Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ConventionBundle

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    final ExternalId swapIdentifier = strip.getSecurity();
    final Double rate = marketValues.getDataPoint(swapIdentifier);
    if (rate == null) {
      throw new OpenGammaRuntimeException("No market data for " + swapIdentifier);
    }
    final ConventionBundle fixedLegConvention =
        _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, spec.getCurrency().getCode() + "_28D_SWAP"));
    if (fixedLegConvention == null) {
      throw new OpenGammaRuntimeException("Could not get fixed leg convention for " + swapIdentifier);
    }
    final ZonedDateTime curveDate = spec.getCurveDate().atStartOfDay(ZoneOffset.UTC);
    final String counterparty = "";
    Calendar calendar;
    ExternalId floatingRateId;
    FloatingInterestRateLeg iborLeg;
    final ExternalId underlyingId = getUnderlyingId(spec, strip);
    if (underlyingId == null) {
      s_logger.info("Could not get convention for underlying from {}; trying tenor-based convention", strip);
      final ExternalId id = ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, spec.getCurrency().getCode() + "_28D_SWAP");
      final ConventionBundle floatingLegConvention = _conventionBundleSource.getConventionBundle(id);
      if (floatingLegConvention == null) {
        throw new OpenGammaRuntimeException("Could not get floating leg convention for swap strip " + strip);
      }
      calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, floatingLegConvention.getSwapFloatingLegRegion());
      floatingRateId = floatingLegConvention.getSwapFloatingLegInitialRate();
      if (floatingRateId == null) {
        throw new OpenGammaRuntimeException("Could not get floating rate id from convention");
      }
      iborLeg = new FloatingInterestRateLeg(floatingLegConvention.getSwapFloatingLegDayCount(), floatingLegConvention.getSwapFloatingLegFrequency(),
          floatingLegConvention.getSwapFloatingLegRegion(), floatingLegConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingRateId,
          FloatingRateType.IBOR);
    } else {
      final ConventionBundle underlyingConvention = _conventionBundleSource.getConventionBundle(underlyingId);
      if (underlyingConvention == null || underlyingConvention.getIdentifiers().size() != 1) {
        s_logger.info("Could not get unique convention for underlying from {}; trying tenor-based convention", strip);
        final ConventionBundle floatingLegConvention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
            spec.getCurrency().getCode() + "_28D_SWAP"));
        if (floatingLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get floating leg convention for swap strip " + strip);
        }
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, floatingLegConvention.getSwapFloatingLegRegion());
        floatingRateId = floatingLegConvention.getSwapFloatingLegInitialRate();
        if (floatingRateId == null) {
          throw new OpenGammaRuntimeException("Could not get floating rate id from convention");
        }
        iborLeg = new FloatingInterestRateLeg(floatingLegConvention.getSwapFloatingLegDayCount(), floatingLegConvention.getSwapFloatingLegFrequency(),
            floatingLegConvention.getSwapFloatingLegRegion(), floatingLegConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingRateId,
            FloatingRateType.IBOR);
      } else {
        calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, underlyingConvention.getRegion());
        final ExternalId underlyingTicker = Iterables.getOnlyElement(underlyingConvention.getIdentifiers());
        iborLeg = new FloatingInterestRateLeg(underlyingConvention.getDayCount(), PeriodFrequency.of(underlyingConvention.getPeriod()),
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    final IndexType receiveIndexType = fixedIncomeStrip.getReceiveIndexType();
    final Tenor receiveTenor = fixedIncomeStrip.getReceiveTenor();
    final String ccy = spec.getCurrency().getCode();
    final ExternalId payFloatingReferenceRateId = ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, payIndexType + "_" + ccy + "_" + payTenor.getPeriod().toString());
    final ExternalId receiveFloatingReferenceRateId = ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, receiveIndexType + "_" + ccy + "_" + receiveTenor.getPeriod().toString());
    final ConventionBundle payConvention = _conventionBundleSource.getConventionBundle(payFloatingReferenceRateId);
    final ConventionBundle receiveConvention = _conventionBundleSource.getConventionBundle(receiveFloatingReferenceRateId);
    final Calendar payCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, payConvention.getRegion());
    final ZonedDateTime paySpotDate = ScheduleCalculator.getAdjustedDate(curveDate, payConvention.getSettlementDays(), payCalendar);
    final ZonedDateTime payMaturityDate = paySpotDate.plus(strip.getMaturity().getPeriod());
    final String counterparty = "";
    final InterestRateNotional notional = new InterestRateNotional(spec.getCurrency(), 1);
    final ExternalId payRegionIdentifier = payConvention.getRegion();
    final DayCount payDayCount = payConvention.getDayCount();
    final Frequency payFrequency = PeriodFrequency.of(fixedIncomeStrip.getPayTenor().getPeriod());
    final BusinessDayConvention payBusinessDayConvention = payConvention.getBusinessDayConvention();
    final FloatingRateType payFloatingRateType = getFloatingTypeFromIndexType(fixedIncomeStrip.getPayIndexType());
    final ExternalId receiveRegionIdentifier = receiveConvention.getRegion();
    final DayCount receiveDayCount = receiveConvention.getDayCount();
    final Frequency receiveFrequency = PeriodFrequency.of(fixedIncomeStrip.getReceiveTenor().getPeriod());
    final BusinessDayConvention receiveBusinessDayConvention = receiveConvention.getBusinessDayConvention();
    final FloatingRateType receiveFloatingRateType = getFloatingTypeFromIndexType(fixedIncomeStrip.getReceiveIndexType());
    final double spread = marketValues.getDataPoint(swapIdentifier);
    // Implementation note: By convention the spread is on the first leg (shorter tenor)
    final FloatingSpreadIRLeg payLeg = new FloatingSpreadIRLeg(payDayCount, payFrequency, payRegionIdentifier, payBusinessDayConvention, notional, false, payFloatingReferenceRateId,
        payFloatingRateType, spread);
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  @Override
  public ForwardRateAgreementDefinition visitFRASecurity(final FRASecurity security) {
    ArgumentChecker.notNull(security, "security");
    final Currency currency = security.getCurrency();
    final ConventionBundle fraConvention = _conventionSource.getConventionBundle(security.getUnderlyingId());
    if (fraConvention == null) {
      throw new OpenGammaRuntimeException("Could not get convention for " + security.getUnderlyingId());
    }
    final ZonedDateTime accrualStartDate = security.getStartDate();
    final ZonedDateTime accrualEndDate = security.getEndDate();
    final double notional = security.getAmount();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, ExternalSchemes.currencyRegionId(currency)); //TODO exchange region?
    final IborIndex iborIndex = new IborIndex(currency, fraConvention.getPeriod(), fraConvention.getSettlementDays(), fraConvention.getDayCount(), fraConvention.getBusinessDayConvention(),
        fraConvention.isEOMConvention());
    return ForwardRateAgreementDefinition.from(accrualStartDate, accrualEndDate, notional, iborIndex, security.getRate(), calendar);
  }
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  @Override
  public InstrumentDefinition<?> visitCorporateBondSecurity(final CorporateBondSecurity security) {
    final String domicile = security.getIssuerDomicile();
    ArgumentChecker.notNull(domicile, "bond security domicile cannot be null");
    final String conventionName = domicile + "_CORPORATE_BOND_CONVENTION";
    final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
    if (convention == null) {
      throw new OpenGammaRuntimeException("No corporate bond convention found for domicile " + domicile);
    }
    return visitBondSecurity(security, convention, conventionName);
  }
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    final String domicile = security.getIssuerDomicile();
    if (domicile == null) {
      throw new OpenGammaRuntimeException("bond security domicile cannot be null");
    }
    final String conventionName = domicile + "_TREASURY_BOND_CONVENTION";
    final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
    if (convention == null) {
      throw new OpenGammaRuntimeException("Convention called " + conventionName + " was null");
    }
    return visitBondSecurity(security, convention, conventionName);
  }
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    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final ConventionBundle indexConvention = _conventionSource.getConventionBundle(floatLeg.getFloatingReferenceRateId());
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (indexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get OIS index convention for " + currency + " using " + floatLeg.getFloatingReferenceRateId());
    }
    final Integer publicationLag = indexConvention.getOvernightIndexSwapPublicationLag();
    if (publicationLag == null) {
      throw new OpenGammaRuntimeException("Could not get ON Index publication lag for " + indexConvention.getIdentifiers());
    }
    final ConventionBundle brlSwapConvention = _conventionSource.getConventionBundle(simpleNameSecurityId("BRL_DI_SWAP"));
    final IndexON index = new IndexON(floatLeg.getFloatingReferenceRateId().getValue(), currency, indexConvention.getDayCount(), publicationLag);
    final String name = index.getName();
    final DayCount fixedLegDayCount = fixedLeg.getDayCount();
    final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
    final boolean isEOM = fixedLeg.isEom();
    final int spotLag = brlSwapConvention.getSwapFixedLegSettlementDays();
    final int paymentLag = brlSwapConvention.getSwapFixedLegSettlementDays();
    final double notional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double fixedRate = fixedLeg.getRate();
    final GeneratorSwapFixedCompoundedONCompounded generator = new GeneratorSwapFixedCompoundedONCompounded(name, index, fixedLegDayCount, businessDayConvention, isEOM, spotLag, paymentLag, calendar);
    return SwapFixedCompoundedONCompoundedDefinition.from(effectiveDate, maturityDate, notional, generator, fixedRate, payFixed);
  }
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    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg iborLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(iborLeg.getFloatingReferenceRateId());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId() + " from swap " +
          swapSecurity.getExternalIdBundle());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex indexIbor = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention(), iborIndexConvention.getName());
    final Frequency freqFixed = fixedLeg.getFrequency();
    final Period tenorFixed = getTenor(freqFixed);
    final double fixedLegNotional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    if (hasSpread) {
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    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ConventionBundle indexConvention = _conventionSource.getConventionBundle(floatLeg.getFloatingReferenceRateId());
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (indexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get OIS index convention for " + currency + " using " + floatLeg.getFloatingReferenceRateId());
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegion());
    final String currencyString = currency.getCode();
    final Integer publicationLag = indexConvention.getOvernightIndexSwapPublicationLag();
    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) {
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        isEOM, notional, fixedLeg.getRate(), isPayer);
  }

  private AnnuityCouponIborSpreadDefinition getIborSwapLegDefinition(final ZonedDateTime effectiveDate, final ZonedDateTime maturityDate, final FloatingSpreadIRLeg iborLeg,
      final Calendar calendar, final Currency currency, final boolean isPayer) {
    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(iborLeg.getFloatingReferenceRateId());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex iborIndex = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    final double spread = iborLeg.getSpread();
    return AnnuityCouponIborSpreadDefinition.from(effectiveDate, maturityDate, tenorIbor, iborLegNotional, iborIndex, isPayer, iborLeg.getBusinessDayConvention(), iborLeg.isEom(),
        iborLeg.getDayCount(), spread, calendar);
  }
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        iborLeg.getDayCount(), spread, calendar);
  }

  private AnnuityCouponIborDefinition getIborSwapLegDefinition(final ZonedDateTime effectiveDate, final ZonedDateTime maturityDate, final FloatingInterestRateLeg iborLeg,
      final Calendar calendar, final Currency currency, final boolean isPayer) {
    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(iborLeg.getFloatingReferenceRateId());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex iborIndex = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    return AnnuityCouponIborDefinition.from(effectiveDate, maturityDate, tenorIbor, iborLegNotional, iborIndex, isPayer, iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLeg.getDayCount(),
        calendar);
  }
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