Package com.opengamma.financial.security.swap

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

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      throw new OpenGammaRuntimeException("Could not handle swap maturity " + maturity);
    }
    final ZonedDateTime swaptionExpiry = tradeDate.plus(expiryPeriod).atStartOfDay().atZone(ZoneOffset.UTC);
    final ZonedDateTime swapMaturity = swaptionExpiry.plus(maturity.getPeriod());
    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;
    if (random.nextBoolean()) {
      payLeg = fixedLeg;
      receiveLeg = floatLeg;
      swapName = swapString + " pay " + ccy + " " + notional.getAmount() + " @ " + STRIKE_FORMATTER.format(rate);
      swaptionName = (isLong ? "Long " : "Short ") + swaptionString + " x " + swapString + " pay " + ccy + " " + notional.getAmount() + " @ " + STRIKE_FORMATTER.format(rate);
      payer = true;
    } else {
      payLeg = floatLeg;
      receiveLeg = fixedLeg;
      swapName = swapString + " receive " + ccy + " " + notional.getAmount() + " @ " + STRIKE_FORMATTER.format(rate);
      swaptionName = (isLong ? "Long " : "Short ") + swaptionString + " x " + swapString + " receive " + ccy + " " + notional.getAmount() + " @ " + STRIKE_FORMATTER.format(rate);
      payer = false;
    }
    final SwapSecurity swap = new SwapSecurity(swaptionExpiry, swaptionExpiry.plusDays(2), swapMaturity, COUNTERPARTY, payLeg, receiveLeg);
    swap.setName(swapName);
    final ExternalId underlyingId = ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString());
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    String counterparty = "CParty";
    SwapLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(),
        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();
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  public static CreditDefaultSwapIndexSecurity getCreditDefaultSwapIndexSecurity() {
    final UniqueId underlyingId = getCreditDefaultSwapIndexDefinitionSecurity().getUniqueId();
    final CreditDefaultSwapIndexSecurity security = new CreditDefaultSwapIndexSecurity(false, ExternalId.of("Test", "A"), ExternalId.of("Test", "B"), ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()),
        DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), StubType.LONG_END, PeriodFrequency.SEMI_ANNUAL, DC, BDC,
        false, false, false, new InterestRateNotional(EUR, 1000), true, false, DateUtils.getUTCDate(2013, 1, 1), false, new InterestRateNotional(EUR, 1), 0.02);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23165"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "93867"));
    return security;
  }

  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"));
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "65456"));
    return security;
  }

  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"));
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "65456"));
    return security;
  }

  public static SwapSecurity getFloatFloatSwapSecurity() {
    final InterestRateNotional notional = new InterestRateNotional(EUR, 1000000);
    final SwapLeg payLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("6m Euribor"), FloatingRateType.IBOR);
    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(), "874"));
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "1234"));
    return security;
  }

  public static ForwardSwapSecurity getPayForwardFixedFloatSwapSecurity() {
    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 ForwardSwapSecurity security = new ForwardSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg, DateUtils.getUTCDate(2014, 1, 1));
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
    return security;
  }

  public static ForwardSwapSecurity getReceiveForwardFixedFloatSwapSecurity() {
    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 ForwardSwapSecurity security = new ForwardSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg, DateUtils.getUTCDate(2014, 1, 1));
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
    return security;
  }

  public static ForwardSwapSecurity getForwardFloatFloatSwapSecurity() {
    final InterestRateNotional notional = new InterestRateNotional(EUR, 1000000);
    final SwapLeg payLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("6m Euribor"), FloatingRateType.IBOR);
    final SwapLeg receiveLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("3m Euribor"), FloatingRateType.IBOR);
    final ForwardSwapSecurity security = new ForwardSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg, DateUtils.getUTCDate(2014, 1, 1));
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
    return security;
  }

  public static ForwardSwapSecurity getForwardXCcySwapSecurity() {
    final SwapLeg payLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, US, BDC, new InterestRateNotional(USD, 100000), false, ExternalSchemes.syntheticSecurityId("3m USD Libor"), FloatingRateType.IBOR);
    final SwapLeg receiveLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, new InterestRateNotional(EUR, 100000), false, ExternalSchemes.syntheticSecurityId("6m Euribor"), FloatingRateType.IBOR);
    final ForwardSwapSecurity security = new ForwardSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg, DateUtils.getUTCDate(2014, 1, 1));
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
    return security;
  }
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