Package com.opengamma.financial.convention.frequency

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

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  private SwapSecurity makeSwap(final Random random, final Tenor tenor) {
    final ZonedDateTime tradeDate = TRADE_DATE.atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime maturityDate = tradeDate.plus(tenor.getPeriod());
    final ExternalId iborReferenceRate = LIBOR_3M;
    final PeriodFrequency frequency = PeriodFrequency.QUARTERLY;
    final ExternalId cmsId = TICKERS.get(tenor);
    if (cmsId == null) {
      throw new OpenGammaRuntimeException("Could not get swap rate ticker for " + tenor);
    }
    final InterestRateNotional notional = new InterestRateNotional(Currency.USD, 1000000 * (1 + random.nextInt(50)));
    final FloatingInterestRateLeg iborLeg = new FloatingInterestRateLeg(ACT_360, frequency, REGION, FOLLOWING, notional, true,
        iborReferenceRate, FloatingRateType.IBOR);
    final FloatingInterestRateLeg cmsLeg = new FloatingInterestRateLeg(ACT_360, frequency, REGION, FOLLOWING, notional, true,
        cmsId, FloatingRateType.CMS);
    SwapSecurity security;
    boolean payIbor;
    if (random.nextBoolean()) {
      security = new SwapSecurity(tradeDate, tradeDate, maturityDate, COUNTERPARTY, iborLeg, cmsLeg);
      payIbor = true;
    } else {
      security = new SwapSecurity(tradeDate, tradeDate, maturityDate, COUNTERPARTY, cmsLeg, iborLeg);
      payIbor = false;
    }
    security.setName(CURRENCY.getCode() + " " + FORMAT.format(notional.getAmount() / 1000000) + "MM Swap, pay " +
        (payIbor ? frequency.getPeriod().getMonths() + "M Libor, receive " + tenor.getPeriod().getYears() + "Y ISDA fixing (" :
          tenor.getPeriod().getYears() + "Y ISDA fixing, receive " + frequency.getPeriod().getMonths() + "M Libor (") +
          tradeDate.toLocalDate().toString() + " - " + maturityDate.toLocalDate().toString() + ")");
    security.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    return security;
  }
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   * Convert a Frequency to a Period when possible.
   * @param frequency The frequency.
   * @return The converted period.
   */
  private static Period periodFromFrequency(final Frequency frequency) {
    PeriodFrequency periodFrequency;
    if (frequency instanceof PeriodFrequency) {
      periodFrequency = (PeriodFrequency) frequency;
    } else if (frequency instanceof SimpleFrequency) {
      periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
    } else {
      throw new IllegalArgumentException("For the moment can only deal with PeriodFrequency and SimpleFrequency");
    }
    return periodFrequency.getPeriod();
  }
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    if (accrualDate.isAfter(maturityDate)) {
      throw new IllegalArgumentException("Accrual date was after maturity");
    }

    // TODO what if there's no valid date between accrual date and maturity date?
    PeriodFrequency periodFrequency;
    if (frequency instanceof PeriodFrequency) {
      periodFrequency = (PeriodFrequency) frequency;
    } else if (frequency instanceof SimpleFrequency) {
      periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
    } else {
      throw new IllegalArgumentException("For the moment can only deal with PeriodFrequency and SimpleFrequency");
    }
    final Period period = periodFrequency.getPeriod();
    final List<ZonedDateTime> dates = new ArrayList<>();
    ZonedDateTime date = effectiveDate; // TODO this is only correct if effective date = accrual date
    date = date.plus(period);
    while (isWithinSwapLifetime(date, maturityDate)) { // REVIEW: could speed this up by working out how many periods between start and end date?
      dates.add(date);
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    ArgumentChecker.notNull(frequency, "frequency");
    if (effectiveDate.isAfter(maturityDate)) {
      throw new IllegalArgumentException("Effective date was after maturity");
    }

    PeriodFrequency periodFrequency;
    if (frequency instanceof PeriodFrequency) {
      periodFrequency = (PeriodFrequency) frequency;
    } else if (frequency instanceof SimpleFrequency) {
      periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
    } else {
      throw new IllegalArgumentException("For the moment can only deal with PeriodFrequency and SimpleFrequency");
    }
    final Period period = periodFrequency.getPeriod();
    final List<ZonedDateTime> dates = new ArrayList<>();
    ZonedDateTime date = maturityDate;

    // TODO review the tolerance given
    while (date.isAfter(effectiveDate) && DateUtils.getExactDaysBetween(effectiveDate, date) > 4.0) {
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    return adjustedDates.toArray(EMPTY_ARRAY);
  }

  public static ZonedDateTime[] getAdjustedDateSchedule(final ZonedDateTime startDate, final ZonedDateTime endDate, final Frequency frequency,
      final BusinessDayConvention businessDayConvention, final Calendar calendar, final boolean isEOM) {
    PeriodFrequency periodFrequency;
    if (frequency instanceof PeriodFrequency) {
      periodFrequency = (PeriodFrequency) frequency;
    } else if (frequency instanceof SimpleFrequency) {
      periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
    } else {
      throw new IllegalArgumentException("For the moment can only deal with PeriodFrequency and SimpleFrequency");
    }
    final Period period = periodFrequency.getPeriod();
    return getAdjustedDateSchedule(startDate, endDate, period, businessDayConvention, calendar, isEOM, true);
  }
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    ArgumentChecker.notEmpty(dates, "dates");
    ArgumentChecker.notNull(convention, "convention");
    ArgumentChecker.notNull(calendar, "calendar");
    ArgumentChecker.notNull(frequency, "frequency");

    PeriodFrequency periodFrequency;
    if (frequency instanceof PeriodFrequency) {
      periodFrequency = (PeriodFrequency) frequency;
    } else if (frequency instanceof SimpleFrequency) {
      periodFrequency = ((SimpleFrequency) frequency).toPeriodFrequency();
    } else {
      throw new IllegalArgumentException("For the moment can only deal with PeriodFrequency and SimpleFrequency");
    }
    final Period period = periodFrequency.getPeriod();

    final int n = dates.length;
    final ZonedDateTime[] results = new ZonedDateTime[n];
    results[0] = effectiveDate.plus(period);
    for (int i = 1; i < n; i++) {
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  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  // FIXME Failing on purpose so that we don't forget to extend
  public void weeklyObservations() {
    final PeriodFrequency freqWeek = PeriodFrequency.WEEKLY;
    new VarianceSwapDefinition(tPlus2, plus5y, plus5y, freqWeek, ccy, WEEKENDCAL, obsPerYear, volStrike, volNotional);
  }
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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();
    } else {
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    //final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, security.getNotional().getCurrency());
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate(); //FOLLOWING.adjustDate(calendar, valuationDate.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1));
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
    final BusinessDayConvention businessDayConvention = security.getBusinessDayConvention();
    final boolean immAdjustMaturityDate = security.isImmAdjustMaturityDate();
    final boolean adjustEffectiveDate = security.isAdjustEffectiveDate();
    final boolean adjustMaturityDate = security.isAdjustMaturityDate();
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    //    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, _regionSource.getHighestLevelRegion(regionId));
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, security.getNotional().getCurrency());
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate(); //FOLLOWING.adjustDate(calendar, valuationDate.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1));
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
    final BusinessDayConvention businessDayConvention = security.getBusinessDayConvention();
    final boolean immAdjustMaturityDate = security.isImmAdjustMaturityDate();
    final boolean adjustEffectiveDate = security.isAdjustEffectiveDate();
    final boolean adjustMaturityDate = security.isAdjustMaturityDate();
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