Package com.opengamma.financial.convention.businessday

Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

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  private FloatingInterestRateLeg floatingInterestRateLeg(final Notional notional) {
    final DayCount dayCount = dayCount();
    final Frequency frequency = frequency();
    final ExternalId regionIdentifier = region();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean eom = bool();
    final ExternalId floatingReferenceRateId = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "US0003M Index");
    final FloatingRateType floatingRateType = floatingRateType();
    return new FloatingInterestRateLeg(dayCount, frequency, regionIdentifier, businessDayConvention, notional, eom, floatingReferenceRateId, floatingRateType);
  }
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    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final double recoveryRate = 0;
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    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final double recoveryRate = 0;
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    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final boolean includeAccruedPremium = bool();
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    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final double recoveryRate = 0;
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    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final double recoveryRate = 0;
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    final ZonedDateTime effectiveDate = ZonedDateTime.now().minusMonths(5);
    final ZonedDateTime maturityDate = ZonedDateTime.now().plusMonths(6);
    final StubType stubType = stubType();
    final Frequency couponFrequency = frequency();
    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final boolean includeAccruedPremium = bool();
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    Notional notional = extractNotional(fixedLeg);

    DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(fixedLeg.getDayCount());
    Frequency frequency = SimpleFrequencyFactory.INSTANCE.getFrequency(fixedLeg.getFrequency());
    ExternalId region = extractRegion(fixedLeg);
    BusinessDayConvention businessDayConvention =
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(fixedLeg.getBusinessDayConvention());
    boolean isEndOfMonth = fixedLeg.isEndOfMonth();
    return new FixedInterestRateLeg(dayCount, frequency, region, businessDayConvention, notional, isEndOfMonth,
        convertRate(fixedLeg.getRate()));
  }
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    Notional notional = extractNotional(floatingLeg);

    ExternalId region = extractRegion(floatingLeg);
    DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(floatingLeg.getDayCount());
    Frequency frequency = SimpleFrequencyFactory.INSTANCE.getFrequency(floatingLeg.getFrequency());
    BusinessDayConvention businessDayConvention =
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(floatingLeg.getBusinessDayConvention());
    boolean isEndOfMonth = floatingLeg.isEndOfMonth();

    FixingIndex fixingIndex = floatingLeg.getFixingIndex();
    ExternalId referenceRate = fixingIndex.getIndex().toExternalId();
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    final ExternalId fraIdentifier = strip.getSecurity();
    final int months = tenor.getPeriod().getMonths();
    final ExternalId underlyingId = getUnderlyingId(spec, strip);
    Period fraPeriod;
    final Currency ccy = spec.getCurrency();
    BusinessDayConvention businessDayConvention;
    boolean eom;
    Calendar calendar;
    ExternalId underlyingIdentifier;
    int settlementDays;
    if (underlyingId == null) {
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