Package com.opengamma.financial.convention.businessday

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

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    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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    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate(); //FOLLOWING.adjustDate(calendar, valuationDate.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1));
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
    final BusinessDayConvention businessDayConvention = security.getBusinessDayConvention();
    final boolean immAdjustMaturityDate = security.isImmAdjustMaturityDate();
    final boolean adjustEffectiveDate = security.isAdjustEffectiveDate();
    final boolean adjustMaturityDate = security.isAdjustMaturityDate();
    final InterestRateNotional notional = security.getNotional();
    final Currency currency = notional.getCurrency();
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    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate(); //FOLLOWING.adjustDate(calendar, valuationDate.withHour(0).withMinute(0).withSecond(0).withNano(0).plusDays(1));
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
    final BusinessDayConvention businessDayConvention = security.getBusinessDayConvention();
    final boolean immAdjustMaturityDate = security.isImmAdjustMaturityDate();
    final boolean adjustEffectiveDate = security.isAdjustEffectiveDate();
    final boolean adjustMaturityDate = security.isAdjustMaturityDate();
    final InterestRateNotional notional = security.getNotional();
    final Currency currency = notional.getCurrency();
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    @Override
    public DepositConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final int settlementDays = message.getInt(SETTLEMENT_DAYS_FIELD);
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      final ExternalId regionCalendar = deserializer.fieldValueToObject(ExternalId.class, message.getByName(REGION_FIELD));
      final DepositConvention convention = new DepositConvention(name, externalIdBundle, dayCount, businessDayConvention, settlementDays, isEOM, currency, regionCalendar);
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    @Override
    public FXForwardAndSwapConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final ExternalId spotConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(SPOT_CONVENTION_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final ExternalId settlementRegion = deserializer.fieldValueToObject(ExternalId.class, message.getByName(SETTLEMENT_REGION_FIELD));
      final FXForwardAndSwapConvention convention = new FXForwardAndSwapConvention(name, externalIdBundle, spotConvention, businessDayConvention, isEOM, settlementRegion);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueIdMsg != null) {
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    @Override
    public IborIndexConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final int settlementDays = message.getInt(SETTLEMENT_DAYS_FIELD);
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      final LocalTime fixingTime = LocalTime.parse(message.getString(FIXING_TIME_FIELD));
      final String fixingTimeZone = message.getString(FIXING_TIME_ZONE_FIELD);
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    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate();
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
    final BusinessDayConvention businessDayConvention = security.getBusinessDayConvention();
    final boolean immAdjustMaturityDate = security.isImmAdjustMaturityDate();
    final boolean adjustEffectiveDate = security.isAdjustEffectiveDate();
    final boolean adjustMaturityDate = security.isAdjustMaturityDate();
    final InterestRateNotional notional = security.getNotional();
    final Currency currency = notional.getCurrency();
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    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime effectiveDate = security.getEffectiveDate();
    final ZonedDateTime maturityDate = security.getMaturityDate();
    final PeriodFrequency couponFrequency = getPeriodFrequency(security.getCouponFrequency());
    final DayCount dayCount = security.getDayCount();
    final BusinessDayConvention businessDayConvention = security.getBusinessDayConvention();
    final boolean immAdjustMaturityDate = security.isImmAdjustMaturityDate();
    final boolean adjustEffectiveDate = security.isAdjustEffectiveDate();
    final boolean adjustMaturityDate = security.isAdjustMaturityDate();
    final InterestRateNotional notional = security.getNotional();
    final Currency currency = notional.getCurrency();
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    final DeliverableSwapFutureNode futureNode = new DeliverableSwapFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.TEN_YEARS, DELIVERABLE_SWAP_FUTURE_ID, FIXED_IBOR_3M_SWAP_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new DeliverableSwapFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, NOW);
    final InstrumentDefinition<?> definition = futureNode.accept(converter);
    final Currency currency = Currency.USD;
    final DayCount dayCount = THIRTY_360;
    final BusinessDayConvention businessDayConvention = MODIFIED_FOLLOWING;
    final boolean eom = false;
    final Period indexTenor = Period.ofMonths(3);
    final int spotLagIndex = 2;
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, "USD 3m Libor");
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", Period.ofMonths(6), ACT_360, iborIndex, CALENDAR);
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  }

  @SuppressWarnings("deprecation")
  public TestResult runTestCase(final ISDATestGridRow testCase, final ISDACurve discountCurve) {

    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final Convention convention = new Convention(3, dayCount, businessDays, calendar, "");
    final TemporalAdjuster adjuster = businessDays.getTemporalAdjuster(calendar);

    final ZonedDateTime pricingDate = testCase.getTradeDate().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime maturity = testCase.getMaturityDate().atStartOfDay(ZoneOffset.UTC);

    // Step-in date is always T+1 calendar
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