Package com.opengamma.financial.analytics.ircurve.strips

Examples of com.opengamma.financial.analytics.ircurve.strips.CashNode


    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);
    DepositIborDefinition ibor = (DepositIborDefinition) definition;
    final IborIndex ibor3m = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    DepositIborDefinition expectedLibor = new DepositIborDefinition(Currency.USD, DateUtils.getUTCDate(2013, 2, 6), DateUtils.getUTCDate(2013, 5, 6), 1, rate, 90. / 360, ibor3m);
    assertEquals(expectedLibor, ibor);
    iborNode = new CashNode(Tenor.of(Period.ZERO), Tenor.SIX_MONTHS, LIBOR_6M_ID, "Mapper");
    definition = iborNode.accept(converter);
    assertTrue(definition instanceof DepositIborDefinition);
    ibor = (DepositIborDefinition) definition;
    final IborIndex ibor6m = new IborIndex(Currency.USD, Tenor.SIX_MONTHS.getPeriod(), 2, ACT_360, MODIFIED_FOLLOWING, false, LIBOR_6M_ID.getValue());
    expectedLibor = new DepositIborDefinition(Currency.USD, DateUtils.getUTCDate(2013, 2, 6), DateUtils.getUTCDate(2013, 8, 6), 1, rate, 181. / 360, ibor6m);
    assertEquals(expectedLibor, ibor);
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