Package com.opengamma.financial.security.swap

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

1570
1571
1572
1573
1574
1575
1576
1577
1578
    final String counterparty = "counterparty";
    final Notional notional = interestRateNotional();
    final boolean payLegFixed = bool();
    final SwapLeg payLeg = payLegFixed ? fixedInterestRateLeg(notional) : floatingInterestRateLeg(notional);
    final SwapLeg receiveLeg = payLegFixed ? floatingInterestRateLeg(notional) : fixedInterestRateLeg(notional);
    final SwapSecurity security = new SwapSecurity(tradeDate, effectiveDate, maturityDate, counterparty, payLeg, receiveLeg);
    store(security);
    return security;
  }
View Full Code Here
844
845
846
847
848
849
850
851
852
    }
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, fixedLegConvention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(fixedLegConvention.getSwapFixedLegDayCount(), fixedLegConvention.getSwapFixedLegFrequency(),
        fixedLegConvention.getSwapFixedLegRegion(), fixedLegConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
866
867
868
869
870
871
872
873
874
        convention.getSwapFixedLegRegion(), convention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final FloatingInterestRateLeg iborLeg = new FloatingInterestRateLeg(convention.getSwapFloatingLegDayCount(), convention.getSwapFloatingLegFrequency(),
        convention.getSwapFloatingLegRegion(), convention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, convention.getSwapFloatingLegInitialRate(),
        FloatingRateType.OIS); //convention type is wrong but it's ignored in the converter anyway.
    final String counterparty = "";
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
932
933
934
935
936
937
938
939
940
    }
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, fixedLegConvention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(fixedLegConvention.getSwapFixedLegDayCount(), fixedLegConvention.getSwapFixedLegFrequency(),
        fixedLegConvention.getSwapFixedLegRegion(), fixedLegConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
972
973
974
975
976
977
978
979
980
    final FloatingSpreadIRLeg payLeg = new FloatingSpreadIRLeg(payDayCount, payFrequency, payRegionIdentifier, payBusinessDayConvention, notional, false, payFloatingReferenceRateId,
        payFloatingRateType, spread);
    final FloatingInterestRateLeg receiveLeg = new FloatingInterestRateLeg(receiveDayCount, receiveFrequency, receiveRegionIdentifier, receiveBusinessDayConvention, notional, false,
        receiveFloatingReferenceRateId, receiveFloatingRateType);
    //TODO don't use pay spot date and maturity date automatically
    final SwapSecurity swap = new SwapSecurity(curveDate, paySpotDate, payMaturityDate, counterparty, payLeg, receiveLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
996
997
998
999
1000
1001
1002
1003
1004
1005
1006
1007
1008
      throw new OpenGammaRuntimeException("Could not get spread; was trying " + swapIdentifier);
    }
    final double spread = rate;
    // REVIEW: jim 25-Aug-2010 -- we need to change the swap to take settlement days.

    final SwapSecurity swap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, counterparty, new FloatingInterestRateLeg(convention.getBasisSwapPayFloatingLegDayCount(),
        convention.getBasisSwapPayFloatingLegFrequency(), convention.getBasisSwapPayFloatingLegRegion(), convention.getBasisSwapPayFloatingLegBusinessDayConvention(), new InterestRateNotional(
            spec.getCurrency(), 1), false, payLegFloatRateBloombergTicker, FloatingRateType.IBOR), new FloatingSpreadIRLeg(convention.getBasisSwapReceiveFloatingLegDayCount(),
                convention.getBasisSwapReceiveFloatingLegFrequency(), convention.getBasisSwapReceiveFloatingLegRegion(), convention.getBasisSwapReceiveFloatingLegBusinessDayConvention(),
                new InterestRateNotional(spec.getCurrency(), 1), false, receiveLegFloatRateBloombergTicker, FloatingRateType.IBOR, spread));
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
1046
1047
1048
1049
1050
1051
1052
1053
1054
    final FloatingInterestRateLeg oisLeg = new FloatingInterestRateLeg(swapConvention.getSwapFloatingLegDayCount(), floatingFrequency,
        swapConvention.getSwapFloatingLegRegion(), swapConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingReferenceRateId,
        FloatingRateType.OIS);
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(), swapConvention.getSwapFixedLegFrequency(), swapConvention.getSwapFixedLegRegion(),
        swapConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, oisLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
View Full Code Here
165
166
167
168
169
170
171
172
173
      payLeg = floatingLeg;
      payLegDescription = floatingLegDescription;
      receiveLeg = fixedLeg;
      receiveLegDescription = fixedLegDescription;
    }
    final SwapSecurity swap = new SwapSecurity(tradeDateTime, tradeDateTime, maturityDateTime, counterparty, payLeg, receiveLeg);
    swap.setName("IR Swap " + ccy + " " + NOTIONAL_FORMATTER.format(notional) + " " + maturityDateTime.toString(DATE_FORMATTER) + " - " + payLegDescription + " / " + receiveLegDescription);
    return swap;
  }
View Full Code Here
173
174
175
176
177
178
179
180
181
182
183
184
  }

  @Override
  public ManageableTrade createSecurityTrade(final QuantityGenerator quantity, final SecurityPersister persister, final NameGenerator counterPartyGenerator) {
    ManageableTrade trade = null;
    final SwapSecurity swap = createSecurity();
    if (swap != null) {
      trade = new ManageableTrade(quantity.createQuantity(), persister.storeSecurity(swap), swap.getTradeDate().toLocalDate(), swap.getTradeDate().toOffsetDateTime().toOffsetTime(),
          ExternalId.of(Counterparty.DEFAULT_SCHEME, counterPartyGenerator.createName()));
    }
    return trade;
  }
View Full Code Here
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
    }

    fetch(swapsArgs);

    for (final Triple<Currency, LocalDate, Tenor> swapArgs : swapsArgs) {
      SwapSecurity swap = null;
      try {
        swap = makeSwap(random, swapArgs.getFirst(), swapArgs.getSecond(), swapArgs.getThird());
      } catch (final Exception e) {
        e.printStackTrace();
      }
      if (swap != null) {
        swaps.add(swap);
      }
    }

    final StringBuilder sb = new StringBuilder();
    sb.append("Parsed ").append(swaps.size()).append(" swaps:\n");
    for (final SwapSecurity swap : swaps) {
      sb.append("\t").append(swap.getName()).append("\n");
    }
    s_logger.info(sb.toString());
    return swaps;
  }
View Full Code Here
TOP

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
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.