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

Examples of com.opengamma.analytics.financial.instrument.swap.SwapDefinition

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  public InstrumentDefinition<?> visitSwaptionSecurity(final SwaptionSecurity swaptionSecurity) {
    ArgumentChecker.notNull(swaptionSecurity, "swaption security");
    final ExternalId underlyingIdentifier = swaptionSecurity.getUnderlyingId();
    final ZonedDateTime expiry = swaptionSecurity.getExpiry().getExpiry();
    final InstrumentDefinition<?> underlyingSwap = ((SwapSecurity) _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier))).accept(_swapConverter);
    final SwapDefinition swapDefinition = (SwapDefinition) underlyingSwap;
    final boolean isCashSettled = swaptionSecurity.isCashSettled();
    final boolean isLong = swaptionSecurity.isLong();
    if (swaptionSecurity.getCurrency().equals(Currency.BRL)) {
      if (!(swapDefinition instanceof SwapFixedCompoundedONCompoundedDefinition)) {
        throw new OpenGammaRuntimeException("Underlying BRL swap must be fixed compounded / overnight compounded");
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    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityCouponCMSDefinition cmsPayLeg = getCMSwapLegDefinition(effectiveDate, maturityDate, floatPayLeg, calendar, currency, true);
    final AnnuityCouponCMSDefinition cmsReceiveLeg = getCMSwapLegDefinition(effectiveDate, maturityDate, floatReceiveLeg, calendar, currency, false);
    return new SwapDefinition(cmsPayLeg, cmsReceiveLeg);
  }
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    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityCouponFixedDefinition fixedAnnuity = getFixedSwapLegDefinition(effectiveDate, maturityDate, fixedLeg, calendar, payFixed);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, floatingLeg, calendar, currency, !payFixed);
    return payFixed ? new SwapDefinition(fixedAnnuity, cmsAnnuity) : new SwapDefinition(cmsAnnuity, fixedAnnuity);
  }
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    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityDefinition<? extends CouponFloatingDefinition> iborAnnuity = getIborSwapLegDefinition(effectiveDate, maturityDate, iborLeg, calendar, currency, payIbor);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, cmsLeg, calendar, currency, !payIbor);
    return payIbor ? new SwapDefinition(iborAnnuity, cmsAnnuity) : new SwapDefinition(cmsAnnuity, iborAnnuity);
    // Implementation note: In the converter, the pay leg is expected to be first.
  }
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    } else if (receiveLegConvention instanceof CompoundingIborLegConvention) {
      receiveLeg = getIborCompoundingLeg((CompoundingIborLegConvention) receiveLegConvention, swapNode, false, isFloatFloat);
    } else {
      throw new OpenGammaRuntimeException("Cannot handle convention type " + receiveLegConvention.getClass());
    }
    return new SwapDefinition(payLeg, receiveLeg);
  }
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    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,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponIborDefinition floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, false, CALENDAR);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
    swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, FIXED_LEG_ID, "Mapper");
    settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, false);
    floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, true, CALENDAR);
    assertEquals(new SwapDefinition(floatLeg, fixedLeg), definition);
    swapNode = new SwapNode(Tenor.FIVE_MONTHS, Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, "Mapper");
    settlementDate = DateUtils.getUTCDate(2013, 8, 5);
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, false, CALENDAR);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
  }
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    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");
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    payLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index3m, true, CALENDAR);
    final AnnuityCouponIborSpreadDefinition spreadLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, Period.ofYears(10), 1, index6m, spread, false, CALENDAR);
    assertEquals(new SwapDefinition(payLeg, spreadLeg), definition);
  }
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    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponONSimplifiedDefinition floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, false, index, 1,
        CALENDAR, MODIFIED_FOLLOWING, Period.ofYears(1), false);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
    settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, OIS_ID, FIXED_LEG_ID, "Mapper");
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, false);
    floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, true, index, 1,
        CALENDAR, MODIFIED_FOLLOWING, Period.ofYears(1), false);
    assertEquals(new SwapDefinition(floatLeg, fixedLeg), definition);
    settlementDate = DateUtils.getUTCDate(2013, 4, 5);
    swapNode = new SwapNode(Tenor.ONE_MONTH, Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, "Mapper");
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, false, index, 1,
        CALENDAR, MODIFIED_FOLLOWING, Period.ofYears(1), false);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
  }
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    final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getSecond();
    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final GeneratorAttributeFX attr6Mx5Y = new GeneratorAttributeFX(Period.ofMonths(6), Period.ofYears(5), FX_MATRIX); //TODO Check dates swap
    final double notional = 100000;
    final SwapDefinition swapDefinition = JPYLIBOR3MEURIBOR3M.generateInstrument(NOW, spreadJPYEUR, notional, attr6Mx5Y);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW);
    final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
    final MarketQuoteSensitivityBlockCalculator<MulticurveProviderInterface> MQSC = new MarketQuoteSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
    //    int t = 0;
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      assertEquals("Sensitivity to forward curve: Node " + i, resFwd[i], pair.getSecond(), deltaTolerance);
    }
    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME};
    final SwaptionPhysicalFixedIbor swaptionBumpedFunding = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final SwapDefinition underlyingSwap = swaptionDefinitionLongPayerHighStrike.getUnderlyingSwap();
    AnnuityDefinition<? extends PaymentDefinition> floatLeg;
    if (underlyingSwap.getFirstLeg() instanceof AnnuityCouponFixedDefinition) {
      floatLeg = underlyingSwap.getSecondLeg();
    } else {
      floatLeg = underlyingSwap.getFirstLeg();
    }
    final int nbPayDate = floatLeg.getPayments().length;
    final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
    final double[] yieldsFunding = new double[nbPayDate + 1];
    final double[] nodeTimesFunding = new double[nbPayDate + 1];
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Related Classes of com.opengamma.analytics.financial.instrument.swap.SwapDefinition

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  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethodTest
  • com.opengamma.analytics.financial.provider.curve.MulticurveBuildingDiscountingDiscountXCcyPtIntTest
  • com.opengamma.analytics.financial.provider.curve.MulticurveBuildingDiscountingDiscountXCcyTest
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverter
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated
  • com.opengamma.financial.analytics.conversion.SwaptionSecurityConverter
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