Package com.opengamma.financial.security.swap

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

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    assertEquals(ExternalId.of(SCHEME, "SWAPTION"), ids.get(0));
  }

  @Test
  public void testXCcySwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getXCcySwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAP"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "EQUITY VARIANCE SWAP_USD"), ids.get(0));
  }

  @Test
  public void testFixedFloatSwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getPayFixedFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAP_EUR"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAP_EUR"), ids.get(0));
  }

  @Test
  public void testFloatFloatSwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getFloatFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAP_EUR"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAPTION_EUR"), ids.get(0));
  }

  @Test
  public void testXCcySwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getXCcySwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "SWAP_USD"), ExternalId.of(SCHEME, "SWAP_EUR"))));
  }
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    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }

  @Test
  public void testFixedFloatSwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getPayFixedFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }

  @Test
  public void testFloatFloatSwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getFloatFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }

  @Test
  public void testXCcySwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getXCcySwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "USD"), ExternalId.of(SCHEME, "EUR"))));
  }
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    assertNull(ids);
  }

  @Test
  public void testFixedFloatSwapSecurity() {
    SwapSecurity security = ExposureFunctionTestHelper.getPayFixedFloatSwapSecurity();
    List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("3m Euribor"), ids.get(0));
    security = ExposureFunctionTestHelper.getReceiveFixedFloatSwapSecurity();
    ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("3m Euribor"), ids.get(0));
  }
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    assertEquals(ExternalSchemes.syntheticSecurityId("3m Euribor"), ids.get(0));
  }

  @Test
  public void testFloatFloatSwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getFloatFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalSchemes.syntheticSecurityId("3m Euribor"), ExternalSchemes.syntheticSecurityId("6m Euribor"))));
  }
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    assertNull(ids);
  }

  @Test
  public void testSwaptionSecurity() {
    SwapSecurity underlying = ExposureFunctionTestHelper.getPayFixedFloatSwapSecurity();
    SwaptionSecurity security = ExposureFunctionTestHelper.getPaySwaptionSecurity();
    List<ExternalId> ids = security.accept(new UnderlyingExposureFunction(ExposureFunctionTestHelper.getSecuritySource(underlying)));
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("3m Euribor"), ids.get(0));
    underlying = ExposureFunctionTestHelper.getReceiveFixedFloatSwapSecurity();
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Related Classes of com.opengamma.financial.security.swap.SwapSecurity

  • com.opengamma.examples.bloomberg.loader.ExampleAUDSwapPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleEURFixedIncomePortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleMixedCMCapFloorPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleMultiCurrencySwapPortfolioLoader
  • com.opengamma.examples.bloomberg.loader.ExampleSwaptionPortfolioLoader
  • com.opengamma.examples.simulated.generator.AUDSwapPortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.EURFixedIncomePortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.MixedCMPortfolioGeneratorTool$CMSSwapSecurityGenerator
  • com.opengamma.examples.simulated.generator.SwaptionParityPortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.SwaptionPortfolioGeneratorTool
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