Package com.opengamma.financial.security.swap

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

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

  @Test
  public void testPayZeroCouponInflationSwapSecurity() {
    final ZeroCouponInflationSwapSecurity security = ExposureFunctionTestHelper.getPayZeroCouponInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "ZERO_COUPON_INFLATION_SWAP"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "ZERO_COUPON_INFLATION_SWAP"), ids.get(0));
  }

  @Test
  public void testReceiveZeroCouponInflationSwapSecurity() {
    final ZeroCouponInflationSwapSecurity security = ExposureFunctionTestHelper.getReceiveZeroCouponInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "ZERO_COUPON_INFLATION_SWAP"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "YEAR_ON_YEAR_INFLATION_SWAP_USD"), ids.get(0));
  }

  @Test
  public void testPayZeroCouponInflationSwapSecurity() {
    final ZeroCouponInflationSwapSecurity security = ExposureFunctionTestHelper.getPayZeroCouponInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "ZERO_COUPON_INFLATION_SWAP_USD"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "ZERO_COUPON_INFLATION_SWAP_USD"), ids.get(0));
  }

  @Test
  public void testReceiveZeroCouponInflationSwapSecurity() {
    final ZeroCouponInflationSwapSecurity security = ExposureFunctionTestHelper.getReceiveZeroCouponInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "ZERO_COUPON_INFLATION_SWAP_USD"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }

  @Test
  public void testPayZeroCouponInflationSwapSecurity() {
    final ZeroCouponInflationSwapSecurity security = ExposureFunctionTestHelper.getPayZeroCouponInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }

  @Test
  public void testReceiveZeroCouponInflationSwapSecurity() {
    final ZeroCouponInflationSwapSecurity security = ExposureFunctionTestHelper.getReceiveZeroCouponInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }
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    assertEquals(ExternalSchemes.syntheticSecurityId("CPI"), ids.get(0));
  }

  @Test
  public void testPayZeroCouponInflationSwapSecurity() {
    final ZeroCouponInflationSwapSecurity security = ExposureFunctionTestHelper.getPayZeroCouponInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("CPI"), ids.get(0));
  }
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    assertEquals(ExternalSchemes.syntheticSecurityId("CPI"), ids.get(0));
  }

  @Test
  public void testReceiveZeroCouponInflationSwapSecurity() {
    final ZeroCouponInflationSwapSecurity security = ExposureFunctionTestHelper.getReceiveZeroCouponInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("CPI"), ids.get(0));
  }
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  }

  public static ZeroCouponInflationSwapSecurity getPayZeroCouponInflationSwapSecurity() {
    final FixedInflationSwapLeg fixedLeg = new FixedInflationSwapLeg(DC, PeriodFrequency.QUARTERLY, US, BDC, new InterestRateNotional(USD, 100000), false, 0.02);
    final InflationIndexSwapLeg indexLeg = new InflationIndexSwapLeg(DC, PeriodFrequency.QUARTERLY, US, BDC, new InterestRateNotional(USD, 100000), true, ExternalSchemes.syntheticSecurityId("CPI"), 2, 3, InterpolationMethod.MONTH_START_LINEAR);
    final ZeroCouponInflationSwapSecurity security = new ZeroCouponInflationSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        fixedLeg, indexLeg);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "684"));
    return security;
  }
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  }

  public static ZeroCouponInflationSwapSecurity getReceiveZeroCouponInflationSwapSecurity() {
    final FixedInflationSwapLeg fixedLeg = new FixedInflationSwapLeg(DC, PeriodFrequency.QUARTERLY, US, BDC, new InterestRateNotional(USD, 100000), false, 0.02);
    final InflationIndexSwapLeg indexLeg = new InflationIndexSwapLeg(DC, PeriodFrequency.QUARTERLY, US, BDC, new InterestRateNotional(USD, 100000), false, ExternalSchemes.syntheticSecurityId("CPI"), 2, 3, InterpolationMethod.MONTH_START_LINEAR);
    final ZeroCouponInflationSwapSecurity security = new ZeroCouponInflationSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        fixedLeg, indexLeg);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "3216"));
    return security;
  }
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