Examples of PeriodicInterestRate

Examples of com.opengamma.analytics.financial.interestrate.PeriodicInterestRate

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      s_act365.getDayCountFraction(baseDate, zdt(2013, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
      s_act365.getDayCountFraction(baseDate, zdt(2015, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
      s_act365.getDayCountFraction(baseDate, zdt(2018, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
    };

    final double ccRate = (new PeriodicInterestRate(0.09740867310916100000, 1)).toContinuous().getRate();
    final double[] rates = {
      ccRate, ccRate, ccRate, ccRate
    };

    return new ISDACurve("HAZARD_RATE_CURVE", times, rates, 0.0);
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Examples of com.opengamma.analytics.financial.interestrate.PeriodicInterestRate

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      s_act365.getDayCountFraction(baseDate, zdt(2038, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
      s_act365.getDayCountFraction(baseDate, zdt(2038, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
    };

    final double[] rates = {
        (new PeriodicInterestRate(0.00452115893602745000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.00965814197655757000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01256719569422680000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01808999617970230000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01966710100627830000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02112741666666660000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01809534760435110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01655763824251000000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01880609764411780000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02033274208031280000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02201082479582110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02329627269146610000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02457991990962620000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02564349380607000000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02664198869678810000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02747534265210970000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02822421752113560000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02887011718207980000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02947938315126190000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03001849170997110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03051723047721790000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03096814372457490000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03140378315953840000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03180665717369410000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03220470040815960000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03257895748982500000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03300576868204530000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03339934269742980000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03371439235915700000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03401013049588440000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03427957764613110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03453400145380310000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03476707646146720000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03498827591548650000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03504602653686710000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03510104623115760000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03515188034751750000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03519973661653090000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03524486925430900000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03528773208373260000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03532784361012300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03536647655059340000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03540272683370320000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03543754047166620000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03539936837313170000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03536201961264760000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03532774866571060000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03529393446018300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03526215518920560000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03523175393297300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03520264296319420000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03517444167763210000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03514783263597550000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03512186451200650000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03510945878934860000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03509733233582990000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03508585365890470000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03507449693456950000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03506379166273740000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03505346751846350000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03504350450444570000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03503383205190350000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03502458863645770000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03501550511625420000, 1)).toContinuous().getRate()
    };

    return new ISDACurve("IR_CURVE", times, rates, s_act365.getDayCountFraction(pricingDate, baseDate));
  }
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Examples of com.opengamma.analytics.financial.interestrate.PeriodicInterestRate

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    final Currency currency = security.getCurrency();
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime endDate = security.getMaturityDate();
    final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_ZERO_DEPOSIT"));
    final DayCount daycount = convention.getDayCount();
    final InterestRate rate = new PeriodicInterestRate(security.getRate(), (int) security.getCompoundingPeriodsPerYear());
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
    return DepositZeroDefinition.from(currency, startDate, endDate, daycount, rate, calendar);
  }
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