Package com.opengamma.financial.security.cds

Examples of com.opengamma.financial.security.cds.StandardVanillaCDSSecurity

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  @Test
  public void testPositionSecurityWithRedCodeIsUsed() {

    SecurityDocument document = new SecurityDocument();
    ManageableSecurity cds = new StandardVanillaCDSSecurity(true, ExternalId.of("EXTERNAL_CODE" ,"ProtBuyer"),
                                                                    ExternalId.of("EXTERNAL_CODE" ,"ProtSeller"), ExternalSchemes.markItRedCode("39FF64"),
                                                                    DebtSeniority.SNRFOR, RestructuringClause.MM, ExternalSchemes.financialRegionId("US"),
                                                                    createZdt(2013, 3, 20), createZdt(2013, 3, 21), createZdt(2014,3,20), StubType.SHORT_START,
                                                                    SimpleFrequency.SEMI_ANNUAL, DayCountFactory.INSTANCE.getDayCount("Actual/360"),
                                                                    BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
                                                                    true, true, true, new InterestRateNotional(Currency.USD, 10000000), true, true, 500,
                                                                    new InterestRateNotional(Currency.USD, 500000), 500, createZdt(2013,3,21), true);
    ExternalId secId = ExternalId.of("SEC_ID", "12345");
    cds.addExternalId(secId);
    document.setSecurity(cds);
    _securityMaster.add(document);

    Position posn = new SimplePosition(BigDecimal.ONE, secId);
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  @Test
  public void testPositionSecurityWithRedCodeIsUsed() {

    SecurityDocument document = new SecurityDocument();
    ManageableSecurity cds = new StandardVanillaCDSSecurity(true, ExternalId.of("EXTERNAL_CODE" ,"ProtBuyer"),
                                                                    ExternalId.of("EXTERNAL_CODE" ,"ProtSeller"), ExternalSchemes.markItRedCode("39FF64"),
                                                                    DebtSeniority.SNRFOR, RestructuringClause.MM, ExternalSchemes.financialRegionId("US"),
                                                                    createZdt(2013, 3, 20), createZdt(2013, 3, 21), createZdt(2014,3,20), StubType.SHORT_START,
                                                                    SimpleFrequency.SEMI_ANNUAL, DayCountFactory.INSTANCE.getDayCount("Actual/360"),
                                                                    BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
                                                                    true, true, true, new InterestRateNotional(Currency.USD, 10000000), true, true, 500,
                                                                    new InterestRateNotional(Currency.USD, 500000), 500, createZdt(2013,3,21), true);
    ExternalId secId = ExternalId.of("SEC_ID", "12345");
    cds.addExternalId(secId);
    document.setSecurity(cds);
    _securityMaster.add(document);

    Position posn = new SimplePosition(BigDecimal.ONE, secId);
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    assertEquals(ExternalId.of(security.getUniqueId().getScheme(), security.getUniqueId().getValue()), ids.get(0));
  }

  @Test
  public void testStandardVanillaCDSSecurity() {
    final StandardVanillaCDSSecurity security = ExposureFunctionTestHelper.getStandardVanillaCDSSecurity();
    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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    assertNull(ids);
  }

  @Test
  public void testCreditDefaultSwapOptionSecurity() {
    final StandardVanillaCDSSecurity underlying = ExposureFunctionTestHelper.getStandardVanillaCDSSecurity();
    final ExposureFunction exposureFunction = new ContractCategoryExposureFunction(ExposureFunctionTestHelper.getSecuritySource(underlying));
    final CreditDefaultSwapOptionSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapOptionSecurity();
    final List<ExternalId> ids = security.accept(exposureFunction);
    assertNull(ids);
  }
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    assertNull(ids);
  }

  @Test
  public void testStandardVanillaCDSSecurity() {
    final StandardVanillaCDSSecurity security = ExposureFunctionTestHelper.getStandardVanillaCDSSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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  }

  @Test
  public void testCreditDefaultSwapOptionSecurity() {
    final CreditDefaultSwapOptionSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapOptionSecurity();
    final StandardVanillaCDSSecurity underlying = ExposureFunctionTestHelper.getStandardVanillaCDSSecurity();
    final RegionExposureFunction exposureFunction = new RegionExposureFunction(ExposureFunctionTestHelper.getSecuritySource(underlying));
    final List<ExternalId> ids = security.accept(exposureFunction);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "DE"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "DE"), ids.get(0));
  }

  @Test
  public void testStandardVanillaCDSSecurity() {
    final StandardVanillaCDSSecurity security = ExposureFunctionTestHelper.getStandardVanillaCDSSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "DE"), ids.get(0));
  }
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  }

  @Test
  public void testCreditDefaultSwapOptionSecurity() {
    final CreditDefaultSwapOptionSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapOptionSecurity();
    final StandardVanillaCDSSecurity underlying = ExposureFunctionTestHelper.getStandardVanillaCDSSecurity();
    final List<ExternalId> ids = security.accept(new SecurityAndRegionExposureFunction(ExposureFunctionTestHelper.getSecuritySource(underlying)));
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "CREDIT_DEFAULT_SWAP_OPTION_DE"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "STANDARD_RECOVERY_LOCK_CDS_DE"), ids.get(0));
  }

  @Test
  public void testStandardVanillaCDSSecurity() {
    final StandardVanillaCDSSecurity security = ExposureFunctionTestHelper.getStandardVanillaCDSSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "STANDARD_VANILLA_CDS_DE"), ids.get(0));
  }
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Related Classes of com.opengamma.financial.security.cds.StandardVanillaCDSSecurity

  • com.opengamma.financial.aggregation.CdsRedCodeAggregationFunctionTest
  • com.opengamma.financial.aggregation.CdsSeniorityAggregationFunctionTest
  • com.opengamma.financial.aggregation.ObligorMarkitSectorAggregatorFunctionTest
  • 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
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