Package com.opengamma.util.money

Examples of com.opengamma.util.money.Currency

40
41
42
43
44
45
46
47
48
49
50
    return message;
  }

  @Override
  public ForwardSwapCurveDefinition buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    final Currency target = deserializer.fieldValueToObject(Currency.class, message.getByName(TARGET_FIELD));
    final String name = message.getString(NAME_FIELD);
    final List<FudgeField> tenorFields = message.getAllByName(TENOR_FIELD);
    final List<Tenor> tenors = new ArrayList<Tenor>();
    for (final FudgeField tenorField : tenorFields) {
      final Tenor tenor = deserializer.fieldValueToObject(Tenor.class, tenorField);
View Full Code Here
53
54
55
56
57
58
59
60
61
62
63
  @Override
  public InterpolatedYieldCurveSpecification buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    final LocalDate curveDate = deserializer.fieldValueToObject(LocalDate.class, message.getByName(CURVE_DATE_FIELD));
    final String name = message.getString(NAME_FIELD);
    final Currency currency = deserializer.fieldValueToObject(Currency.class, message.getByName(CURRENCY_FIELD));
    final ExternalId region = deserializer.fieldValueToObject(ExternalId.class, message.getByName(REGION_FIELD));
    final Interpolator1D interpolator = deserializer.fieldValueToObject(Interpolator1D.class, message.getByName(INTERPOLATOR_FIELD));
    final List<FudgeField> resolvedStripFields = message.getAllByName(RESOLVED_STRIPS_FIELD);
    final List<FixedIncomeStripWithIdentifier> resolvedStrips = new ArrayList<FixedIncomeStripWithIdentifier>();
    for (final FudgeField resolvedStripField : resolvedStripFields) {
View Full Code Here
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
      }
      final String ccyPart = split[0];
      switch (ccyPart.length()) {
        case 3:
        {
          final Currency ccy = Currency.of(ccyPart);
          if (StandardCurrencyPairs.isSingleCurrencyNumerator(ccy)) {
            return Pair.of(ccy, Currency.USD);
          } else {
            return Pair.of(Currency.USD, ccy);
          }
        }
        case 6:
        {
          final Currency numerator = Currency.of(ccyPart.substring(0, 3));
          final Currency denominator = Currency.of(ccyPart.substring(3));
          return Pair.of(numerator, denominator);
        }
        default:
          throw new OpenGammaRuntimeException("currency part of ticker did not have 3 or 6 characters" + ticker);
      }
View Full Code Here
60
61
62
63
64
65
66
67
68
      return msg;
    }

    @Override
    public InterestRateNotional buildObject(FudgeDeserializer deserializer, FudgeMsg msg) {
      Currency currency = msg.getValue(Currency.class, CURRENCY_FIELD_NAME);
      double amount = msg.getDouble(AMOUNT_FIELD_NAME);
      return new InterestRateNotional(currency, amount);
    }
View Full Code Here
57
58
59
60
61
62
63
64
65
66
67
  }

  @Override
  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());
View Full Code Here
40
41
42
43
44
45
46
47
48
49
50
    return message;
  }

  @Override
  public SyntheticIdentifierCurveInstrumentProvider buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    final Currency ccy = Currency.of(message.getString(CURRENCY_FIELD));
    final StripInstrumentType stripType = StripInstrumentType.valueOf(message.getString(STRIP_TYPE_FIELD));
    final ExternalScheme scheme = ExternalScheme.of(message.getString(SCHEME_FIELD));
    if (message.hasField(DATA_FIELD) && message.hasField(TYPE_FIELD)) {
      final String dataField = message.getString(DATA_FIELD);
      final DataFieldType fieldType = DataFieldType.valueOf(message.getString(TYPE_FIELD));
View Full Code Here
67
68
69
70
71
72
73
74
75
76
77
    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(),
        longIdentifier,
View Full Code Here
159
160
161
162
163
164
165
166
167
168
169
170
171
172
  private static class MatrixImpl extends AbstractCurrencyMatrix {

    private void loadFixed(final FudgeMsg message) {
      final Map<Pair<Currency, Currency>, CurrencyMatrixValue> values = new HashMap<Pair<Currency, Currency>, CurrencyMatrixValue>();
      for (final FudgeField field : message) {
        final Currency source = Currency.of(field.getName());
        final FudgeMsg message2 = message.getFieldValue(FudgeMsg.class, field);
        for (final FudgeField field2 : message2) {
          final Currency target = Currency.of(field2.getName());
          if (field2.getValue() instanceof Double) {
            final CurrencyMatrixValue value = CurrencyMatrixValue.of((Double) field2.getValue());
            values.put(Pair.of(source, target), value);
            values.put(Pair.of(target, source), value.getReciprocal());
          } else {
View Full Code Here
181
182
183
184
185
186
187
188
189
190
191
192
193
    }

    private void loadReq(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final Map<Pair<Currency, Currency>, CurrencyMatrixValue> values = new HashMap<Pair<Currency, Currency>, CurrencyMatrixValue>();
      for (final FudgeField field : message) {
        final Currency source = Currency.of(field.getName());
        for (final FudgeField field2 : message.getFieldValue(FudgeMsg.class, field)) {
          final Currency target = Currency.of(field2.getName());
          if (field2.getValue() instanceof FudgeMsg) {
            final CurrencyMatrixValue value = deserializer.fieldValueToObject(CurrencyMatrixValueRequirement.class, field2);
            values.put(Pair.of(source, target), value);
            values.put(Pair.of(target, source), value.getReciprocal());
          } else {
View Full Code Here
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
    private void loadCross(final FudgeMsg message) {
      final Map<Pair<Currency, Currency>, CurrencyMatrixValue> values = new HashMap<Pair<Currency, Currency>, CurrencyMatrixValue>();
      for (final FudgeField field : message) {
        final CurrencyMatrixValue cross = CurrencyMatrixValue.of(Currency.of(field.getName()));
        for (final FudgeField field2 : (FudgeMsg) field.getValue()) {
          final Currency source = Currency.of(field2.getName());
          if (field2.getValue() instanceof FudgeMsg) {
            final Currency target = Currency.of(((FudgeMsg) field2.getValue()).iterator().next().getName());
            values.put(Pair.of(source, target), cross);
          } else {
            final Currency target = Currency.of((String) field2.getValue());
            values.put(Pair.of(source, target), cross);
            values.put(Pair.of(target, source), cross);
          }
        }
        for (final Map.Entry<Pair<Currency, Currency>, CurrencyMatrixValue> valueEntry : values.entrySet()) {
View Full Code Here
TOP

Related Classes of com.opengamma.util.money.Currency

  • com.opengamma.analytics.financial.calculator.PortfolioHedgingCalculator
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.provider.ForexDiscountingMethod
  • com.opengamma.analytics.financial.forex.provider.ForexForwardPointsMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.provider.ForexSwapDiscountingMethod
  • com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculator
  • com.opengamma.analytics.financial.interestrate.bond.provider.BillTransactionDiscountingMethod
    • 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.