Package com.opengamma.financial.security.swap

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

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    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"));
    return security;
  }
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    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"));
    return security;
  }
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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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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "5417"));
    return security;
  }

  public static SwapSecurity getXCcySwapSecurity() {
    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("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(), "311"));
    return security;
  }
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  }

  @Override
  public List<ExternalId> visitForwardSwapSecurity(final ForwardSwapSecurity security) {
    final List<ExternalId> result = new ArrayList<>();
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    if (payLeg instanceof FloatingInterestRateLeg) {
      result.add(((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId());
    }
    if (receiveLeg instanceof FloatingInterestRateLeg) {
      result.add(((FloatingInterestRateLeg) receiveLeg).getFloatingReferenceRateId());
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  }

  @Override
  public List<ExternalId> visitSwapSecurity(final SwapSecurity security) {
    final List<ExternalId> result = new ArrayList<>();
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    if (payLeg instanceof FloatingInterestRateLeg) {
      result.add(((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId());
    }
    if (receiveLeg instanceof FloatingInterestRateLeg) {
      result.add(((FloatingInterestRateLeg) receiveLeg).getFloatingReferenceRateId());
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  @Override
  public List<ExternalId> visitSwaptionSecurity(final SwaptionSecurity security) {
    final List<ExternalId> result = new ArrayList<>();
    final SwapSecurity underlyingSwap = (SwapSecurity) _securitySource.getSingle(ExternalIdBundle.of(security.getUnderlyingId())); //TODO version
    final SwapLeg payLeg = underlyingSwap.getPayLeg();
    final SwapLeg receiveLeg = underlyingSwap.getReceiveLeg();
    if (payLeg instanceof FloatingInterestRateLeg) {
      result.add(((FloatingInterestRateLeg) payLeg).getFloatingReferenceRateId());
    }
    if (receiveLeg instanceof FloatingInterestRateLeg) {
      result.add(((FloatingInterestRateLeg) receiveLeg).getFloatingReferenceRateId());
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  }

  @Override
  public List<ExternalId> visitZeroCouponInflationSwapSecurity(final ZeroCouponInflationSwapSecurity security) {
    final List<ExternalId> result = new ArrayList<>();
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    if (payLeg instanceof InflationIndexSwapLeg) {
      result.add(((InflationIndexSwapLeg) payLeg).getIndexId());
    }
    if (receiveLeg instanceof InflationIndexSwapLeg) {
      result.add(((InflationIndexSwapLeg) receiveLeg).getIndexId());
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  }

  @Override
  public List<ExternalId> visitYearOnYearInflationSwapSecurity(final YearOnYearInflationSwapSecurity security) {
    final List<ExternalId> result = new ArrayList<>();
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    if (payLeg instanceof InflationIndexSwapLeg) {
      result.add(((InflationIndexSwapLeg) payLeg).getIndexId());
    }
    if (receiveLeg instanceof InflationIndexSwapLeg) {
      result.add(((InflationIndexSwapLeg) receiveLeg).getIndexId());
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    return null;
  }

  @Override
  public List<ExternalId> visitForwardSwapSecurity(final ForwardSwapSecurity security) {
    final SwapLeg payLeg = security.getPayLeg();
    final SwapLeg receiveLeg = security.getReceiveLeg();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(payLeg.getRegionId());
    }
    return Arrays.asList(payLeg.getRegionId(), receiveLeg.getRegionId());
  }
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Related Classes of com.opengamma.financial.security.swap.SwapLeg

  • com.opengamma.examples.bloomberg.loader.ExampleMultiCurrencySwapPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleSwaptionPortfolioLoader
  • com.opengamma.examples.simulated.generator.SwaptionPortfolioGeneratorTool
  • com.opengamma.financial.analytics.conversion.InflationSwapSecurityConverter
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverter
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated
  • com.opengamma.financial.analytics.conversion.SwapSecurityUtils
  • com.opengamma.financial.analytics.conversion.YieldCurveFixingSeriesProvider
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.RegionExposureFunction
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