Package com.opengamma.analytics.financial.instrument.swap

Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition.toDerivative()

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    double totalValue = 0.0;

    startTime = System.currentTimeMillis();
    oidUsd5YDefinition = SwapFixedONDefinition.from(START_ACCRUAL_DATE, tenor, NOTIONAL, OIS_USD_GENERATOR, USD_FIXED_RATE, IS_PAYER);
    ois = oidUsd5YDefinition.toDerivative(referenceDate, CURVES_NAMES_2[0], CURVES_NAMES_2[0]);
    endTime = System.currentTimeMillis();
    System.out.println("OIS swap " + tenor + " (construction): " + (endTime - startTime) + " ms");

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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    for (int looptest = 0; looptest < nbTest; looptest++) {
      totalValue += pv[looptest];
    }
    startTime = System.currentTimeMillis();
    oidUsd5YDefinition = SwapFixedONDefinition.from(START_ACCRUAL_DATE, tenor, NOTIONAL, OIS_USD_GENERATOR, USD_FIXED_RATE, IS_PAYER);
    ois = oidUsd5YDefinition.toDerivative(referenceDate, CURVES_NAMES_2[0], CURVES_NAMES_2[0]);
    endTime = System.currentTimeMillis();
    System.out.println("OIS swap " + tenor + " (construction): " + (endTime - startTime) + " ms");

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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