A simple attempt at matching the Bloomberg price, modified duration and convexity for a bond.

BondAnalytics.java

import javax.time.calendar.LocalDate;
import javax.time.calendar.Period;
import javax.time.calendar.TimeZone;
import javax.time.calendar.ZonedDateTime;

import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinition;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed;
import com.opengamma.analytics.financial.interestrate.bond.calculator.CleanPriceFromCurvesCalculator;
import com.opengamma.analytics.financial.interestrate.bond.calculator.ConvexityFromCurvesCalculator;
import com.opengamma.analytics.financial.interestrate.bond.calculator.DirtyPriceFromCurvesCalculator;
import com.opengamma.analytics.financial.interestrate.bond.calculator.ModifiedDurationFromCurvesCalculator;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.curve.Curve;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.LinearInterpolator1D;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.NoAdjustBusinessDayConvention;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.ExceptionCalendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.ActualActualICMA;
import com.opengamma.financial.convention.daycount.ActualActualICMANormal;
import com.opengamma.financial.convention.daycount.ActualThreeSixty;
import com.opengamma.financial.convention.daycount.ActualThreeSixtyFive;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.ThirtyEThreeSixty;
import com.opengamma.financial.convention.yield.SimpleYieldConvention;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;


public class BondAnalytics {

       /**
       * @param args
       */
  
	
       public static void main(String[] args) {
              
              BondFixedSecurityDefinition bondInstrument;
                     
              /**
                 * Fixed coupon bond builder from standard financial details. The accrual dates are unadjusted; the payment dates are adjusted according to the business day convention.
                 * The default notional 1 and default ex-coupon days 0 are used; if the first coupon is non-standard, it is short; the coupon dates are computed from the maturity.
                 * @param currency The currency.
                 * @param maturityDate The maturity date.
                 * @param firstAccrualDate The first accrual date (bond start date).
                 * @param paymentPeriod The coupon payment period.
                 * @param rate The fixed rate.
                 * @param settlementDays Standard number of days between trade date and trade settlement. Used for clean price and yield computation.
                 * @param calendar The payment calendar.
                 * @param dayCount The coupon day count convention.
                 * @param businessDay The business day convention for the payments.
                 * @param yieldConvention The yield (to maturity) computation convention.
                 * @param isEOM The end-of-month flag.
                 * @return The fixed coupon bond.
                 */

              	// from UPCB 6-3/8 09/15/22
              	bondInstrument = BondFixedSecurityDefinition.from(
								Currency.EUR, // final Currency currency, 
								ZonedDateTime.of(2020, 9, 15, 0, 0, 0, 0, TimeZone.UTC),// final ZonedDateTime maturityDate, 
								ZonedDateTime.of(2013, 3, 15, 0, 0, 0, 0, TimeZone.UTC),// final ZonedDateTime firstAccrualDate,
	                           Period.ofMonths(6),// final Period paymentPeriod, 
	                           0.06375,// final double rate, 
	                           3, // final int settlementDays,
	                           400000, //notional
	                           new DeutscheBorseCalendar("testcal"),// final Calendar calendar, //this bond is traded on Deutsche Borse
	                           new ThirtyEThreeSixty(), //final DayCount dayCount, 
	                           new NoAdjustBusinessDayConvention(),// final BusinessDayConvention businessDay,
	                           SimpleYieldConvention.UK_BUMP_DMO_METHOD,// final YieldConvention yieldConvention, // only UK_BUMP_DMO_METHOD and US_STREET are supported
	                           false);//final boolean isEOM);

				final String CREDIT_CURVE = "CreditCurve";
				final String RISK_FREE_CURVE = "RiskFreeCurve";
				  
				BondFixedSecurity bond = bondInstrument.toDerivative(ZonedDateTime.of(2013, 5, 28, 0, 0, 0, 0, TimeZone.UTC), CREDIT_CURVE, RISK_FREE_CURVE);
				
				double accruedInterest = bond.getAccruedInterest();             
				  
				// Not sure what value to use for the Risk Free Curve
					double riskFreeYield = 0.01356135;         
					ConstantDoublesCurve flatRiskFreeCurve = new ConstantDoublesCurve(riskFreeYield);             
					YieldCurve flatRiskFreeYieldCurve = new YieldCurve(RISK_FREE_CURVE, flatRiskFreeCurve);      
				  
					// Not sure what value to use for the Credit Curve
				double creditYield = 0.05656619;         
				ConstantDoublesCurve flatCreditCurve = new ConstantDoublesCurve(creditYield);             
				YieldCurve flatCreditYieldCurve = new YieldCurve(CREDIT_CURVE, flatCreditCurve);      
				     
				     
				YieldCurveBundle yieldCurves = new YieldCurveBundle();
				  
				yieldCurves.setCurve(CREDIT_CURVE, flatCreditYieldCurve);
				     
				yieldCurves.setCurve(RISK_FREE_CURVE, flatRiskFreeYieldCurve);			             
				
				         
				ConvexityFromCurvesCalculator convexityFromCurvesCalc = ConvexityFromCurvesCalculator.getInstance();
				ModifiedDurationFromCurvesCalculator modifiedDurationFromCurvesCalc = ModifiedDurationFromCurvesCalculator.getInstance();
				CleanPriceFromCurvesCalculator cleanPriceFromCurvesCalc = CleanPriceFromCurvesCalculator.getInstance();
				DirtyPriceFromCurvesCalculator dirtyPriceFromCurvesCalc = DirtyPriceFromCurvesCalculator.getInstance();
				 
				double convexity = bond.accept(convexityFromCurvesCalc, yieldCurves);
				
				double modifiedDuration = bond.accept(modifiedDurationFromCurvesCalc, yieldCurves);
				 
				double cleanPrice = bond.accept(cleanPriceFromCurvesCalc, yieldCurves);
				 
				double dirtyPrice = bond.accept(dirtyPriceFromCurvesCalc, yieldCurves);
				
				 
				System.out.println(
				              "Credit Yield: " + creditYield + 
				              " Risk Free Yield: " + riskFreeYield + 
				              " Convexity: " + convexity +
				              " modifiedDuration: " + modifiedDuration +
				              " accruedInterest: " + accruedInterest +
				              " CleanPrice: " + cleanPrice +
				              " DirtyPrice: " + dirtyPrice);
			}
}

DeutscheBorseCalendar.java

import javax.time.calendar.LocalDate;

import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;


public class DeutscheBorseCalendar extends MondayToFridayCalendar
  {
		/**
		 * 
		 */
		private static final long serialVersionUID = 1L;

		public DeutscheBorseCalendar(String name) {
			super(name);
		
			this.addNonWorkingDay(LocalDate.of(2013,1,1));
			this.addNonWorkingDay(LocalDate.of(2013,3,29));
			this.addNonWorkingDay(LocalDate.of(2013,4,1));
			this.addNonWorkingDay(LocalDate.of(2013,5,1));
			this.addNonWorkingDay(LocalDate.of(2013,12,24));
			this.addNonWorkingDay(LocalDate.of(2013,12,25));
			this.addNonWorkingDay(LocalDate.of(2013,12,26));
			this.addNonWorkingDay(LocalDate.of(2013,12,31));
		}
	}