Package com.opengamma.financial.security.capfloor

Examples of com.opengamma.financial.security.capfloor.CapFloorCMSSpreadSecurity

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    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "FUTURE_X"), ids.get(0));
  }

  @Test
  public void testCapFloorCMSSpreadSecurity() {
    final CapFloorCMSSpreadSecurity security = ExposureFunctionTestHelper.getCapFloorCMSSpreadSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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      final SimplePortfolioNode node = new SimplePortfolioNode("CM Cap / Floor Spread");
      for (final Tenor payTenor : _payTenors) {
        for (final Tenor receiveTenor : _receiveTenors) {
          for (final Tenor maturity : _maturities) {
            for (final double strike : _strikes) {
              final CapFloorCMSSpreadSecurity cap = createCMSCapFloorSpread(payTenor, receiveTenor, maturity, strike);
              final ManageableTrade trade = new ManageableTrade(BigDecimal.ONE, getSecurityPersister().storeSecurity(cap), _tradeDate.toLocalDate(),
                  _tradeDate.toOffsetDateTime().toOffsetTime(), ExternalId.of(Counterparty.DEFAULT_SCHEME, COUNTERPARTY));
              trade.setPremium(0.);
              trade.setPremiumCurrency(CURRENCY);
              final Position position = SimplePositionGenerator.createPositionFromTrade(trade);
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      final boolean cap = RANDOM.nextBoolean();
      final String payTicker = "USDISDA10" + payTenor.getPeriod().toString();
      final ExternalId payIdentifier = ExternalSchemes.syntheticSecurityId(payTicker);
      final String receiveTicker = "USDISDA10" + receiveTenor.getPeriod().toString();
      final ExternalId receiveIdentifier = ExternalSchemes.syntheticSecurityId(receiveTicker);
      final CapFloorCMSSpreadSecurity security = new CapFloorCMSSpreadSecurity(_tradeDate, maturityDate, _notional, payIdentifier, receiveIdentifier, strike,
          PeriodFrequency.ANNUAL, CURRENCY, ACT_360, payer, cap);
      security.setName(CURRENCY.getCode() + " " + FORMAT.format(_notional / 1000000) + (cap ? "MM cap spread " : "MM floor spread ") + "@ " + FORMAT.format(strike) +
          "%, pay " + payTenor.getPeriod().normalized().getYears() + "Y ISDA fixing" + ", receive " +
          receiveTenor.getPeriod().normalized().getYears() + "Y ISDA fixing" +
          " (" + _tradeDate.toLocalDate().toString() + " - " + maturityDate.toLocalDate().toString() + ")");
      return security;
    }
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    assertEquals(ExternalId.of(cash.getUniqueId().getScheme(), cash.getUniqueId().getValue()), ids.get(0));
  }

  @Test
  public void testCapFloorCMSSpreadSecurity() {
    final CapFloorCMSSpreadSecurity security = ExposureFunctionTestHelper.getCapFloorCMSSpreadSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(security.getUniqueId().getScheme(), security.getUniqueId().getValue()), ids.get(0));
  }
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    assertEquals(ExternalId.of(ExposureFunction.CONTRACT_IDENTIFIER, "Financial"), ids.get(0));
  }

  @Test
  public void testCapFloorCMSSpreadSecurity() {
    final CapFloorCMSSpreadSecurity security = ExposureFunctionTestHelper.getCapFloorCMSSpreadSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertNull(ids);
  }

  @Test
  public void testCapFloorCMSSpreadSecurity() {
    final CapFloorCMSSpreadSecurity security = ExposureFunctionTestHelper.getCapFloorCMSSpreadSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertEquals(ExternalId.of(SCHEME, "CASH_US"), ids.get(0));
  }

  @Test
  public void testCapFloorCMSSpreadSecurity() {
    final CapFloorCMSSpreadSecurity security = ExposureFunctionTestHelper.getCapFloorCMSSpreadSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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Related Classes of com.opengamma.financial.security.capfloor.CapFloorCMSSpreadSecurity

  • com.opengamma.examples.bloomberg.loader.ExampleMixedCMCapFloorPortfolioLoader
  • com.opengamma.examples.simulated.generator.MixedCMPortfolioGeneratorTool$CMSCapFloorSpreadSecurityGenerator
  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.CurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.RegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndCurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndRegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndSettlementExchangeExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndTradingExchangeExposureFunctionTest
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