Package com.opengamma.financial.security.swap

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

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  private MySecurityGenerator<ManageableSecurity> getSwapParityGenerator() {
    final ZonedDateTime tradeDate = DateUtils.previousWeekDay().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime effectiveDate = tradeDate;
    final ZonedDateTime maturity = DateUtils.getUTCDate(2024, 9, 5);
    final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000);
    final FloatingInterestRateLeg receiveLeg1 = new FloatingInterestRateLeg(ACT_360, QUARTERLY, REGION, MODIFIED_FOLLOWING, notional, true, LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg payLeg1 = new FixedInterestRateLeg(THIRTYU_360, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, true, 0.02);
    final SwapSecurity swap1 = new SwapSecurity(tradeDate, effectiveDate, maturity, COUNTERPARTY, payLeg1, receiveLeg1);
    swap1.setName("Pay Fixed @ 2% v USD 3m Libor");
    final SwapSecurity swap2 = new SwapSecurity(tradeDate, effectiveDate, maturity, COUNTERPARTY, receiveLeg1, payLeg1);
    swap2.setName("Receive Fixed @ 2% v USD 3m Libor");
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    final ZonedDateTime tradeDate = DateUtils.previousWeekDay().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime effectiveDate = tradeDate.plusYears(1);
    final ZonedDateTime maturityDate = effectiveDate.plusYears(10);
    final Expiry expiry = new Expiry(effectiveDate.minusDays(2));
    final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000);
    final FloatingInterestRateLeg payLeg = new FloatingInterestRateLeg(ACT_360, QUARTERLY, REGION, MODIFIED_FOLLOWING, notional, true, LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg = new FixedInterestRateLeg(THIRTYU_360, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, true, 0.02);
    final SwapSecurity underlyingSwap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, payLeg, receiveLeg);
    underlyingSwap.setName("Receive fixed @ 2% v USD 3m Libor");
    final SecurityDocument toAddDoc = new SecurityDocument();
    toAddDoc.setSecurity(underlyingSwap);
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    final ZonedDateTime tradeDate = DateUtils.previousWeekDay().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime effectiveDate = tradeDate.plusYears(1);
    final ZonedDateTime maturityDate = effectiveDate.plusYears(10);
    final Expiry expiry = new Expiry(effectiveDate.minusDays(2));
    final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000);
    final FloatingInterestRateLeg payLeg = new FloatingInterestRateLeg(ACT_360, QUARTERLY, REGION, MODIFIED_FOLLOWING, notional, true, LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg1 = new FixedInterestRateLeg(ACT_360, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, true, 0.018);
    final FixedInterestRateLeg receiveLeg2 = new FixedInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, true, 0.01825);
    final SwapSecurity underlyingSwap1 = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, payLeg, receiveLeg1);
    underlyingSwap1.setName("Receive fixed @ 1.8% v USD 3m Libor");
    final SwapSecurity underlyingSwap2 = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, payLeg, receiveLeg2);
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    final ZonedDateTime tradeDate = DateUtils.previousWeekDay().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime effectiveDate = tradeDate.plusYears(1);
    final ZonedDateTime maturityDate = effectiveDate.plusYears(10);
    final Expiry expiry = new Expiry(effectiveDate.minusDays(2));
    final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000);
    final FloatingInterestRateLeg payLeg = new FloatingInterestRateLeg(ACT_360, QUARTERLY, REGION, MODIFIED_FOLLOWING, notional, true, LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg = new FixedInterestRateLeg(THIRTYU_360, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, true, 0.02);
    final SwapSecurity underlyingSwap1 = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, payLeg, receiveLeg);
    underlyingSwap1.setName("Receive fixed @ 2% v USD 3m Libor");
    final SwapSecurity underlyingSwap2 = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, receiveLeg, payLeg);
    underlyingSwap2.setName("Pay fixed @ 2% v USD 3m Libor");
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                                             FloatingRateType.IBOR,
                                             _rate),
                     Triple.of(startDate, spotDateLeg, _valuationTime.plus(maturityTenor)));
    }
    //return AnnuityCouponIborDefinition.from(startDate, maturityTenor, 1, iborIndex, isPayer, calendar);
    return Pair.of(new FloatingInterestRateLeg(dayCount,
                                               PeriodFrequency.of(maturityTenor),
                                               indexConvention.getRegionCalendar(),
                                               businessDayConvention,
                                               new InterestRateNotional(currency, _amount),
                                               eomLeg,
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                                             FloatingRateType.OIS,
                                             _rate),
                     Triple.of(startDate, spotDateLeg, _valuationTime.plus(maturityTenor)));
    }
    //return AnnuityCouponONSimplifiedDefinition.from(startDate, maturityTenor, 1, isPayer, indexON, paymentLag, calendar, businessDayConvention, paymentPeriod, eomLeg);
    return Pair.of(new FloatingInterestRateLeg(dayCount,
                                               PeriodFrequency.of(maturityTenor),
                                               indexConvention.getRegionCalendar(),
                                               businessDayConvention,
                                               new InterestRateNotional(currency, _amount),
                                               eomLeg,
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        true,
        0.1);
  }

  private static SwapLeg floatingLeg(final Frequency frequency) {
    return new FloatingInterestRateLeg(DayCountFactory.INSTANCE.getDayCount("Actual/360"),
        frequency,
        ExternalId.of("Reg", "123"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
        new InterestRateNotional(Currency.GBP, 1234),
        true,
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    if (!payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      throw new OpenGammaRuntimeException("Pay and receive legs must be from same region; have " + payLeg.getRegionId() + " and " + receiveLeg.getRegionId());
    }
    if (payLeg instanceof FixedInterestRateLeg && receiveLeg instanceof FloatingInterestRateLeg) {

      final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) receiveLeg;
      if (floatingLeg instanceof FloatingSpreadIRLeg) {
        return InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD;
      }
      final FloatingRateType floatingRateType = floatingLeg.getFloatingRateType();
      switch (floatingRateType) {
        case IBOR:
          return InterestRateInstrumentType.SWAP_FIXED_IBOR;
        case CMS:
          return InterestRateInstrumentType.SWAP_FIXED_CMS;
        case OIS:
          return InterestRateInstrumentType.SWAP_FIXED_OIS;
        default:
          throw new OpenGammaRuntimeException("Unsupported Floating rate type: " + floatingRateType);
      }
    } else if (payLeg instanceof FloatingInterestRateLeg && receiveLeg instanceof FixedInterestRateLeg) {
      final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) payLeg;

      if (floatingLeg instanceof FloatingSpreadIRLeg) {
        return InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD;
      }
      final FloatingRateType floatingRateType = floatingLeg.getFloatingRateType();
      switch (floatingRateType) {
        case IBOR:
          return InterestRateInstrumentType.SWAP_FIXED_IBOR;
        case CMS:
          return InterestRateInstrumentType.SWAP_FIXED_CMS;
        case OIS:
          return InterestRateInstrumentType.SWAP_FIXED_OIS;
        default:
          throw new OpenGammaRuntimeException("Unsupported Floating rate type: " + floatingRateType);
      }
    }
    if (payLeg instanceof FloatingInterestRateLeg && receiveLeg instanceof FloatingInterestRateLeg) {
      final FloatingInterestRateLeg payLeg1 = (FloatingInterestRateLeg) payLeg;
      final FloatingInterestRateLeg receiveLeg1 = (FloatingInterestRateLeg) receiveLeg;
      if (payLeg1.getFloatingRateType().isIbor()) {
        if (receiveLeg1.getFloatingRateType().isIbor()) {
          return InterestRateInstrumentType.SWAP_IBOR_IBOR;
        }
        return InterestRateInstrumentType.SWAP_IBOR_CMS;
      }
      if (receiveLeg1.getFloatingRateType().isIbor()) {
        return InterestRateInstrumentType.SWAP_IBOR_CMS;
      }
      return InterestRateInstrumentType.SWAP_CMS_CMS;
    }
    throw new OpenGammaRuntimeException("Can only handle fixed-floating (pay and receive) swaps and floating-floating swaps");
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    @Override
    public String visitSwapSecurity(final SwapSecurity security) {
      if (security.getPayLeg() instanceof FixedInterestRateLeg) {
        return null;
      }
      final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) security.getPayLeg();
      final StringBuilder sb = new StringBuilder(floatingLeg.getFloatingReferenceRateId().getValue());
      if (floatingLeg instanceof FloatingSpreadIRLeg) {
        sb.append(STRING);
        sb.append(((FloatingSpreadIRLeg) floatingLeg).getSpread());
      }
      return sb.toString();
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    } else {
      throw new OpenGammaRuntimeException("Can only handle cash- and physically-settled ibor swaptions");
    }
    final SwapSecurity underlyingSecurity = (SwapSecurity) securitySource.getSingle(ExternalIdBundle.of(security.getUnderlyingId()));
    FixedInterestRateLeg fixedLeg;
    FloatingInterestRateLeg floatLeg;
    if (underlyingSecurity.getPayLeg() instanceof FixedInterestRateLeg) {
      fixedLeg = (FixedInterestRateLeg) underlyingSecurity.getPayLeg();
      floatLeg = (FloatingInterestRateLeg) underlyingSecurity.getReceiveLeg();
    } else {
      fixedLeg = (FixedInterestRateLeg) underlyingSecurity.getReceiveLeg();
      floatLeg = (FloatingInterestRateLeg) underlyingSecurity.getPayLeg();
    }
    switch (floatLeg.getFloatingRateType()) {
      case IBOR: {
        AnnuityCouponIborDefinition iborLeg;
        if (swap.getFirstLeg() instanceof AnnuityCouponIborDefinition) {
          iborLeg = (AnnuityCouponIborDefinition) swap.getFirstLeg();
        } else if (swap.getSecondLeg() instanceof AnnuityCouponIborDefinition) {
          iborLeg = (AnnuityCouponIborDefinition) swap.getSecondLeg();
        } else {
          throw new OpenGammaRuntimeException("Could not find ibor leg for " + underlyingSecurity);
        }
        final IborIndex iborIndex = iborLeg.getIborIndex();
        final Calendar calendar = iborLeg.getIborCalendar();
        final DayCount fixedLegDayCount = fixedLeg.getDayCount();
        final Frequency frequency = fixedLeg.getFrequency();
        final Period fixedLegPeriod;
        if (frequency instanceof PeriodFrequency) {
          fixedLegPeriod = ((PeriodFrequency) frequency).getPeriod();
        } else if (frequency instanceof SimpleFrequency) {
          fixedLegPeriod = ((SimpleFrequency) frequency).toPeriodFrequency().getPeriod();
        } else {
          throw new OpenGammaRuntimeException("Can only handle PeriodFrequency or SimpleFrequency");
        }
        return new GeneratorSwapFixedIbor("Swap Generator", fixedLegPeriod, fixedLegDayCount, iborIndex, calendar);
      }
      case OIS: {
        IndexON onIndex;
        Calendar calendar;
        if (swap.getFirstLeg() instanceof AnnuityCouponONDefinition) {
          final AnnuityCouponONDefinition annuityCouponONDefinition = (AnnuityCouponONDefinition) swap.getFirstLeg();
          onIndex = annuityCouponONDefinition.getOvernightIndex();
          calendar = annuityCouponONDefinition.getCalendar();
        } else if (swap.getSecondLeg() instanceof AnnuityCouponONDefinition) {
          final AnnuityCouponONDefinition annuityCouponONDefinition = (AnnuityCouponONDefinition) swap.getSecondLeg();
          onIndex = annuityCouponONDefinition.getOvernightIndex();
          calendar = annuityCouponONDefinition.getCalendar();
        } else if (swap.getFirstLeg().getNthPayment(0) instanceof CouponONCompoundedDefinition) {
          final CouponONCompoundedDefinition couponONDefinition = (CouponONCompoundedDefinition) swap.getFirstLeg().getNthPayment(0);
          onIndex = couponONDefinition.getIndex();
          calendar = couponONDefinition.getCalendar();
        } else if (swap.getSecondLeg().getNthPayment(0) instanceof CouponONCompoundedDefinition) {
          final CouponONCompoundedDefinition couponONDefinition = (CouponONCompoundedDefinition) swap.getSecondLeg().getNthPayment(0);
          onIndex = couponONDefinition.getIndex();
          calendar = couponONDefinition.getCalendar();
        } else {
          throw new OpenGammaRuntimeException("Could not find overnight leg for " + underlyingSecurity);
        }
        final DayCount fixedLegDayCount = fixedLeg.getDayCount();
        final Frequency frequency = fixedLeg.getFrequency();
        final Period fixedLegPeriod;
        if (frequency instanceof PeriodFrequency) {
          fixedLegPeriod = ((PeriodFrequency) frequency).getPeriod();
        } else if (frequency instanceof SimpleFrequency) {
          fixedLegPeriod = ((SimpleFrequency) frequency).toPeriodFrequency().getPeriod();
        } else {
          throw new OpenGammaRuntimeException("Can only handle PeriodFrequency or SimpleFrequency");
        }
        final BusinessDayConvention businessDayConvention = fixedLeg.getBusinessDayConvention();
        final boolean isEOM = fixedLeg.isEom();
        final int spotLag = 0; //TODO
        if (FinancialSecurityUtils.getCurrency(underlyingSecurity).getCode().equals("BRL")) {
          return new GeneratorSwapFixedCompoundedONCompounded("Swap Generator", onIndex, fixedLegDayCount, businessDayConvention, isEOM, spotLag, calendar);
        }
        return new GeneratorSwapFixedON("Swap Generator", onIndex, fixedLegPeriod, fixedLegDayCount, businessDayConvention, isEOM, spotLag, calendar);
      }
      default:
        throw new OpenGammaRuntimeException("Cannot handle floating leg type " + floatLeg.getFloatingRateType());
    }
  }
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