Package com.opengamma.financial.security.capfloor

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

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    final double notional = 1000000 * (1 + random.nextInt(50));
    final ExternalId underlyingId = TICKERS.get(tenor);
    if (underlyingId == null) {
      throw new OpenGammaRuntimeException("Could not get swap rate ticker for " + tenor);
    }
    final CapFloorSecurity security = new CapFloorSecurity(TRADE_DATE.atStartOfDay(ZoneOffset.UTC), maturityDate, notional, underlyingId, strike, PeriodFrequency.SEMI_ANNUAL,
        Currency.USD, ACT_360, payer, cap, false);
    security.setName("USD " + FORMAT.format(notional / 1000000) + (cap ? "MM cap " : "MM floor ") + "@ " + FORMAT.format(strike) +
        (payer ? "%, pay " : "%, receive ") + tenor.getPeriod().normalized().getYears() + "Y ISDA fixing" +
        " (" + TRADE_DATE.toString() + " - " + maturityDate.toLocalDate().toString() + ")");
    security.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    return security;
  }
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    ZonedDateTime maturityDate = zonedDateTimeBeanToDateTimeWithZone(bean.getMaturityDate());
    ExternalId underlyingIdentifier = externalIdBeanToExternalId(bean.getUnderlyingIdentifier());
    Frequency frequency = frequencyBeanToFrequency(bean.getFrequency());
    Currency currency = currencyBeanToCurrency(bean.getCurrency());
    DayCount dayCount = dayCountBeanToDayCount(bean.getDayCount());
    return new CapFloorSecurity(startDate,
        maturityDate,
        bean.getNotional(),
        underlyingIdentifier,
        bean.getStrike(),
        frequency,
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    assertEquals(ExternalId.of(SCHEME, "CAP-FLOOR CMS SPREAD"), ids.get(0));
  }

  @Test
  public void testCapFloorSecurity() {
    final CapFloorSecurity security = ExposureFunctionTestHelper.getCapFloorSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "CAP-FLOOR"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "CAP-FLOOR CMS SPREAD_EUR"), ids.get(0));
  }

  @Test
  public void testCapFloorSecurity() {
    final CapFloorSecurity security = ExposureFunctionTestHelper.getCapFloorSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "CAP-FLOOR_USD"), ids.get(0));
  }
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    assertEquals(ExternalSchemes.syntheticSecurityId("USD 15y Swap"), ids.get(1));
  }

  @Test
  public void testCapFloorSecurity() {
    final CapFloorSecurity security = ExposureFunctionTestHelper.getCapFloorSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("USD 6m Libor"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }

  @Test
  public void testCapFloorSecurity() {
    final CapFloorSecurity security = ExposureFunctionTestHelper.getCapFloorSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "2643"));
    return security;
  }

  public static CapFloorSecurity getCapFloorSecurity() {
    final CapFloorSecurity security = new CapFloorSecurity(DateUtils.getUTCDate(2012, 2, 1), DateUtils.getUTCDate(2017, 2, 1), 10000,
        ExternalSchemes.syntheticSecurityId("USD 6m Libor"), 0.003, PeriodFrequency.ANNUAL, USD, DC, false, true, true);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "10395"));
    return security;
  }
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    final Currency currency = currency();
    final DayCount dayCount = dayCount();
    final boolean payer = bool();
    final boolean cap = bool();
    final boolean ibor = bool();
    final CapFloorSecurity security = new CapFloorSecurity(startDate, maturityDate, notional, underlyingIdentifier, strike, frequency, currency, dayCount, payer, cap, ibor);
    store(security);
    return security;
  }
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    assertNull(ids);
  }

  @Test
  public void testCapFloorSecurity() {
    final CapFloorSecurity security = ExposureFunctionTestHelper.getCapFloorSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertNull(ids);
  }

  @Test
  public void testCapFloorSecurity() {
    final CapFloorSecurity security = ExposureFunctionTestHelper.getCapFloorSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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  • com.opengamma.examples.simulated.generator.MixedCMPortfolioGeneratorTool$CapFloorSecurityGenerator
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  • 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
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