurityId("EUR_1M"), tullettPrebonSecurityId("MNDEPEURSPT01M")), "EUR DEPOSIT 1m", act360, following, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRB Curncy"), simpleNameSecurityId("EUR DEPOSIT 2m"),
        icapSecurityId("EUR_2M"), tullettPrebonSecurityId("MNDEPEURSPT02M")), "EUR DEPOSIT 2m", act360, following, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRC Curncy"), simpleNameSecurityId("EUR DEPOSIT 3m"),
        icapSecurityId("EUR_3M"), tullettPrebonSecurityId("MNDEPEURSPT03M")), "EUR DEPOSIT 3m", act360, following, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRD Curncy"), simpleNameSecurityId("EUR DEPOSIT 4m"),
        icapSecurityId("EUR_4M"), tullettPrebonSecurityId("MNDEPEURSPT04M")), "EUR DEPOSIT 4m", act360, following, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRE Curncy"), simpleNameSecurityId("EUR DEPOSIT 5m"),
        icapSecurityId("EUR_5M"), tullettPrebonSecurityId("MNDEPEURSPT05M")), "EUR DEPOSIT 5m", act360, following, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRF Curncy"), simpleNameSecurityId("EUR DEPOSIT 6m"),
        icapSecurityId("EUR_6M"), tullettPrebonSecurityId("MNDEPEURSPT06M")), "EUR DEPOSIT 6m", act360, following, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRG Curncy"), simpleNameSecurityId("EUR DEPOSIT 7m"),
        icapSecurityId("EUR_7M"), tullettPrebonSecurityId("MNDEPEURSPT07M")), "EUR DEPOSIT 7m", act360, following, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRH Curncy"), simpleNameSecurityId("EUR DEPOSIT 8m"),
        icapSecurityId("EUR_8M"), tullettPrebonSecurityId("MNDEPEURSPT08M")), "EUR DEPOSIT 8m", act360, following, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRI Curncy"), simpleNameSecurityId("EUR DEPOSIT 9m"),
        icapSecurityId("EUR_9M"), tullettPrebonSecurityId("MNDEPEURSPT09M")), "EUR DEPOSIT 9m", act360, following, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRJ Curncy"), simpleNameSecurityId("EUR DEPOSIT 10m"),
        icapSecurityId("EUR_10M"), tullettPrebonSecurityId("MNDEPEURSPT10M")), "EUR DEPOSIT 10m", act360, following, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRK Curncy"), simpleNameSecurityId("EUR DEPOSIT 11m"),
        icapSecurityId("EUR_11M"), tullettPrebonSecurityId("MNDEPEURSPT11M")), "EUR DEPOSIT 11m", act360, following, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1 Curncy"), simpleNameSecurityId("EUR DEPOSIT 1y"),
        icapSecurityId("EUR_12M"), tullettPrebonSecurityId("MNDEPEURSPT12M")), "EUR DEPOSIT 1y", act360, following, Period.ofYears(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2 Curncy"), simpleNameSecurityId("EUR DEPOSIT 2y")),
        "EUR DEPOSIT 2y", act360, following, Period.ofYears(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3 Curncy"), simpleNameSecurityId("EUR DEPOSIT 3y")),
        "EUR DEPOSIT 3y", act360, following, Period.ofYears(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR4 Curncy"), simpleNameSecurityId("EUR DEPOSIT 4y")),
        "EUR DEPOSIT 4y", act360, following, Period.ofYears(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR5 Curncy"), simpleNameSecurityId("EUR DEPOSIT 5y")),
        "EUR DEPOSIT 5y", act360, following, Period.ofYears(5), 2, false, eu);

    final DayCount swapFixedDayCount = thirty360;
    final BusinessDayConvention swapFixedBusinessDay = modified;
    final Frequency swapFixedPaymentFrequency = annual;
    final DayCount euriborDayCount = act360;
    final int publicationLagON = 0;

    // EURIBOR
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_IBOR_INDEX")), "EUR_IBOR_INDEX", euriborDayCount, modified, 2, true);
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  public FrequencyBean(String frequency) {
    super(frequency);
  }

  /* package */ Frequency toFrequency() {
    final Frequency f = SimpleFrequencyFactory.INSTANCE.getFrequency(getName());
    if (f == null) {
      throw new OpenGammaRuntimeException("Bad value for frequencyBean (" + getName() + ")");
    }
    return f;
  }
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    final int length = getRandom(tenor2.getPeriod().getYears() - 5) + 3;
    final ZonedDateTime maturityDate = nextWorkingDay(startDate.plusYears(length), currency);
    final ExternalId shortIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor1);
    final ExternalId longIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor2);
    final double strike = getRandom(STRIKES);
    final Frequency frequency = getRandom(FREQUENCY);
    final DayCount dayCount = getRandom(DAY_COUNT);
    CapFloorCMSSpreadSecurity security = null;
    if (shortIdentifier != null && longIdentifier != null) {
      security = new CapFloorCMSSpreadSecurity(startDate, maturityDate, notional, longIdentifier, shortIdentifier, strike, frequency, currency, dayCount, payer, cap);
      security.setName(createName(cap, tenor1, tenor2, strike, startDate, maturityDate, frequency, currency, notional));
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      final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000 * (1 + random.nextInt(9)));
      final int years = 1 + random.nextInt(30);
      final ZonedDateTime maturityDate = tradeDate.plusYears(years);
      final double rate = years * 0.001 + random.nextDouble() / 5000;
      final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(ACT_360, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, false, rate);
      final Frequency frequency;
      final ExternalId euribor;
      final String frequencyLabel;
      if (random.nextBoolean()) {
        frequency = QUARTERLY;
        euribor = EURIBOR_3M;
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      final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000 * (1 + random.nextInt(9)));
      final int years = 1 + random.nextInt(30);
      final ZonedDateTime maturityDate = tradeDate.plusYears(years);
      final double rate = years * 0.001 + random.nextDouble() / 5000;
      final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(ACT_360, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, false, rate);
      final Frequency frequency;
      if (random.nextBoolean()) {
        frequency = QUARTERLY;
      } else {
        frequency = SEMI_ANNUAL;
      }
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    for (int i = 0; i < N_BASIS_SWAPS; i++) {
      final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000 * (1 + random.nextInt(9)));
      final int years = 1 + random.nextInt(30);
      final ZonedDateTime maturityDate = tradeDate.plusYears(years);
      final double spread = years * 0.002 + random.nextDouble() / 1000.;
      final Frequency payFrequency, receiveFrequency;
      final ExternalId payRate, receiveRate;
      final FloatingInterestRateLeg payLeg, receiveLeg;
      final String frequencyLabel;
      if (random.nextBoolean()) {
        payFrequency = QUARTERLY;
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    }
    return Tenor.of(Period.parse(tenorBean.getName()));
  }

  public static void validateFrequency(final String name) {
    final Frequency f = SimpleFrequencyFactory.INSTANCE.getFrequency(name);
    if (f == null) {
      throw new OpenGammaRuntimeException("Bad value for frequency (" + name + ")");
    }
  }
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  public EquityVarianceSwapSecurity createSecurity(OperationContext context, EquityVarianceSwapSecurityBean bean) {

    Currency currency = currencyBeanToCurrency(bean.getCurrency());
    ZonedDateTime firstObservationDate = zonedDateTimeBeanToDateTimeWithZone(bean.getFirstObservationDate());
    ZonedDateTime lastObservationDate = zonedDateTimeBeanToDateTimeWithZone(bean.getLastObservationDate());
    Frequency observationFrequency = frequencyBeanToFrequency(bean.getObservationFrequency());
    ExternalId region = externalIdBeanToExternalId(bean.getRegion());
    ZonedDateTime settlementDate = zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate());
    ExternalId spotUnderlingId = externalIdBeanToExternalId(bean.getSpotUnderlyingIdentifier());

    return new EquityVarianceSwapSecurity(spotUnderlingId, currency, bean.getStrike(), bean.getNotional(),
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    ZonedDateTime startDate = zonedDateTimeBeanToDateTimeWithZone(bean.getStartDate());
    ZonedDateTime maturityDate = zonedDateTimeBeanToDateTimeWithZone(bean.getMaturityDate());
    ExternalId longIdentifier = externalIdBeanToExternalId(bean.getLongIdentifier());
    ExternalId shortIdentifier = externalIdBeanToExternalId(bean.getShortIdentifier());
    Frequency frequency = frequencyBeanToFrequency(bean.getFrequency());
    Currency currency = currencyBeanToCurrency(bean.getCurrency());
    DayCount dayCount = dayCountBeanToDayCount(bean.getDayCount());
    return new CapFloorCMSSpreadSecurity(startDate,
        maturityDate,
        bean.getNotional(),
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Related Classes of com.opengamma.financial.convention.frequency.Frequency

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