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

Package com.opengamma.financial.security.swap

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

com.opengamma.financial.security.swap.FloatingInterestRateLeg
The floating interest rate swap leg.

    }
  };


  private ValueRequirement getIndexTimeSeriesRequirement(final SwapLeg leg, final ZonedDateTime swapEffectiveDate) {
    if (leg instanceof FloatingInterestRateLeg) {
      final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) leg;
      final ExternalIdBundle id = getIndexIdForSwap(floatingLeg);
      final LocalDate startDate = swapEffectiveDate.toLocalDate().minusDays(360);
      // Implementation note: To catch first fixing. SwapSecurity does not have this date.
      final HistoricalTimeSeriesResolutionResult ts = getTimeSeriesResolver().resolve(id, null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
      if (ts == null) {

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  }


  private ZonedDateTimeDoubleTimeSeries getIndexTimeSeries(final SwapLeg leg, final ZonedDateTime swapEffectiveDate, final ZonedDateTime now,
      final HistoricalTimeSeriesBundle timeSeries) {
    if (leg instanceof FloatingInterestRateLeg) {
      final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) leg;
      final ExternalIdBundle id = getIndexIdForSwap(floatingLeg);
      // Implementation note: To catch first fixing. SwapSecurity does not have this date.
      if (now.isBefore(swapEffectiveDate)) { // TODO: review if this is the correct condition
        return ImmutableZonedDateTimeDoubleTimeSeries.ofEmpty(now.getZone());
      }

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            bean.isEom(), bean.getRate());
      }


      @Override
      public SwapLeg visitFloatingInterestRateLeg(FloatingInterestRateLeg ignore) {
        FloatingInterestRateLeg floatingInterestRateLeg = new FloatingInterestRateLeg(
            dayCountBeanToDayCount(bean.getDayCount()),
            frequencyBeanToFrequency(bean.getFrequency()),
            externalIdBeanToExternalId(bean.getRegion()),
            businessDayConventionBeanToBusinessDayConvention(bean.getBusinessDayConvention()),
            NotionalBeanOperation.createNotional(bean.getNotional()),
            bean.isEom(), 
            externalIdBeanToExternalId(bean.getRateIdentifier()),
            bean.getFloatingRateType());
        floatingInterestRateLeg.setInitialFloatingRate(bean.getRate());
        floatingInterestRateLeg.setSettlementDays(bean.getSettlementDays());
        floatingInterestRateLeg.setOffsetFixing(frequencyBeanToFrequency(bean.getOffsetFixing()));
        return floatingInterestRateLeg;
      }


      @Override
      public SwapLeg visitFloatingSpreadIRLeg(FloatingSpreadIRLeg ignore) {

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        frequency = PeriodFrequency.QUARTERLY;
      } else {
        iborReferenceRate = LIBOR_6M;
        frequency = PeriodFrequency.SEMI_ANNUAL;
      }
      final FloatingInterestRateLeg iborLeg = new FloatingInterestRateLeg(ACT_360, frequency, REGION, FOLLOWING, _notional, true,
          iborReferenceRate, FloatingRateType.IBOR);
      final String ticker = "USDISDA10" + tenor.getPeriod().toString();
      final ExternalId cmsReferenceRate = ExternalSchemes.syntheticSecurityId(ticker);
      final FloatingInterestRateLeg cmsLeg = new FloatingInterestRateLeg(ACT_360, frequency, REGION, FOLLOWING, _notional, true,
          cmsReferenceRate, FloatingRateType.CMS);
      SwapSecurity security;
      boolean payIbor;
      if (RANDOM.nextBoolean()) {
        security = new SwapSecurity(_tradeDate, _tradeDate, maturityDate, COUNTERPARTY, iborLeg, cmsLeg);

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      } else {
        frequency = SEMI_ANNUAL;
        euribor = EURIBOR_6M;
        frequencyLabel = "6m Euribor";
      }
      final FloatingInterestRateLeg floatingLeg = new FloatingInterestRateLeg(ACT_360, frequency, REGION, MODIFIED_FOLLOWING, notional, false, euribor, FloatingRateType.IBOR);
      final SwapSecurity swap;
      final String name;
      if (RANDOM.nextBoolean()) {
        swap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, fixedLeg, floatingLeg);
        name = years + "Y EUR " + FORMATTER.format(notional.getAmount() / 1000000) + "MM, pay " + FORMATTER.format(rate * 100) + "% vs " + frequencyLabel;

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      if (RANDOM.nextBoolean()) {
        frequency = QUARTERLY;
      } else {
        frequency = SEMI_ANNUAL;
      }
      final FloatingInterestRateLeg floatingLeg = new FloatingInterestRateLeg(ACT_360, frequency, REGION, MODIFIED_FOLLOWING, notional, false, EONIA, FloatingRateType.OIS);
      final SwapSecurity swap;
      final String name;
      if (RANDOM.nextBoolean()) {
        swap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, fixedLeg, floatingLeg);
        name = years + "Y EUR " + FORMATTER.format(notional.getAmount() / 1000000) + "MM, pay " + FORMATTER.format(rate * 100) + "% vs EONIA";

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      final int years = 1 + RANDOM.nextInt(30);
      final ZonedDateTime maturityDate = tradeDate.plusYears(years);
      final double spread = years * 0.002 + RANDOM.nextDouble() / 1000.;
      final Frequency payFrequency, receiveFrequency;
      final ExternalId payRate, receiveRate;
      final FloatingInterestRateLeg payLeg, receiveLeg;
      final String frequencyLabel;
      if (RANDOM.nextBoolean()) {
        payFrequency = QUARTERLY;
        receiveFrequency = SEMI_ANNUAL;
        payRate = EURIBOR_3M;
        receiveRate = EURIBOR_6M;
        payLeg = new FloatingSpreadIRLeg(ACT_360, payFrequency, REGION, MODIFIED_FOLLOWING, notional, false, payRate, FloatingRateType.IBOR, spread);
        receiveLeg = new FloatingInterestRateLeg(ACT_360, receiveFrequency, REGION, MODIFIED_FOLLOWING, notional, false, receiveRate, FloatingRateType.IBOR);
        frequencyLabel = "pay 3M Euribor + " + FORMATTER.format((int) (spread * 1000)) + "bp, receive 6M Euribor";
      } else {
        payFrequency = SEMI_ANNUAL;
        receiveFrequency = QUARTERLY;
        payRate = EURIBOR_6M;
        receiveRate = EURIBOR_3M;
        payLeg = new FloatingInterestRateLeg(ACT_360, payFrequency, REGION, MODIFIED_FOLLOWING, notional, false, payRate, FloatingRateType.IBOR);
        receiveLeg = new FloatingSpreadIRLeg(ACT_360, receiveFrequency, REGION, MODIFIED_FOLLOWING, notional, false, receiveRate, FloatingRateType.IBOR, spread);
        frequencyLabel = "receive 3M Euribor + " + FORMATTER.format((int) (spread * 1000)) + "bp, pay 6M Euribor";
      }
      final SwapSecurity swap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, payLeg, receiveLeg);
      final String name = years + "Y EUR " + FORMATTER.format(notional.getAmount() / 1000000) + "MM, " + frequencyLabel;

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            ExternalSchemes.countryRegionId(Country.of("US")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 15000000),
            true,
            0.05),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("US")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 15000000),
            true,
            USDLIBOR3M,
            FloatingRateType.IBOR));
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap1.setName("Swap: pay 5% fixed vs 3m Libor, start=" + swap1.getEffectiveDate().toLocalDate() + ", maturity=" + swap1.getMaturityDate().toLocalDate() + ", notional=USD 15MM");
    final SwapSecurity swap2 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 30, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("DE")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.EUR, 20000000),
            true,
            0.04),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("DE")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.EUR, 20000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "USDLIBORP6M"),
            FloatingRateType.IBOR));
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap2.setName("Swap: pay 4% fixed vs 6m Euribor, start=" + swap2.getEffectiveDate().toLocalDate() + ", maturity=" + swap2.getMaturityDate().toLocalDate() + ", notional=EUR 20MM");
    final SwapSecurity swap3 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 13, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("GB")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.GBP, 15000000),
            true,
            0.03),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("GB")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.GBP, 15000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "GBPLIBORP6M"),
            FloatingRateType.IBOR));
    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap3.setName("Swap: pay 3% fixed vs 6m Libor, start=" + swap3.getEffectiveDate().toLocalDate() + ", maturity=" + swap3.getMaturityDate().toLocalDate() + ", notional=GBP 15MM");
    final SwapSecurity swap4 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 25, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("JP")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.JPY, 100000000),
            true,
            0.02),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("JP")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.JPY, 100000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "JPYLIBORP6M"),
            FloatingRateType.IBOR));
    swap4.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap4.setName("Swap: pay 2% fixed vs 6m Libor, start=" + swap4.getEffectiveDate().toLocalDate() + ", maturity=" + swap4.getMaturityDate().toLocalDate() + ", notional=JPY 100MM");
    final SwapSecurity swap5 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 40, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("CH")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.CHF, 5000000),
            true,
            0.07),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("CH")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.CHF, 5000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "CHFLIBORP6M"),
            FloatingRateType.IBOR));
    swap5.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap5.setName("Swap: pay 7% fixed vs 6m Libor, start=" + swap5.getEffectiveDate().toLocalDate() + ", maturity=" + swap5.getMaturityDate().toLocalDate() + ", notional=CHF 50MM");


    final SwapSecurity swap6 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 20, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("DK")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.DKK, 90000000),
            true,
            0.05),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("DK")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.DKK, 90000000),
            true,

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            ExternalSchemes.countryRegionId(Country.of("US")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 21000000),
            true,
            0.035),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("US")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 21000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "USDISDA10P10Y"),
            FloatingRateType.CMS));
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap1.setName("CMSwap: pay 5Y fixed @ 3.5% vs USDISDA10P10Y, start=" + swap1.getEffectiveDate().toLocalDate() + ", maturity=" + swap1.getMaturityDate().toLocalDate() + ", notional=USD 21MM");
    final SwapSecurity swap2 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(year + 1, 4, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 1, 4, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 7, 4, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("US")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 123000000),
            true,

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    final SwapSecurity swap1 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(year + 1, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 1, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 11, 6, 1, 1, 0), ZoneOffset.UTC),
        "Cpty",
        new FloatingInterestRateLeg(DAY_COUNT, SimpleFrequency.QUARTERLY,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 1.0E7),
            false,
            USDLIBOR3M,
            FloatingRateType.IBOR),
        new FixedInterestRateLeg(DayCountFactory.INSTANCE.getDayCount("30U/360"),
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 1.0E7),
            false,
            0.04));
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap1.setName("Swap: pay 3m Libor vs 4% fixed, start=" + swap1.getEffectiveDate().toLocalDate() + ", maturity=" + swap1.getMaturityDate().toLocalDate() + ", notional=USD 10MM");
    storeFinancialSecurity(swap1);
    final SwaptionSecurity swaption1 = new SwaptionSecurity(false, swap1.getExternalIdBundle().getExternalId(ExternalScheme.of(ID_SCHEME)),
        true, new Expiry(ZonedDateTime.of(LocalDateTime.of(year + 1, 6, 1, 1, 0), ZoneOffset.UTC)),
        true, Currency.USD, null, europeanExerciseType, null);
    swaption1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swaption1.setName("Vanilla swaption, 1Y x 10Y, USD 10,000,000 @ 4%");
    securities.add(swaption1);


    final SwapSecurity swap2 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(year + 2, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 2, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 4, 6, 1, 1, 0), ZoneOffset.UTC),
        "Cpty",
        new FloatingInterestRateLeg(DAY_COUNT, SimpleFrequency.QUARTERLY,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 3000000.0),
            false,
            USDLIBOR3M,
            FloatingRateType.IBOR),
        new FixedInterestRateLeg(DayCountFactory.INSTANCE.getDayCount("30U/360"),
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 3000000.0),
            false,
            0.01));
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap2.setName("Swap: pay 3m Libor vs 1% fixed, start=" + swap2.getEffectiveDate().toLocalDate() + ", maturity=" + swap2.getMaturityDate().toLocalDate() + ", notional=USD 3MM");
    storeFinancialSecurity(swap2);
    final SwaptionSecurity swaption2 = new SwaptionSecurity(false, swap2.getExternalIdBundle().getExternalId(ExternalScheme.of(ID_SCHEME)),
        false, new Expiry(ZonedDateTime.of(LocalDateTime.of(year + 2, 6, 1, 1, 0), ZoneOffset.UTC)),
        true, Currency.USD, null, europeanExerciseType, null);
    swaption2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swaption2.setName("Vanilla swaption, 2Y x 2Y, USD 3,000,000 @ 1%");
    securities.add(swaption2);


    final SwapSecurity swap3 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(year + 5, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 5, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 20, 6, 1, 1, 0), ZoneOffset.UTC),
        "Cpty",
        new FloatingInterestRateLeg(DAY_COUNT, SimpleFrequency.QUARTERLY,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 6000000.0),
            false,
            USDLIBOR3M,

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