Package com.opengamma.financial.security.swap

Examples of com.opengamma.financial.security.swap.FloatingRateType

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        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(floatingLeg.getBusinessDayConvention());
    boolean isEndOfMonth = floatingLeg.isEndOfMonth();

    FixingIndex fixingIndex = floatingLeg.getFixingIndex();
    ExternalId referenceRate = fixingIndex.getIndex().toExternalId();
    FloatingRateType rateType = FloatingRateType.valueOf(fixingIndex.getRateType().toString());

    return new FloatingInterestRateLeg(dayCount, frequency, region, businessDayConvention, notional, isEndOfMonth,
        referenceRate, rateType);
  }
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    final Frequency frequency = frequency();
    final ExternalId regionIdentifier = region();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean eom = bool();
    final ExternalId floatingReferenceRateId = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "US0003M Index");
    final FloatingRateType floatingRateType = floatingRateType();
    return new FloatingInterestRateLeg(dayCount, frequency, regionIdentifier, businessDayConvention, notional, eom, floatingReferenceRateId, floatingRateType);
  }
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    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,
        payFloatingRateType, spread);
    final FloatingInterestRateLeg receiveLeg = new FloatingInterestRateLeg(receiveDayCount, receiveFrequency, receiveRegionIdentifier, receiveBusinessDayConvention, notional, false,
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      final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) receiveLeg;
      if (floatingLeg instanceof FloatingSpreadIRLeg) {
        return InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD;
      }
      final FloatingRateType floatingRateType = floatingLeg.getFloatingRateType();
      switch (floatingRateType) {
        case IBOR:
          return InterestRateInstrumentType.SWAP_FIXED_IBOR;
        case CMS:
          return InterestRateInstrumentType.SWAP_FIXED_CMS;
        case OIS:
          return InterestRateInstrumentType.SWAP_FIXED_OIS;
        default:
          throw new OpenGammaRuntimeException("Unsupported Floating rate type: " + floatingRateType);
      }
    } else if (payLeg instanceof FloatingInterestRateLeg && receiveLeg instanceof FixedInterestRateLeg) {
      final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) payLeg;

      if (floatingLeg instanceof FloatingSpreadIRLeg) {
        return InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD;
      }
      final FloatingRateType floatingRateType = floatingLeg.getFloatingRateType();
      switch (floatingRateType) {
        case IBOR:
          return InterestRateInstrumentType.SWAP_FIXED_IBOR;
        case CMS:
          return InterestRateInstrumentType.SWAP_FIXED_CMS;
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Related Classes of com.opengamma.financial.security.swap.FloatingRateType

  • com.opengamma.financial.analytics.conversion.SwapSecurityUtils
  • com.opengamma.financial.analytics.ircurve.FixedIncomeStripIdentifierAndMaturityBuilder
  • com.opengamma.integration.tool.portfolio.xml.v1_0.conversion.SwapTradeSecurityExtractor
  • com.opengamma.integration.viewer.status.impl.BloombergReferencePortfolioMaker
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