Package com.opengamma.analytics.financial.instrument.index

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

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    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      fixedLegDayCount = fixedCompoundedON.getFixedLegDayCount();
    } else {
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    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      fixedLegDayCount = fixedCompoundedON.getFixedLegDayCount();
    } else {
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    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
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    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
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   * @return The annuity.
   */
  public static SwapFixedONSimplifiedDefinition from(final ZonedDateTime settlementDate, final Period tenorAnnuity, final Period tenorCoupon, final double notional, final IndexON index,
      final double fixedRate, final boolean isPayer, final int settlementDays, final BusinessDayConvention businessDayConvention, final DayCount dayCount, final boolean isEOM,
      final Calendar calendar) {
    final GeneratorSwapFixedON generator = new GeneratorSwapFixedON("OIS Generator", index, tenorCoupon, dayCount, businessDayConvention, isEOM, settlementDays,
        calendar);
    final AnnuityCouponONSimplifiedDefinition oisLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, tenorAnnuity, notional, generator, !isPayer);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notional;
    return from(oisLeg, notionalSigned, fixedRate, generator.getOvernightCalendar());
  }
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   * @return The annuity.
   */
  public static SwapFixedONSimplifiedDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime maturityDate, final Period frequency, final double notional, final IndexON index,
      final double fixedRate, final boolean isPayer, final int settlementDays, final BusinessDayConvention businessDayConvention, final DayCount dayCount, final boolean isEOM,
      final Calendar calendar) {
    final GeneratorSwapFixedON generator = new GeneratorSwapFixedON("OIS Generator", index, frequency, dayCount, businessDayConvention, isEOM, settlementDays, calendar);
    final AnnuityCouponONSimplifiedDefinition oisLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, maturityDate, notional, generator, !isPayer);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notional;
    return from(oisLeg, notionalSigned, fixedRate, calendar);
  }
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    if (publicationLag == null) {
      throw new OpenGammaRuntimeException("Could not get ON Index publication lag for " + indexConvention.getIdentifiers());
    }
    final Period paymentFrequency = getTenor(floatLeg.getFrequency());
    final IndexON index = new IndexON(floatLeg.getFloatingReferenceRateId().getValue(), 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();
    if (forCurve) {
      return SwapFixedONSimplifiedDefinition.from(effectiveDate, maturityDate, notionalFixed, notionalOIS, generator, fixedLeg.getRate(), payFixed);
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    assertFalse(DEFINITION.equals(definition));
    definition = AnnuityCouponONSimplifiedDefinition.from(SETTLEMENT_DATE, MATURITY_DATE.plusDays(1), NOTIONAL, GENERATOR, IS_PAYER);
    assertFalse(DEFINITION.equals(definition));
    definition = AnnuityCouponONSimplifiedDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL / 2, GENERATOR, IS_PAYER);
    assertFalse(DEFINITION.equals(definition));
    definition = AnnuityCouponONSimplifiedDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, new GeneratorSwapFixedON("OIS", INDEX, PAYMENT_PERIOD, DAY_COUNT, BUSINESS_DAY, IS_EOM, 0, CALENDAR),
        IS_PAYER);
    assertFalse(DEFINITION.equals(definition));
    definition = AnnuityCouponONSimplifiedDefinition.from(SETTLEMENT_DATE, MATURITY_DATE, NOTIONAL, GENERATOR, !IS_PAYER);
    assertFalse(DEFINITION.equals(definition));
  }
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    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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        final boolean isEOM = fixedLeg.isEom();
        final int spotLag = 0; //TODO
        if (FinancialSecurityUtils.getCurrency(underlyingSecurity).getCode().equals("BRL")) {
          return new GeneratorSwapFixedCompoundedONCompounded("Swap Generator", onIndex, fixedLegDayCount, businessDayConvention, isEOM, spotLag, calendar);
        }
        return new GeneratorSwapFixedON("Swap Generator", onIndex, fixedLegPeriod, fixedLegDayCount, businessDayConvention, isEOM, spotLag, calendar);
      }
      default:
        throw new OpenGammaRuntimeException("Cannot handle floating leg type " + floatLeg.getFloatingRateType());
    }
  }
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Related Classes of com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedON

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponONDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponONSimplifiedDefinitionTest
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  • com.opengamma.financial.analytics.conversion.SwapSecurityConverter
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated
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