Package com.opengamma.financial.security.swap

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

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    final ExternalId cmsId = TICKERS.get(tenor);
    if (cmsId == null) {
      throw new OpenGammaRuntimeException("Could not get swap rate ticker for " + tenor);
    }
    final InterestRateNotional notional = new InterestRateNotional(Currency.USD, 1000000 * (1 + random.nextInt(50)));
    final FloatingInterestRateLeg iborLeg = new FloatingInterestRateLeg(ACT_360, frequency, REGION, FOLLOWING, notional, true,
        iborReferenceRate, FloatingRateType.IBOR);
    final FloatingInterestRateLeg cmsLeg = new FloatingInterestRateLeg(ACT_360, frequency, REGION, FOLLOWING, notional, true,
        cmsId, 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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        ExternalId.of(ExternalSchemes.FINANCIAL, "123"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
        new InterestRateNotional(Currency.GBP, 123),
        false,
        0.01);
    SwapLeg receiveLeg = new FloatingInterestRateLeg(
        DayCountFactory.INSTANCE.getDayCount("Act/Act"),
        SimpleFrequency.QUARTERLY,
        ExternalId.of(ExternalSchemes.FINANCIAL, "123"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
        new InterestRateNotional(Currency.GBP, 234),
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    final double amount = 100000 * (1 + random.nextInt(30));
    final InterestRateNotional notional = new InterestRateNotional(ccy, amount);
    final double rate = getSwapRate(ccy, tradeDate, maturity) * (1 + ((random.nextDouble() - 0.5) / 30.));
    final Frequency frequency = ccy.equals(Currency.USD) ? PeriodFrequency.QUARTERLY : PeriodFrequency.SEMI_ANNUAL;
    final SwapLeg fixedLeg = new FixedInterestRateLeg(DAY_COUNT, PeriodFrequency.SEMI_ANNUAL, region, BDC, notional, false, rate);
    final SwapLeg floatLeg = new FloatingInterestRateLeg(DAY_COUNT, frequency, region, BDC, notional, false, floatingRate, FloatingRateType.IBOR);
    final SwapLeg payLeg, receiveLeg;
    final String swapName, swaptionName;
    final boolean isLong = random.nextBoolean();
    final boolean isCashSettled = random.nextBoolean();
    final boolean payer;
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        swapConvention.getSwapFixedLegFrequency(),
        swapConvention.getSwapFixedLegRegion(),
        swapConvention.getSwapFixedLegBusinessDayConvention(),
        new InterestRateNotional(ccy, notional),
        false, fixedRate);
    FloatingInterestRateLeg floatingLeg = new FloatingInterestRateLeg(swapConvention.getSwapFloatingLegDayCount(),
        swapConvention.getSwapFloatingLegFrequency(),
        swapConvention.getSwapFloatingLegRegion(),
        swapConvention.getSwapFloatingLegBusinessDayConvention(),
        new InterestRateNotional(ccy, notional),
        false, tsIdentifier,
        FloatingRateType.IBOR);
    floatingLeg.setInitialFloatingRate(initialRate);
    String fixedLegDescription = RATE_FORMATTER.format(fixedRate);
    String floatingLegDescription = swapConvention.getSwapFloatingLegInitialRate().getValue();
    boolean isPayFixed = getRandom().nextBoolean();
    SwapLeg payLeg;
    String payLegDescription;
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    System.exit(0);
  }

  @Override
  protected void doRun() {
    final FloatingInterestRateLeg payLeg1 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg1 = new FixedInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.04);
    final SwapSecurity swap1 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg1, receiveLeg1);
    swap1.setName("Swap AUD Bank Bill 3m");
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg payLeg2 = new FloatingInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_6M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg2 = new FixedInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, FOLLOWING, NOTIONAL, true, 0.04);
    final SwapSecurity swap2 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg2, receiveLeg2);
    swap2.setName("Swap AUD Bank Bill 6m");
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg payLeg3 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg3 = new FixedInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.0365);
    final SwapSecurity swap3 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg3, receiveLeg3);
    swap3.setName("Swap: receive 3.65% fixed ACT/365 vs 3m Bank Bill");
    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg receiveLeg4 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg payLeg4 = new FixedInterestRateLeg(ACT_360, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.036);
    final SwapSecurity swap4 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg4, receiveLeg4);
    swap4.setName("Swap: receive 3.60% fixed ACT/360 vs 3m Bank Bill");
    swap4.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final Collection<SwapSecurity> swaps = new HashSet<>();
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  }

  public static SwapSecurity getPayFixedFloatSwapSecurity() {
    final InterestRateNotional notional = new InterestRateNotional(EUR, 1000000);
    final SwapLeg payLeg = new FixedInterestRateLeg(DC, PeriodFrequency.SEMI_ANNUAL, DE, BDC, notional, false, 0.04);
    final SwapLeg receiveLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("3m Euribor"), FloatingRateType.IBOR);
    final SwapSecurity security = new SwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "65456"));
    return security;
  }
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  }

  public static SwapSecurity getReceiveFixedFloatSwapSecurity() {
    final InterestRateNotional notional = new InterestRateNotional(EUR, 1000000);
    final SwapLeg receiveLeg = new FixedInterestRateLeg(DC, PeriodFrequency.SEMI_ANNUAL, DE, BDC, notional, false, 0.04);
    final SwapLeg payLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("3m Euribor"), FloatingRateType.IBOR);
    final SwapSecurity security = new SwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "65456"));
    return security;
  }
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