Examples of com.opengamma.financial.convention.CompoundingIborLegConvention$Meta

Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.CompoundingIborLegConvention$Meta

com.opengamma.financial.convention.CompoundingIborLegConvention
The meta-bean for {@code CompoundingIborLegConvention}.

  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullCompoundingIborLegConvention() {
    final Map<ExternalId, Convention> map = new HashMap<>();
    final CompoundingIborLegConvention compoundingIbor = new CompoundingIborLegConvention("USD Compounding Libor", ExternalIdBundle.of(ExternalId.of(SCHEME, "USD Compounding Libor")),
        LIBOR_3M_ID, Tenor.THREE_MONTHS, CompoundingType.COMPOUNDING, Tenor.ONE_MONTH, StubType.SHORT_START, 2, false, StubType.LONG_START, true, 1);
    map.put(FIXED_LEG_ID, FIXED_LEG);
    map.put(COMPOUNDING_IBOR_ID, compoundingIbor);
    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);

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      final int settlementDays = message.getInt(SETTLEMENT_DAYS_FIELD);
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final StubType stubTypeLeg = StubType.valueOf(message.getString(STUB_TYPE_LEG_FIELD));
      final boolean exchangeNotional = message.getBoolean(EXCHANGE_NOTIONAL_FIELD);
      final int paymentLag = message.getInt(PAYMENT_LAG_FIELD);
      final CompoundingIborLegConvention convention = new CompoundingIborLegConvention(name, externalIdBundle, swapIndexConvention, paymentTenor, 
          compoundingType, compositionTenor, stubTypeCompound, settlementDays, isEOM, stubTypeLeg, exchangeNotional, paymentLag);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueIdMsg != null) {
        convention.setUniqueId(deserializer.fieldValueToObject(UniqueId.class, uniqueIdMsg));
      }
      return convention;
    }

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    final Convention liborLeg3MPayLagConvention = new VanillaIborLegConvention(liborLeg3MPayLagConventionName, getIds(Currency.USD, TENOR_STR_3M, PAY_LAG + IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, true, StubType.NONE, false, 2);


    // Ibor legs - compounded
    final String liborLeg1MComp3MConventionName = getConventionName(Currency.USD, TENOR_STR_1M + " x " + TENOR_STR_3M, IBOR_CMP_LEG); // "USD 1M x 3M Comp Ibor Leg"  
    final Convention liborLeg1MComp3MConvention = new CompoundingIborLegConvention(liborLeg1MComp3MConventionName, getIds(Currency.USD, TENOR_STR_1M + " x " + TENOR_STR_3M, IBOR_CMP_LEG), 
        liborConventionId, Tenor.THREE_MONTHS, CompoundingType.FLAT_COMPOUNDING, Tenor.ONE_MONTH, StubType.SHORT_START, 2, false, StubType.LONG_START, false, 0);
    
    // Swaps
    final Convention swapConvention = new SwapConvention("USD Swap", ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, "USD Swap")),
        ExternalId.of(SCHEME_NAME, getConventionName(Currency.USD, IRS_FIXED_LEG)),

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    assertEquals(convention, cycleObject(CMSLegConvention.class, convention));
  }


  @Test
  public void testCompoundingIborLegConvention() {
    final CompoundingIborLegConvention convention = new CompoundingIborLegConvention("EUR Compounded", ExternalIdBundle.of(InMemoryConventionBundleMaster.simpleNameSecurityId("EUR Compounded")),
        ExternalId.of("Test", "EURIBOR 3M"), Tenor.SIX_MONTHS, CompoundingType.FLAT_COMPOUNDING, Tenor.THREE_MONTHS, StubType.SHORT_START, 2, false, StubType.LONG_START, true, 1);
    convention.setUniqueId(UniqueId.of("Test", "12345"));
    assertEquals(convention, cycleObject(CompoundingIborLegConvention.class, convention));
  }

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Related Classes of com.opengamma.financial.convention.CompoundingIborLegConvention$Meta

com.opengamma.financial.analytics.curve.CurveNodeCurrencyVisitorTest

com.opengamma.financial.convention.percurrency.USConventions

com.opengamma.financial.fudgemsg.ConventionBuilders$CompoundingIborLegConventionBuilder

com.opengamma.financial.fudgemsg.ConventionBuildersTest

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