Package com.opengamma.financial.security.swap

Examples of com.opengamma.financial.security.swap.FloatingInterestRateLeg

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    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg iborLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(iborLeg.getFloatingReferenceRateId());
    if (iborIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency + " using " + iborLeg.getFloatingReferenceRateId() + " from swap " +
          swapSecurity.getExternalIdBundle());
    }
    final Frequency freqIbor = iborLeg.getFrequency();
    final Period tenorIbor = getTenor(freqIbor);
    final IborIndex indexIbor = new IborIndex(currency, tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention(), iborIndexConvention.getName());
    final Frequency freqFixed = fixedLeg.getFrequency();
    final Period tenorFixed = getTenor(freqFixed);
    final double fixedLegNotional = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double iborLegNotional = ((InterestRateNotional) iborLeg.getNotional()).getAmount();
    if (hasSpread) {
      final double spread = ((FloatingSpreadIRLeg) iborLeg).getSpread();
      return SwapFixedIborSpreadDefinition.from(effectiveDate, maturityDate, tenorFixed, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(), fixedLeg.isEom(), fixedLegNotional,
          fixedLeg.getRate(), tenorIbor, iborLeg.getDayCount(), iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLegNotional, indexIbor, spread, payFixed, calendar);
    }
    final SwapFixedIborDefinition swap = SwapFixedIborDefinition.from(effectiveDate, maturityDate, tenorFixed, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(), fixedLeg.isEom(),
        fixedLegNotional, fixedLeg.getRate(), tenorIbor, iborLeg.getDayCount(), iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLegNotional, indexIbor, payFixed, calendar);
    return swap;
  }
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    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ConventionBundle indexConvention = _conventionSource.getConventionBundle(floatLeg.getFloatingReferenceRateId());
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (indexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get OIS index convention for " + currency + " using " + floatLeg.getFloatingReferenceRateId());
    }
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegion());
    final String currencyString = currency.getCode();
    final Integer publicationLag = indexConvention.getOvernightIndexSwapPublicationLag();
    if (publicationLag == null) {
      throw new OpenGammaRuntimeException("Could not get ON Index publication lag for " + indexConvention.getIdentifiers());
    }
    final Period paymentFrequency = getTenor(floatLeg.getFrequency());
    final IndexON index = new IndexON(floatLeg.getFloatingReferenceRateId().getValue(), currency, indexConvention.getDayCount(), publicationLag);
    final GeneratorSwapFixedON generator = new GeneratorSwapFixedON(currencyString + "_OIS_Convention", index, paymentFrequency, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(),
        fixedLeg.isEom(), 0, 1 - publicationLag, calendar); // TODO: The payment lag is not available at the security level!
    final double notionalFixed = ((InterestRateNotional) fixedLeg.getNotional()).getAmount();
    final double notionalOIS = ((InterestRateNotional) floatLeg.getNotional()).getAmount();
    if (forCurve) {
      return SwapFixedONSimplifiedDefinition.from(effectiveDate, maturityDate, notionalFixed, notionalOIS, generator, fixedLeg.getRate(), payFixed);
    }
    return SwapFixedONDefinition.from(effectiveDate, maturityDate, notionalFixed, notionalOIS, generator, fixedLeg.getRate(), payFixed);
  }
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  private SwapIborIborDefinition getIborIborSwapDefinition(final SwapSecurity swapSecurity) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (floatPayLeg instanceof FloatingSpreadIRLeg) {
      final AnnuityCouponIborSpreadDefinition payLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, (FloatingSpreadIRLeg) floatPayLeg, calendar, currency, true);
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  private SwapDefinition getCMSCMSSwapDefinition(final SwapSecurity swapSecurity) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityCouponCMSDefinition cmsPayLeg = getCMSwapLegDefinition(effectiveDate, maturityDate, floatPayLeg, calendar, currency, true);
    final AnnuityCouponCMSDefinition cmsReceiveLeg = getCMSwapLegDefinition(effectiveDate, maturityDate, floatReceiveLeg, calendar, currency, false);
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    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityCouponFixedDefinition fixedAnnuity = getFixedSwapLegDefinition(effectiveDate, maturityDate, fixedLeg, calendar, payFixed);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, floatingLeg, calendar, currency, !payFixed);
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  private SwapDefinition getIborCMSSwapDefinition(final SwapSecurity swapSecurity) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final boolean payIbor = floatPayLeg.getFloatingRateType().isIbor();
    final boolean receiveIbor = floatReceiveLeg.getFloatingRateType().isIbor();
    if (receiveIbor == payIbor) {
      throw new OpenGammaRuntimeException("This should never happen");
    }
    final FloatingInterestRateLeg iborLeg = payIbor ? floatPayLeg : floatReceiveLeg;
    final FloatingInterestRateLeg cmsLeg = payIbor ? floatReceiveLeg : floatPayLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityDefinition<? extends CouponFloatingDefinition> iborAnnuity = getIborSwapLegDefinition(effectiveDate, maturityDate, iborLeg, calendar, currency, payIbor);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, cmsLeg, calendar, currency, !payIbor);
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      if (swapLeg[loopleg] instanceof FloatingInterestRateLeg) { // Leg is Ibor
        double spread = 0.0;
        if (swapLeg[loopleg] instanceof FloatingSpreadIRLeg) {
          spread = ((FloatingSpreadIRLeg) swapLeg[loopleg]).getSpread();
        }
        final FloatingInterestRateLeg legFloat = (FloatingInterestRateLeg) swapLeg[loopleg];
        final ConventionBundle iborIndexConvention = _conventionSource.getConventionBundle(legFloat.getFloatingReferenceRateId());
        if (iborIndexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor index convention for " + currency[0] + " using " + legFloat.getFloatingReferenceRateId());
        }
        final Period tenorIbor = iborIndexConvention.getPeriod();
        final IborIndex iborIndex = new IborIndex(currency[loopleg], tenorIbor, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
            iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
        legDefinition.add(AnnuityDefinitionBuilder.annuityIborSpreadWithNotionalFrom(settlementDate, maturityDate, notional[loopleg], iborIndex, spread, payer[loopleg], calendar[loopleg]));
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    FixingIndex fixingIndex = floatingLeg.getFixingIndex();
    ExternalId referenceRate = fixingIndex.getIndex().toExternalId();
    FloatingRateType rateType = FloatingRateType.valueOf(fixingIndex.getRateType().toString());

    return new FloatingInterestRateLeg(dayCount, frequency, region, businessDayConvention, notional, isEndOfMonth,
        referenceRate, rateType);
  }
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    final ExternalId regionIdentifier = region();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean eom = bool();
    final ExternalId floatingReferenceRateId = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "US0003M Index");
    final FloatingRateType floatingRateType = floatingRateType();
    return new FloatingInterestRateLeg(dayCount, frequency, regionIdentifier, businessDayConvention, notional, eom, floatingReferenceRateId, floatingRateType);
  }
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  public Set<ExternalIdBundle> visitSwapSecurity(final SwapSecurity security) {
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    final Set<ExternalIdBundle> idBundles = new HashSet<>();
    if (payLeg instanceof FloatingInterestRateLeg) {
      final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) payLeg;
      idBundles.add(_conventionBundleSource.getConventionBundle(floatLeg.getFloatingReferenceRateId()).getIdentifiers());
    }
    if (receiveLeg instanceof FloatingInterestRateLeg) {
      final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) receiveLeg;
      idBundles.add(_conventionBundleSource.getConventionBundle(floatLeg.getFloatingReferenceRateId()).getIdentifiers());
    }
    return idBundles;
  }
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