Package com.opengamma.util.time

Examples of com.opengamma.util.time.Tenor

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    final double spread = 0.001;
    marketValues.setDataPoint(marketDataId, spread);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    Tenor legTenor = Tenor.TEN_YEARS;
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), legTenor, SWAP_3M_IBOR_ID, LIBOR_1M_CMP_3M_ID, "Mapper");
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final Period paymentPeriod = Period.ofMonths(3);
    final Period compositionPeriod = Period.ofMonths(1);
    final IborIndex index3m = new IborIndex(Currency.USD, paymentPeriod, 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue()); // Not correct conventions. Only for testing.
    final IborIndex index1m = new IborIndex(Currency.USD, compositionPeriod, 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_1M_ID.getValue());
    AnnuityCouponIborDefinition payLeg = AnnuityCouponIborDefinition.from(settlementDate, legTenor.getPeriod(), 1, index3m, true, CALENDAR);
    final AnnuityDefinition<CouponIborCompoundingSpreadDefinition> receiveLeg = AnnuityDefinitionBuilder.annuityIborCompoundingSpreadFrom(settlementDate, settlementDate.plus(legTenor.getPeriod()), paymentPeriod, 1, spread,
        index1m, StubType.SHORT_START, false, MODIFIED_FOLLOWING, true, CALENDAR, StubType.SHORT_START);
    assertEquals("IborIborCompoundingSwap: first leg", payLeg, ((SwapDefinition)definition).getFirstLeg());
    for(int loopcpn=9; loopcpn<receiveLeg.getNumberOfPayments(); loopcpn++) {
      assertEquals("IborIborCompoundingSwap: first leg - cpn " + loopcpn, receiveLeg.getNthPayment(loopcpn), ((SwapDefinition)definition).getSecondLeg().getNthPayment(loopcpn));
    }
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  public void testFXForward() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.4;
    marketValues.setDataPoint(marketDataId, forward);
    final Tenor tenorFx = Tenor.ONE_YEAR;
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), tenorFx, FX_FORWARD_ID, Currency.USD, Currency.CAD, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, NOW);
    final InstrumentDefinition<?> definition = node.accept(converter);
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(NOW, FX_SPOT.getSettlementDays(), CALENDAR);
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(spotDate, tenorFx.getPeriod(), FX_FORWARD.getBusinessDayConvention(), CALENDAR, FX_FORWARD.isIsEOM());
    final PaymentFixedDefinition payment1 = new PaymentFixedDefinition(Currency.USD, payDate, 1);
    final PaymentFixedDefinition payment2 = new PaymentFixedDefinition(Currency.CAD, payDate, -forward);
    assertEquals(new ForexDefinition(payment1, payment2), definition);
  }
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      final String impliedDepositCurveName = _curveCalculationConfig + "_" + _currency.getCode();
      final List<InstrumentDerivative> derivatives = new ArrayList<>();

      for (final FixedIncomeStrip strip : _impliedDefinition.getStrips()) {
        final Tenor tenor = strip.getCurveNodePointTime();
        final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(spotDate, tenor.getPeriod(), MOD_FOL, calendar, true);
        final double startTime = TimeCalculator.getTimeBetween(now, spotDate);
        final double endTime = TimeCalculator.getTimeBetween(now, paymentDate);
        final double accrualFactor = dayCount.getDayCountFraction(now, now.plus(tenor.getPeriod()), calendar);
        final Cash cashFXCurve = new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, fullYieldCurveName);
        final double parRate = METHOD_CASH.parRate(cashFXCurve, curves);
        final Cash cashDepositCurve = new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, impliedDepositCurveName);
        derivatives.add(cashDepositCurve);
        t[i] = endTime;
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    });

    final SortedMap<Tenor, SortedMap<Tenor, Pair<double[], double[]>>> smiles = Maps.newTreeMap();
    final SortedMap<Tenor, SortedMap<Tenor, ExternalId[]>> smileIds = Maps.newTreeMap();
    final SortedMap<Tenor, SortedMap<Tenor, Double[]>> smileRelativeStrikes = Maps.newTreeMap();
    Tenor currentSwapTenor = null;
    Tenor currentOptionExpiry = null;
    ArrayList<Double> strikes = null;
    ArrayList<Double> vols = null;
    ArrayList<ExternalId> ids = null;
    ArrayList<Double> relativeStrikes = null;

    for (final Entry<VolatilityPoint, Double> entry : entries) {
      final Tenor swapTenor = entry.getKey().getSwapTenor();
      final Tenor optionExpiry = entry.getKey().getOptionExpiry();
      final boolean newSwapTenor = !swapTenor.equals(currentSwapTenor);
      final boolean newExpiry = !optionExpiry.equals(currentOptionExpiry);

      if (newSwapTenor) {
        if (!smiles.containsKey(swapTenor)) {
          smiles.put(swapTenor, new TreeMap<Tenor, Pair<double[], double[]>>());
          smileIds.put(swapTenor, new TreeMap<Tenor, ExternalId[]>());
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        return Double.compare(o1.getKey().getRelativeStrike(), o2.getKey().getRelativeStrike());
      }
    });

    final SortedMap<Tenor, SortedMap<Tenor, Pair<double[], double[]>>> ret = Maps.newTreeMap();
    Tenor currentSwapTenor = null;
    Tenor currentOptionExpiry = null;
    ArrayList<Double> strikes = null;
    ArrayList<Double> vols = null;

    for (final Entry<VolatilityPoint, Double> entry : entries) {
      final Tenor swapTenor = entry.getKey().getSwapTenor();
      final Tenor optionExpiry = entry.getKey().getOptionExpiry();
      final boolean newSwapTenor = !swapTenor.equals(currentSwapTenor);
      final boolean newExpiry = !optionExpiry.equals(currentOptionExpiry);

      if (newSwapTenor) {
        if (!ret.containsKey(swapTenor)) {
          ret.put(swapTenor, new TreeMap<Tenor, Pair<double[], double[]>>());
        }
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  }

  @Override
  public FixedIncomeStripWithSecurity buildObject(FudgeDeserializer deserializer, FudgeMsg message) {
    FixedIncomeStrip strip = deserializer.fieldValueToObject(FixedIncomeStrip.class, message.getByName(STRIP_NAME));
    Tenor resolvedTenor = deserializer.fieldValueToObject(Tenor.class, message.getByName(RESOLVED_TENOR_NAME));
    ZonedDateTimeFudgeBuilder zonedDateTimeBuilder = new ZonedDateTimeFudgeBuilder();
    ZonedDateTime maturity = zonedDateTimeBuilder.buildObject(deserializer, message.getMessage(MATURITY_NAME));
    ExternalId identifier = deserializer.fieldValueToObject(ExternalId.class, message.getByName(IDENTIFIER_NAME));
    Security security = (Security) deserializer.fieldValueToObject(message.getByName(SECURITY_NAME));
    return new FixedIncomeStripWithSecurity(strip, resolvedTenor, maturity, identifier, security);
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      return message;
    }

    @Override
    public CashNode buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final Tenor startTenor = Tenor.of(Period.parse(message.getString(START_TENOR_FIELD)));
      final Tenor maturityTenor = Tenor.of(Period.parse(message.getString(MATURITY_TENOR_FIELD)));
      final ExternalId conventionId = deserializer.fieldValueToObject(ExternalId.class, message.getByName(CONVENTION_ID_FIELD));
      final String curveNodeIdMapperName = message.getString(CURVE_MAPPER_ID_FIELD);
      if (message.hasField(NAME_FIELD)) {
        final String name = message.getString(NAME_FIELD);
        return new CashNode(startTenor, maturityTenor, conventionId, curveNodeIdMapperName, name);
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    @Override
    public ContinuouslyCompoundedRateNode buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String curveNodeIdMapperName = message.getString(CURVE_MAPPER_ID_FIELD);
      //TODO should just use Period string for these objects
      final Tenor tenor = deserializer.fieldValueToObject(Tenor.class, message.getByName(TENOR_FIELD));
      if (message.hasField(NAME_FIELD)) {
        final String name = message.getString(NAME_FIELD);
        return new ContinuouslyCompoundedRateNode(curveNodeIdMapperName, tenor, name);
      }
      return new ContinuouslyCompoundedRateNode(curveNodeIdMapperName, tenor);
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    }

    @Override
    public CreditSpreadNode buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String curveNodeIdMapperName = message.getString(CURVE_MAPPER_ID_FIELD);
      final Tenor tenor = deserializer.fieldValueToObject(Tenor.class, message.getByName(TENOR_FIELD));
      if (message.hasField(NAME_FIELD)) {
        final String name = message.getString(NAME_FIELD);
        return new CreditSpreadNode(curveNodeIdMapperName, tenor, name);
      }
      return new CreditSpreadNode(curveNodeIdMapperName, tenor);
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    }

    @Override
    public DeliverableSwapFutureNode buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final int futureNumber = message.getInt(FUTURE_NUMBER_FIELD);
      final Tenor startTenor = Tenor.of(Period.parse(message.getString(START_TENOR_FIELD)));
      final Tenor futureTenor = Tenor.of(Period.parse(message.getString(FUTURE_TENOR_FIELD)));
      final Tenor underlyingTenor = Tenor.of(Period.parse(message.getString(UNDERLYING_TENOR_FIELD)));
      final ExternalId futureConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(FUTURE_CONVENTION_FIELD));
      final ExternalId swapConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(UNDERLYING_CONVENTION_FIELD));
      final String curveNodeIdMapperName = message.getString(CURVE_MAPPER_ID_FIELD);
      if (message.hasField(NAME_FIELD)) {
        final String name = message.getString(NAME_FIELD);
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