Package com.opengamma.financial.security.swap

Examples of com.opengamma.financial.security.swap.InterestRateNotional$Meta

809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
      floatingRateId = floatingLegConvention.getSwapFloatingLegInitialRate();
      if (floatingRateId == null) {
        throw new OpenGammaRuntimeException("Could not get floating rate id from convention");
      }
      iborLeg = new FloatingInterestRateLeg(floatingLegConvention.getSwapFloatingLegDayCount(), floatingLegConvention.getSwapFloatingLegFrequency(),
          floatingLegConvention.getSwapFloatingLegRegion(), floatingLegConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingRateId,
          FloatingRateType.IBOR);
    } else {
      final ConventionBundle underlyingConvention = _conventionBundleSource.getConventionBundle(underlyingId);
      if (underlyingConvention == null || underlyingConvention.getIdentifiers().size() != 1) {
        s_logger.info("Could not get unique convention for underlying from {}; trying tenor-based convention", strip);
        ConventionBundle floatingLegConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
            spec.getCurrency().getCode() + "_" + months + "M_SWAP"));
        if (floatingLegConvention == null) {
          floatingLegConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
              spec.getCurrency().getCode() + "_" + months + "_SWAP"));
          if (floatingLegConvention == null) {
            throw new OpenGammaRuntimeException("Could not get floating leg convention for swap strip " + strip);
          }
        }
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, floatingLegConvention.getSwapFloatingLegRegion());
        floatingRateId = floatingLegConvention.getSwapFloatingLegInitialRate();
        if (floatingRateId == null) {
          throw new OpenGammaRuntimeException("Could not get floating rate id from convention");
        }
        iborLeg = new FloatingInterestRateLeg(floatingLegConvention.getSwapFloatingLegDayCount(), floatingLegConvention.getSwapFloatingLegFrequency(),
            floatingLegConvention.getSwapFloatingLegRegion(), floatingLegConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingRateId,
            FloatingRateType.IBOR);
      } else {
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, underlyingConvention.getRegion());
        final ExternalId underlyingTicker = Iterables.getOnlyElement(underlyingConvention.getIdentifiers());
        iborLeg = new FloatingInterestRateLeg(underlyingConvention.getDayCount(), PeriodFrequency.of(underlyingConvention.getPeriod()),
            underlyingConvention.getRegion(), underlyingConvention.getBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, underlyingTicker,
            FloatingRateType.IBOR);
      }
    }
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, fixedLegConvention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(fixedLegConvention.getSwapFixedLegDayCount(), fixedLegConvention.getSwapFixedLegFrequency(),
        fixedLegConvention.getSwapFixedLegRegion(), fixedLegConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
861
862
863
864
865
866
867
868
869
870
871
872
873
    final ConventionBundle convention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "BRL_DI_SWAP"));
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getSwapFloatingLegRegion());
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, convention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(convention.getSwapFixedLegDayCount(), convention.getSwapFixedLegFrequency(),
        convention.getSwapFixedLegRegion(), convention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final FloatingInterestRateLeg iborLeg = new FloatingInterestRateLeg(convention.getSwapFloatingLegDayCount(), convention.getSwapFloatingLegFrequency(),
        convention.getSwapFloatingLegRegion(), convention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, convention.getSwapFloatingLegInitialRate(),
        FloatingRateType.OIS); //convention type is wrong but it's ignored in the converter anyway.
    final String counterparty = "";
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
View Full Code Here
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
      floatingRateId = floatingLegConvention.getSwapFloatingLegInitialRate();
      if (floatingRateId == null) {
        throw new OpenGammaRuntimeException("Could not get floating rate id from convention");
      }
      iborLeg = new FloatingInterestRateLeg(floatingLegConvention.getSwapFloatingLegDayCount(), floatingLegConvention.getSwapFloatingLegFrequency(),
          floatingLegConvention.getSwapFloatingLegRegion(), floatingLegConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingRateId,
          FloatingRateType.IBOR);
    } else {
      final ConventionBundle underlyingConvention = _conventionBundleSource.getConventionBundle(underlyingId);
      if (underlyingConvention == null || underlyingConvention.getIdentifiers().size() != 1) {
        s_logger.info("Could not get unique convention for underlying from {}; trying tenor-based convention", strip);
        final ConventionBundle floatingLegConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
            spec.getCurrency().getCode() + "_28D_SWAP"));
        if (floatingLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get floating leg convention for swap strip " + strip);
        }
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, floatingLegConvention.getSwapFloatingLegRegion());
        floatingRateId = floatingLegConvention.getSwapFloatingLegInitialRate();
        if (floatingRateId == null) {
          throw new OpenGammaRuntimeException("Could not get floating rate id from convention");
        }
        iborLeg = new FloatingInterestRateLeg(floatingLegConvention.getSwapFloatingLegDayCount(), floatingLegConvention.getSwapFloatingLegFrequency(),
            floatingLegConvention.getSwapFloatingLegRegion(), floatingLegConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingRateId,
            FloatingRateType.IBOR);
      } else {
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, underlyingConvention.getRegion());
        final ExternalId underlyingTicker = Iterables.getOnlyElement(underlyingConvention.getIdentifiers());
        iborLeg = new FloatingInterestRateLeg(underlyingConvention.getDayCount(), PeriodFrequency.of(underlyingConvention.getPeriod()),
            underlyingConvention.getRegion(), underlyingConvention.getBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, underlyingTicker,
            FloatingRateType.IBOR);
      }
    }
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, fixedLegConvention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(fixedLegConvention.getSwapFixedLegDayCount(), fixedLegConvention.getSwapFixedLegFrequency(),
        fixedLegConvention.getSwapFixedLegRegion(), fixedLegConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
954
955
956
957
958
959
960
961
962
963
964
    final ConventionBundle receiveConvention = _conventionBundleSource.getConventionBundle(receiveFloatingReferenceRateId);
    final Calendar payCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, payConvention.getRegion());
    final ZonedDateTime paySpotDate = ScheduleCalculator.getAdjustedDate(curveDate, payConvention.getSettlementDays(), payCalendar);
    final ZonedDateTime payMaturityDate = paySpotDate.plus(strip.getMaturity().getPeriod());
    final String counterparty = "";
    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());
View Full Code Here
997
998
999
1000
1001
1002
1003
1004
1005
1006
1007
1008
    }
    final double spread = rate;
    // REVIEW: jim 25-Aug-2010 -- we need to change the swap to take settlement days.

    final SwapSecurity swap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, counterparty, new FloatingInterestRateLeg(convention.getBasisSwapPayFloatingLegDayCount(),
        convention.getBasisSwapPayFloatingLegFrequency(), convention.getBasisSwapPayFloatingLegRegion(), convention.getBasisSwapPayFloatingLegBusinessDayConvention(), new InterestRateNotional(
            spec.getCurrency(), 1), false, payLegFloatRateBloombergTicker, FloatingRateType.IBOR), new FloatingSpreadIRLeg(convention.getBasisSwapReceiveFloatingLegDayCount(),
                convention.getBasisSwapReceiveFloatingLegFrequency(), convention.getBasisSwapReceiveFloatingLegRegion(), convention.getBasisSwapReceiveFloatingLegBusinessDayConvention(),
                new InterestRateNotional(spec.getCurrency(), 1), false, receiveLegFloatRateBloombergTicker, FloatingRateType.IBOR, spread));
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
1042
1043
1044
1045
1046
1047
1048
1049
1050
1051
1052
1053
1054
      if (floatingReferenceRateId == null) {
        throw new OpenGammaRuntimeException("Could not get floating reference rate from convention");
      }
    }
    final FloatingInterestRateLeg oisLeg = new FloatingInterestRateLeg(swapConvention.getSwapFloatingLegDayCount(), floatingFrequency,
        swapConvention.getSwapFloatingLegRegion(), swapConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingReferenceRateId,
        FloatingRateType.OIS);
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(), swapConvention.getSwapFixedLegFrequency(), swapConvention.getSwapFixedLegRegion(),
        swapConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, oisLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
    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();
    final InterestRateNotional notional = security.getNotional();
    final Currency currency = notional.getCurrency();
    final DebtSeniority debtSeniority = security.getDebtSeniority();
    final RestructuringClause restructuringClause = security.getRestructuringClause();
    final double amount = notional.getAmount();
    final boolean includeAccruedPremium = security.isIncludeAccruedPremium();
    final boolean protectionStart = security.isProtectionStart();
    final double quotedSpread = security.getQuotedSpread();
    final StandardCDSCoupon premiumLegCoupon = getCoupon(security.getCoupon());
    final double upFrontAmount = security.getUpfrontAmount().getAmount();
View Full Code Here
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
    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();
    final InterestRateNotional notional = security.getNotional();
    final Currency currency = notional.getCurrency();
    final DebtSeniority debtSeniority = security.getDebtSeniority();
    final RestructuringClause restructuringClause = security.getRestructuringClause();
    final double amount = notional.getAmount();
    final boolean includeAccruedPremium = security.isIncludeAccruedPremium();
    final boolean protectionStart = security.isProtectionStart();
    final StubType stubType = security.getStubType().toAnalyticsType();
    final double parSpread = security.getParSpread();
    final com.opengamma.analytics.financial.credit.obligor.definition.Obligor protectionBuyer = getObligorForProtectionBuyer(security.getProtectionBuyer());
View Full Code Here
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
    String counterparty = "CParty";
    SwapLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(),
        swapConvention.getSwapFixedLegFrequency(),
        swapConvention.getSwapFixedLegRegion(),
        swapConvention.getSwapFixedLegBusinessDayConvention(),
        new InterestRateNotional(ccy, notional),
        false, fixedRate);
    FloatingInterestRateLeg floatingLeg = new FloatingInterestRateLeg(swapConvention.getSwapFloatingLegDayCount(),
        swapConvention.getSwapFloatingLegFrequency(),
        swapConvention.getSwapFloatingLegRegion(),
        swapConvention.getSwapFloatingLegBusinessDayConvention(),
        new InterestRateNotional(ccy, notional),
        false, tsIdentifier,
        FloatingRateType.IBOR);
    floatingLeg.setInitialFloatingRate(initialRate);
    String fixedLegDescription = RATE_FORMATTER.format(fixedRate);
    String floatingLegDescription = swapConvention.getSwapFloatingLegInitialRate().getValue();
View Full Code Here
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
    final SwapLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(),
      swapConvention.getSwapFixedLegFrequency(),
      swapConvention.getSwapFixedLegRegion(),
      swapConvention.getSwapFixedLegBusinessDayConvention(),
      new InterestRateNotional(ccy, notional),
      false, fixedRate);

    final FloatingInterestRateLeg floatingLeg = new FloatingInterestRateLeg(swapConvention.getSwapFloatingLegDayCount(),
      swapConvention.getSwapFloatingLegFrequency(),
      swapConvention.getSwapFloatingLegRegion(),
      swapConvention.getSwapFloatingLegBusinessDayConvention(),
      new InterestRateNotional(ccy, notional),
      false, ExternalId.of(liborIdentifier.getScheme().toString(), liborIdentifier.getValue()),
      FloatingRateType.IBOR);
    // look up the value on our chosen trade date
    final Double initialRate = getInitialRate(tradeDate, liborIdentifier);
    floatingLeg.setInitialFloatingRate(initialRate);
View Full Code Here
TOP

Related Classes of com.opengamma.financial.security.swap.InterestRateNotional$Meta

  • com.opengamma.examples.bloomberg.loader.ExampleEURFixedIncomePortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleMixedCMCapFloorPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleMultiCurrencySwapPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleSwaptionPortfolioLoader
  • com.opengamma.examples.simulated.generator.EURFixedIncomePortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.SwaptionParityPortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.SwaptionPortfolioGeneratorTool
  • com.opengamma.examples.simulated.loader.ExampleMultiAssetPortfolioLoader
  • com.opengamma.financial.aggregation.CdsRedCodeAggregationFunctionTest
  • com.opengamma.financial.aggregation.CdsSeniorityAggregationFunctionTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.