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

Examples of com.opengamma.financial.analytics.ircurve.strips.SwapNode$Meta

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  public void testWrongUnderlyingCompoundingIborLegConvention() {
    final Map<ExternalId, Convention> map = new HashMap<>();
    map.put(FIXED_LEG_ID, FIXED_LEG);
    map.put(COMPOUNDING_IBOR_ID, COMPOUNDING_IBOR);
    final CurveNodeCurrencyVisitor visitor = new CurveNodeCurrencyVisitor(new TestConventionSource(map));
    final SwapNode node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, COMPOUNDING_IBOR_ID, SCHEME);
    node.accept(visitor);
  }
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    final FXSpotConvention convention = new FXSpotConvention("Test", ExternalIdBundle.of(ExternalId.of("Test", "Test")), 0, US);
    final Map<ExternalId, Convention> map = new HashMap<>();
    map.put(FIXED_LEG_ID, FIXED_LEG);
    map.put(ExternalId.of("Test", "Test"), convention);
    final CurveNodeCurrencyVisitor visitor = new CurveNodeCurrencyVisitor(new TestConventionSource(map));
    final SwapNode node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, ExternalId.of("Test", "Test"), SCHEME);
    node.accept(visitor);
  }
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    assertEquals(Currency.USD, currencies.iterator().next());
  }

  @Test
  public void testSwapNode() {
    SwapNode node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, SCHEME);
    Set<Currency> currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, CMS_SWAP_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, COMPOUNDING_IBOR_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_EURIBOR_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(2, currencies.size());
    assertEquals(Sets.newHashSet(Currency.EUR, Currency.USD), currencies);
  }
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  public void testNoSwapPayFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, ExternalId.of(SCHEME, "Test"), SWAP_3M_IBOR_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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  public void testWrongSwapPayFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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  public void testNoSwapReceiveFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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  public void testWrongSwapReceiveFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, LIBOR_3M_ID, FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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  public void testNoSwapPayOISLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, ExternalId.of(SCHEME, "Test"), FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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  public void testNoSwapReceiveOISLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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    final Map<ExternalId, Convention> conventions = new HashMap<>();
    conventions.put(FIXED_LEG_ID, FIXED_LEG);
    conventions.put(SWAP_3M_IBOR_ID, SWAP_3M_LIBOR);
    conventions.put(SWAP_6M_IBOR_ID, SWAP_6M_LIBOR);
    conventions.put(ExternalId.of(SCHEME, "Test"), iborConvention);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(new TestConventionSource(conventions), HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }
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Related Classes of com.opengamma.financial.analytics.ircurve.strips.SwapNode$Meta

  • com.opengamma.financial.analytics.curve.CurveNodeCurrencyVisitorTest
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.CurveNodeWithIdentifierBuilderTest
  • com.opengamma.financial.fudgemsg.CurveDefinitionBuildersTest
  • com.opengamma.financial.fudgemsg.CurveNodeBuilders$SwapNodeBuilder
  • com.opengamma.financial.fudgemsg.CurveNodeBuildersTest
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