Package com.opengamma.analytics.financial.instrument.index

Examples of com.opengamma.analytics.financial.instrument.index.IborIndex

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    final ExternalId marketDataId = ExternalId.of(SCHEME, "US3mLibor");
    final double rate = 0.0012345;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    final FRANode fraNode = new FRANode(Tenor.SIX_MONTHS, Tenor.NINE_MONTHS, LIBOR_3M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FRANodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final InstrumentDefinition<?> definition = fraNode.accept(converter);
    assertTrue(definition instanceof ForwardRateAgreementDefinition);
    final ForwardRateAgreementDefinition fra = (ForwardRateAgreementDefinition) definition;
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    final ExternalId marketDataId = ExternalId.of(SCHEME, "US3mLibor");
    final double rate = 0.98;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 3m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, 0.25, "", CALENDAR);
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    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 3m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 5, 13), index, 1, 0.25, "", CALENDAR);
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    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final double accrual = 1. / 12;
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.ONE_MONTH.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 1m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, accrual, "", CALENDAR);
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    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.02;
    marketValues.setDataPoint(marketDataId, rate);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final IborIndex index = new IborIndex(Currency.USD, Period.ofMonths(3), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, "Mapper");
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
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    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_IBOR_ID, "Mapper");
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final IborIndex index3m = new IborIndex(Currency.USD, Period.ofMonths(3), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    final IborIndex index6m = new IborIndex(Currency.USD, Period.ofMonths(6), 2, ACT_360, MODIFIED_FOLLOWING, false, LIBOR_6M_ID.getValue());
    AnnuityCouponIborDefinition payLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index3m, true, CALENDAR);
    final AnnuityCouponIborSpreadDefinition receiveLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, Period.ofYears(10), 1, index6m, spread, false, CALENDAR);
    assertEquals(new SwapDefinition(payLeg, receiveLeg), definition);
    settlementDate = DateUtils.getUTCDate(2014, 3, 5);
    swapNode = new SwapNode(Tenor.ONE_YEAR, Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_IBOR_ID, "Mapper");
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    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), legTenor, SWAP_3M_IBOR_ID, LIBOR_1M_CMP_3M_ID, "Mapper");
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final Period paymentPeriod = Period.ofMonths(3);
    final Period compositionPeriod = Period.ofMonths(1);
    final IborIndex index3m = new IborIndex(Currency.USD, paymentPeriod, 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue()); // Not correct conventions. Only for testing.
    final IborIndex index1m = new IborIndex(Currency.USD, compositionPeriod, 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_1M_ID.getValue());
    AnnuityCouponIborDefinition payLeg = AnnuityCouponIborDefinition.from(settlementDate, legTenor.getPeriod(), 1, index3m, true, CALENDAR);
    final AnnuityDefinition<CouponIborCompoundingSpreadDefinition> receiveLeg = AnnuityDefinitionBuilder.annuityIborCompoundingSpreadFrom(settlementDate, settlementDate.plus(legTenor.getPeriod()), paymentPeriod, 1, spread,
        index1m, StubType.SHORT_START, false, MODIFIED_FOLLOWING, true, CALENDAR, StubType.SHORT_START);
    assertEquals("IborIborCompoundingSwap: first leg", payLeg, ((SwapDefinition)definition).getFirstLeg());
    for(int loopcpn=9; loopcpn<receiveLeg.getNumberOfPayments(); loopcpn++) {
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    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);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(DateUtils.getUTCDate(2013, 6, 19), Period.ofYears(10), generator, 1, rate, false);
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), underlying, 1);
    final SwapFuturesPriceDeliverableTransactionDefinition transaction = new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, NOW, price, 1);
    assertEquals(transaction, definition);
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      if (iborIndexConvention == null) {
        throw new OpenGammaRuntimeException("Could not get ibor index convention for " + capFloorSecurity.getUnderlyingId());
      }
      regionId = iborIndexConvention.getRegion();
      final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
      final IborIndex index = new IborIndex(currency, iborIndexConvention.getPeriod(), iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention(), "Ibor");
      return AnnuityCapFloorIborDefinition.from(startDate, endDate, notional, index, capFloorSecurity.getDayCount(), tenorPayment, capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
          capFloorSecurity.isCap(), calendar);
    }
    // Cap/floor on CMS
    final ConventionBundle swapIndexConvention = _conventionSource.getConventionBundle(capFloorSecurity.getUnderlyingId());
    if (swapIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get swap index convention for " + capFloorSecurity.getUnderlyingId().toString());
    }
    iborIndexConvention = _conventionSource.getConventionBundle(swapIndexConvention.getSwapFloatingLegInitialRate());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get ibor index convention for " + swapIndexConvention.getSwapFloatingLegInitialRate());
    }
    regionId = swapIndexConvention.getSwapFloatingLegRegion();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final IborIndex iborIndex = new IborIndex(currency, tenorPayment, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention.getSwapFixedLegFrequency());
    final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention.getSwapFixedLegDayCount(), iborIndex, swapIndexConvention.getPeriod(), calendar);
    return AnnuityCapFloorCMSDefinition.from(startDate, endDate, notional, swapIndex, tenorPayment, capFloorSecurity.getDayCount(), capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
        capFloorSecurity.isCap(), calendar);
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        throw new OpenGammaRuntimeException("Could not get ibor convention for " + currency.getCode());
      }
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, ExternalSchemes.currencyRegionId(currency));
    final double paymentAccrualFactor = getAccrualFactor(iborConvention.getPeriod());
    final IborIndex iborIndex = new IborIndex(currency, iborConvention.getPeriod(), iborConvention.getSettlementDays(), iborConvention.getDayCount(),
        iborConvention.getBusinessDayConvention(), iborConvention.isEOMConvention());
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return new InterestRateFutureSecurityDefinition(lastTradeDate, iborIndex, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.index.IborIndex

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesTransactionDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborAverageDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborDefinitionTest
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