Package com.opengamma.core.marketdatasnapshot

Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

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  @Test
  public void testLibor() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "US3mLibor");
    final double rate = 0.0012345;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 2, 4);
    CurveNode iborNode = new CashNode(Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new CashNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = iborNode.accept(converter);
    assertTrue(definition instanceof DepositIborDefinition);
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  @Test
  public void testFRA() {
    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);
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  @Test
  public void test3M3MIRFuture() {
    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);
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  }

  @Test
  public void test1M3MIRFuture() {
    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);
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  }

  @Test
  public void test3M1MIRFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    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);
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  }

  @Test
  public void testFixedIborSwap() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    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);
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  }

  @Test
  public void testIborIborSwap() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3Mx6M basis spread");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double spread = 0.001;
    marketValues.setDataPoint(marketDataId, spread);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    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);
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  }

  @Test
  public void testIborIborCompoundingSwap() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3Mx6M basis spread");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double spread = 0.001;
    marketValues.setDataPoint(marketDataId, spread);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    Tenor legTenor = Tenor.TEN_YEARS;
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), legTenor, SWAP_3M_IBOR_ID, LIBOR_1M_CMP_3M_ID, "Mapper");
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  }

  @Test
  public void testOIS() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.001;
    marketValues.setDataPoint(marketDataId, rate);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = swapNode.accept(converter);
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  }

  @Test
  public void testFXForward() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.4;
    marketValues.setDataPoint(marketDataId, forward);
    final Tenor tenorFx = Tenor.ONE_YEAR;
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), tenorFx, FX_FORWARD_ID, Currency.USD, Currency.CAD, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, NOW);
    final InstrumentDefinition<?> definition = node.accept(converter);
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(NOW, FX_SPOT.getSettlementDays(), CALENDAR);
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  • com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataFunction$CompiledImpl
  • com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataShiftFunction
  • com.opengamma.financial.analytics.ircurve.YieldCurveSpecificationFunction$CompiledImpl
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