Package com.opengamma.financial.security.swap

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

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  }

  private SwapDefinition getFixedOISSwapDefinition(final SwapSecurity swapSecurity, final boolean payFixed, final boolean forCurve) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ConventionBundle indexConvention = _conventionSource.getConventionBundle(floatLeg.getFloatingReferenceRateId());
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (indexConvention == null) {
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  }

  private SwapIborIborDefinition getIborIborSwapDefinition(final SwapSecurity swapSecurity) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
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  }

  private SwapDefinition getCMSCMSSwapDefinition(final SwapSecurity swapSecurity) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
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  }

  private SwapDefinition getFixedCMSSwapDefinition(final SwapSecurity swapSecurity, final boolean payFixed) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
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  }

  private SwapDefinition getIborCMSSwapDefinition(final SwapSecurity swapSecurity) {
    final ZonedDateTime effectiveDate = swapSecurity.getEffectiveDate();
    final ZonedDateTime maturityDate = swapSecurity.getMaturityDate();
    final SwapLeg payLeg = swapSecurity.getPayLeg();
    final SwapLeg receiveLeg = swapSecurity.getReceiveLeg();
    final FloatingInterestRateLeg floatPayLeg = (FloatingInterestRateLeg) payLeg;
    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final boolean payIbor = floatPayLeg.getFloatingRateType().isIbor();
    final boolean receiveIbor = floatReceiveLeg.getFloatingRateType().isIbor();
    if (receiveIbor == payIbor) {
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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();
    final String securityType = security.getSecurityType();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
    }
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + receiveLeg.getRegionId().getValue()));
    return result;
  }
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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();
    final String securityType = security.getSecurityType();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
    }
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + receiveLeg.getRegionId().getValue()));
    return result;
  }
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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();
    final String securityType = security.getSecurityType();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(ExternalId.of(SECURITY_IDENTIFIER, securityType + "_" + payLeg.getRegionId().getValue()));
    }
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + "_" + payLeg.getRegionId().getValue()));
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + "_" + receiveLeg.getRegionId().getValue()));
    return result;
  }
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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();
    final String securityType = security.getSecurityType();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
    }
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + receiveLeg.getRegionId().getValue()));
    return result;
  }
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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();
    final String securityType = security.getSecurityType();
    if (payLeg.getRegionId().equals(receiveLeg.getRegionId())) {
      return Arrays.asList(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
    }
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + payLeg.getRegionId().getValue()));
    result.add(ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + receiveLeg.getRegionId().getValue()));
    return result;
  }
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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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