Examples of IndexON

com.opengamma.analytics.financial.instrument.index.IndexON
Class describing an OIS-like index. The fixing period is always one business day.

Examples of com.opengamma.analytics.financial.instrument.index.IndexON

              }
              if (!(convention instanceof OvernightIndexConvention)) {
                throw new OpenGammaRuntimeException("Expecting convention of type OvernightIndexConvention; have " + convention.getClass());
              }
              final OvernightIndexConvention overnightConvention = (OvernightIndexConvention) convention;
              overnightIndex.add(new IndexON(overnightConvention.getName(), overnightConvention.getCurrency(), overnightConvention.getDayCount(), overnightConvention.getPublicationLag()));
            } else {
              throw new OpenGammaRuntimeException("Cannot handle " + type.getClass());
            }
          } // type - end
          if (!iborIndex.isEmpty()) {

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Examples of com.opengamma.analytics.financial.instrument.index.IndexON

      throw new OpenGammaRuntimeException("Underlying convention was null");
    }
    final Currency currency = indexConvention.getCurrency();
    final DayCount dayCount = indexConvention.getDayCount();
    final int publicationLag = indexConvention.getPublicationLag();
    final IndexON index = new IndexON(indexConvention.getName(), currency, dayCount, publicationLag);
    final double paymentAccrualFactor = 1 / 12.;
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();

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Examples of com.opengamma.analytics.financial.instrument.index.IndexON

    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final String currencyString = currency.getCode();
    final Integer publicationLag = indexConvention.getPublicationLag();
    final Period paymentFrequency = getTenor(floatLeg.getFrequency());
    final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
    final GeneratorSwapFixedON generator = new GeneratorSwapFixedON(currencyString + "_OIS_Convention", index, paymentFrequency, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(),
        fixedLeg.isEom(), 0, 1 - publicationLag, calendar); // TODO: The payment lag is not available at the security level!
    final double notionalFixed = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double notionalOIS = ((InterestRateNotional) floatLeg.getNotional()).getAmount();
    return SwapFixedONDefinition.from(effectiveDate, maturityDate, notionalFixed, notionalOIS, generator, fixedLeg.getRate(), payFixed);

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Examples of com.opengamma.analytics.financial.instrument.index.IndexON

          throw new OpenGammaRuntimeException("Could not get OIS index convention with the identifier " + oisConvention.getOvernightIndexConvention());
        }
        final String currencyString = currency.getCode();
        final Integer publicationLag = indexConvention.getPublicationLag();
        final Period paymentFrequency = getTenor(swapLeg.getFrequency());
        final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final int paymentLag = oisConvention.getPaymentLag();
        final boolean isEOM = oisConvention.isIsEOM();
        final Calendar indexCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          final FloatingSpreadIRLeg spread = (FloatingSpreadIRLeg) swapLeg;
          return AnnuityCouponONSpreadDefinition.from(effectiveDate, maturityDate, notional, isPayer, index, paymentLag, indexCalendar, businessDayConvention, paymentFrequency, isEOM,
              spread.getSpread());
        }
        return AnnuityCouponONDefinition.from(effectiveDate, maturityDate, notional, isPayer, index, paymentLag, indexCalendar, businessDayConvention, paymentFrequency, isEOM);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getCMSAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency, final Calendar calendar) {
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          throw new OpenGammaRuntimeException("Cannot create an annuity for a CMS leg with a spread");
        }
        final String tenorString = getTenorString(swapLeg.getFrequency());
        final String iborLegConventionName = getConventionName(currency, tenorString, IRS_IBOR_LEG);
        final VanillaIborLegConvention iborLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class,
            ExternalId.of(SCHEME_NAME, getConventionName(currency, tenorString, IRS_IBOR_LEG)));
        if (iborLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor leg convention with the identifier " + ExternalId.of(SCHEME_NAME, iborLegConventionName));
        }
        final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, iborLegConvention.getIborIndexConvention());
        final String swapIndexConventionName = getConventionName(currency, tenorString, SWAP_INDEX);
        final SwapIndexConvention swapIndexConvention = _conventionSource.getConvention(SwapIndexConvention.class, ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        if (swapIndexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap index convention with the identifier " + ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        }
        final SwapConvention underlyingSwapConvention = _conventionSource.getConvention(SwapConvention.class, swapIndexConvention.getSwapConvention());
        if (underlyingSwapConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap convention with the identifier " + swapIndexConvention.getSwapConvention());
        }
        final SwapFixedLegConvention payLegConvention = _conventionSource.getConvention(SwapFixedLegConvention.class, underlyingSwapConvention.getPayLegConvention());
        if (payLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getPayLegConvention());
        }
        final VanillaIborLegConvention receiveLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class, underlyingSwapConvention.getReceiveLegConvention());
        if (receiveLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getReceiveLegConvention());
        }
        final Frequency freqIbor = swapLeg.getFrequency();
        final Period tenorIbor = getTenor(freqIbor);
        final int spotLag = iborIndexConvention.getSettlementDays();
        final DayCount dayCount = swapLeg.getDayCount();
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(), iborIndexConvention.getBusinessDayConvention(),
            iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
        final Period fixedLegPaymentPeriod = payLegConvention.getPaymentTenor().getPeriod();
        final DayCount fixedLegDayCount = payLegConvention.getDayCount();
        final Period period = Period.ofYears(10); // TODO why is a variable field like this in IndexSwap? It's only used in one place in the entire analytics library.
        final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, fixedLegDayCount, iborIndex, period, calendar);
        return AnnuityCouponCMSDefinition.from(effectiveDate, maturityDate, notional, swapIndex, tenorIbor, dayCount, isPayer, calendar);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getOvernightAAverageAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency) {
        final String oisConventionName = getConventionName(currency, OIS_ON_LEG);
        final OISLegConvention oisConvention = _conventionSource.getConvention(OISLegConvention.class, ExternalId.of(SCHEME_NAME, oisConventionName));
        if (oisConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS leg convention with the identifier " + ExternalId.of(SCHEME_NAME, oisConventionName));
        }
        final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, oisConvention.getOvernightIndexConvention());
        if (indexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS index convention with the identifier " + oisConvention.getOvernightIndexConvention());
        }
        final String currencyString = currency.getCode();
        final Integer publicationLag = indexConvention.getPublicationLag();
        final Period paymentFrequency = getTenor(swapLeg.getFrequency());
        final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final int paymentLag = oisConvention.getPaymentLag();
        final boolean isEOM = oisConvention.isIsEOM();
        final Calendar indexCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());

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Examples of com.opengamma.analytics.financial.instrument.index.IndexON

          throw new OpenGammaRuntimeException("Can only handle PeriodFrequency or SimpleFrequency");
        }
        return new GeneratorSwapFixedIbor("Swap Generator", fixedLegPeriod, fixedLegDayCount, iborIndex, calendar);
      }
      case OIS: {
        IndexON onIndex;
        Calendar calendar;
        if (swap.getFirstLeg() instanceof AnnuityCouponONDefinition) {
          final AnnuityCouponONDefinition annuityCouponONDefinition = (AnnuityCouponONDefinition) swap.getFirstLeg();
          onIndex = annuityCouponONDefinition.getOvernightIndex();
          calendar = annuityCouponONDefinition.getCalendar();

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