Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ConventionBundle

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  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
    final String conventionName = currency.getCode() + "_SWAP";
    final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get convention named " + conventionName);
    }
    final DayCount dayCount = convention.getSwapFloatingLegDayCount();
    if (dayCount == null) {
      throw new OpenGammaRuntimeException("Could not get daycount");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
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    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final String conventionName = currency.getCode() + "_SWAP";
    final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get convention named " + conventionName);
    }
    final DayCount dayCount = convention.getSwapFloatingLegDayCount();
    if (dayCount == null) {
      throw new OpenGammaRuntimeException("Could not get daycount");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
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    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String conventionName = currency.getCode() + "_SWAP";
    final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get convention named " + conventionName);
    }
    final DayCount dayCount = convention.getSwapFloatingLegDayCount();
    if (dayCount == null) {
      throw new OpenGammaRuntimeException("Could not get daycount");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
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    bundle.setUniqueId(UniqueId.of("Mock", "0"));
    return bundle;
  }

  public void testGetByIdentifier() {
    ConventionBundle bundle = createBundle();
    final ConventionBundleSource underlying = Mockito.mock(ConventionBundleSource.class);
    Mockito.when(underlying.getConventionBundle(ExternalId.of("Test", "Foo"))).thenReturn(bundle);
    Mockito.when(underlying.getConventionBundle(ExternalId.of("Test", "Bar"))).thenReturn(null);
    final DataConventionBundleSourceResource server = new DataConventionBundleSourceResource(underlying);
    final ConventionBundleSource client = new RemoteConventionBundleSource(URI.create("http://localhost/")) {
      @Override
      protected UniformInterface accessRemote(final URI uri) {
        assertTrue(uri.getPath().startsWith("/identifier/"));
        final UniformInterface builder = Mockito.mock(UniformInterface.class);
        Mockito.when(builder.get(ConventionBundle.class)).thenAnswer(new Answer<ConventionBundle>() {
          @Override
          public ConventionBundle answer(final InvocationOnMock invocation) throws Throwable {
            try {
              return OpenGammaFudgeContext.getInstance().fromFudgeMsg(ConventionBundle.class, (FudgeMsg) server.getByIdentifier(uri.getPath().substring(12)).getEntity());
            } catch (final WebApplicationException e) {
              assertEquals(e.getResponse().getStatus(), 404);
              throw new UniformInterfaceException404NotFound(new ClientResponse(404, null, null, null), false);
            }
          }
        });
        return builder;
      }
    };
    bundle = client.getConventionBundle(ExternalId.of("Test", "Foo"));
    assertNotNull(bundle);
    assertEquals(bundle.getUniqueId(), UniqueId.of("Mock", "0"));
    bundle = client.getConventionBundle(ExternalId.of("Test", "Bar"));
    assertNull(bundle);
  }
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    bundle = client.getConventionBundle(ExternalId.of("Test", "Bar"));
    assertNull(bundle);
  }

  public void testGetByBundle() {
    ConventionBundle bundle = createBundle();
    final ConventionBundleSource underlying = Mockito.mock(ConventionBundleSource.class);
    Mockito.when(underlying.getConventionBundle(ExternalId.of("Test", "Foo").toBundle())).thenReturn(bundle);
    Mockito.when(underlying.getConventionBundle(ExternalId.of("Test", "Bar").toBundle())).thenReturn(null);
    final DataConventionBundleSourceResource server = new DataConventionBundleSourceResource(underlying);
    final ConventionBundleSource client = new RemoteConventionBundleSource(URI.create("http://localhost/")) {
      @Override
      protected UniformInterface accessRemote(final URI uri) {
        assertTrue(uri.getPath().startsWith("/bundle"));
        assertTrue(uri.getQuery().startsWith("id="));
        final UniformInterface builder = Mockito.mock(UniformInterface.class);
        Mockito.when(builder.get(ConventionBundle.class)).thenAnswer(new Answer<ConventionBundle>() {
          @Override
          public ConventionBundle answer(final InvocationOnMock invocation) throws Throwable {
            try {
              return OpenGammaFudgeContext.getInstance().fromFudgeMsg(ConventionBundle.class, (FudgeMsg) server.getByBundle(Arrays.asList(uri.getQuery().substring(3))).getEntity());
            } catch (final WebApplicationException e) {
              assertEquals(e.getResponse().getStatus(), 404);
              throw new UniformInterfaceException404NotFound(new ClientResponse(404, null, null, null), false);
            }
          }
        });
        return builder;
      }
    };
    bundle = client.getConventionBundle(ExternalId.of("Test", "Foo").toBundle());
    assertNotNull(bundle);
    assertEquals(bundle.getUniqueId(), UniqueId.of("Mock", "0"));
    bundle = client.getConventionBundle(ExternalId.of("Test", "Bar").toBundle());
    assertNull(bundle);
  }
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    bundle = client.getConventionBundle(ExternalId.of("Test", "Bar").toBundle());
    assertNull(bundle);
  }

  public void testGetByUniqueId() {
    ConventionBundle bundle = createBundle();
    final ConventionBundleSource underlying = Mockito.mock(ConventionBundleSource.class);
    Mockito.when(underlying.getConventionBundle(UniqueId.of("Mock", "0"))).thenReturn(bundle);
    Mockito.when(underlying.getConventionBundle(UniqueId.of("Mock", "1"))).thenReturn(null);
    final DataConventionBundleSourceResource server = new DataConventionBundleSourceResource(underlying);
    final ConventionBundleSource client = new RemoteConventionBundleSource(URI.create("http://localhost/")) {
      @Override
      protected UniformInterface accessRemote(final URI uri) {
        assertTrue(uri.getPath().startsWith("/unique/"));
        final UniformInterface builder = Mockito.mock(UniformInterface.class);
        Mockito.when(builder.get(ConventionBundle.class)).thenAnswer(new Answer<ConventionBundle>() {
          @Override
          public ConventionBundle answer(final InvocationOnMock invocation) throws Throwable {
            try {
              return OpenGammaFudgeContext.getInstance().fromFudgeMsg(ConventionBundle.class, (FudgeMsg) server.getByUniqueId(uri.getPath().substring(8)).getEntity());
            } catch (final WebApplicationException e) {
              assertEquals(e.getResponse().getStatus(), 404);
              throw new UniformInterfaceException404NotFound(new ClientResponse(404, null, null, null), false);
            }
          }
        });
        return builder;
      }
    };
    bundle = client.getConventionBundle(UniqueId.of("Mock", "0"));
    assertNotNull(bundle);
    assertEquals(bundle.getUniqueId(), UniqueId.of("Mock", "0"));
    bundle = client.getConventionBundle(UniqueId.of("Mock", "1"));
    assertNull(bundle);
  }
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  public InstrumentDefinition<?> visitContinuousZeroDepositSecurity(final ContinuousZeroDepositSecurity security) {
    ArgumentChecker.notNull(security, "security");
    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 ContinuousInterestRate(security.getRate());
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
    return DepositZeroDefinition.from(currency, startDate, endDate, daycount, rate, calendar);
  }
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  public InstrumentDefinition<?> visitPeriodicZeroDepositSecurity(final PeriodicZeroDepositSecurity security) {
    ArgumentChecker.notNull(security, "security");
    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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    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final Currency currency = FinancialSecurityUtils.getCurrency(trade.getSecurity());
    final String conventionName = currency.getCode() + "_IR_FUTURE";
    final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get convention named " + conventionName);
    }
    final DayCount dayCount = convention.getDayCount();
    if (dayCount == null) {
      throw new OpenGammaRuntimeException("Could not get daycount");
    }
    final SABRInterestRateDataBundle data = new SABRInterestRateDataBundle(getModelParameters(target, inputs, dayCount), curves);
    final InstrumentDefinition<InstrumentDerivative> irFutureOptionDefinition = (InstrumentDefinition<InstrumentDerivative>) _converter.convert(trade);
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