Package com.opengamma.financial.security.swap

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

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    assertNull(ids);
  }

  @Test
  public void testFixedFloatSwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getPayFixedFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertNull(ids);
  }

  @Test
  public void testFloatFloatSwapSecurity() {
    final SwapSecurity security = ExposureFunctionTestHelper.getFloatFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertNull(ids);
  }

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

  @Test
  public void testSwaptionSecurity() {
    final SwaptionSecurity security = ExposureFunctionTestHelper.getPaySwaptionSecurity();
    final SwapSecurity underlying = ExposureFunctionTestHelper.getPayFixedFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(new SecurityAndRegionExposureFunction(ExposureFunctionTestHelper.getSecuritySource(underlying)));
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAPTION_DE"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAPTION_DE"), 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_US"), ExternalId.of(SCHEME, "SWAP_DE"))));
  }
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    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final SwapSecurity security = (SwapSecurity) target.getSecurity();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final int numCurveNames = curveNames.length;
    final String[] fullCurveNames = new String[numCurveNames];
    for (int i = 0; i < numCurveNames; i++) {
      fullCurveNames[i] = curveNames[i] + currency.getCode();
    }
    final YieldCurveBundle bundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final ZonedDateTimeDoubleTimeSeries[] fixingSeries = new ZonedDateTimeDoubleTimeSeries[] {FixingTimeSeriesVisitor.convertTimeSeries(
        (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES)) };
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  }

  private static InstrumentDerivative getDerivative(final FinancialSecurity security, final ZonedDateTime now, final HistoricalTimeSeriesBundle timeSeries, final String[] curveNames,
      final InstrumentDefinition<?> definition, final FixedIncomeConverterDataProvider definitionConverter) {
    final InstrumentDerivative derivative;
    final SwapSecurity swapSecurity = (SwapSecurity) security;
    final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType(swapSecurity);
    if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD || type == InterestRateInstrumentType.SWAP_FIXED_OIS) {
      final Frequency resetFrequency;
      if (swapSecurity.getPayLeg() instanceof FloatingInterestRateLeg) {
        resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getPayLeg()).getFrequency();
      } else {
        resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getReceiveLeg()).getFrequency();
      }
      derivative = definitionConverter.convert(security, definition, now,
          FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, curveNames, resetFrequency), timeSeries);
    } else {
      derivative = definitionConverter.convert(security, definition, now,
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      if (_withCurrency) {
        final Security security = target.getTrade().getSecurity();
        if (security instanceof SwapSecurity
            && InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)
            && (InterestRateInstrumentType.getInstrumentTypeFromSecurity((SwapSecurity) security) == InterestRateInstrumentType.SWAP_CROSS_CURRENCY)) {
          final SwapSecurity swapSecurity = (SwapSecurity) security;
          if (swapSecurity.getPayLeg().getNotional() instanceof InterestRateNotional) {
            final String currency = ((InterestRateNotional) swapSecurity.getPayLeg().getNotional()).getCurrency().getCode();
            properties.with(CURRENCY, currency);
            return properties;
          }
        } else if (security instanceof FXForwardSecurity || security instanceof NonDeliverableFXForwardSecurity) {
          properties.with(CURRENCY, ((FinancialSecurity) security).accept(ForexVisitors.getPayCurrencyVisitor()).getCode());
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