Examples of FXForwardNode

com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

      final Currency payCurrency = Currency.of(message.getString(PAY_CURRENCY_FIELD));
      final Currency receiveCurrency = Currency.of(message.getString(RECEIVE_CURRENCY_FIELD));
      final String curveNodeIdMapperName = message.getString(CURVE_MAPPER_ID_FIELD);
      if (message.hasField(NAME_FIELD)) {
        final String name = message.getString(NAME_FIELD);
        return new FXForwardNode(startTenor, maturityTenor, fxForwardConvention, payCurrency, receiveCurrency, curveNodeIdMapperName, name);
      }
      return new FXForwardNode(startTenor, maturityTenor, fxForwardConvention, payCurrency, receiveCurrency, curveNodeIdMapperName);
    }

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Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

    assertEquals(node, cycleObject(FRANode.class, node));
  }


  @Test
  public void testFXForwardNodeBuilder() {
    FXForwardNode node = new FXForwardNode(Tenor.ONE_DAY, Tenor.TWO_YEARS, ExternalId.of("convention", "name"), Currency.USD, Currency.JPY, "TEST");
    assertEquals(node, cycleObject(FXForwardNode.class, node));
    node = new FXForwardNode(Tenor.ONE_DAY, Tenor.TWO_YEARS, ExternalId.of("convention", "name"), Currency.USD, Currency.JPY, "TEST", null);
    assertEquals(node, cycleObject(FXForwardNode.class, node));
    node = new FXForwardNode(Tenor.ONE_DAY, Tenor.TWO_YEARS, ExternalId.of("convention", "name"), Currency.USD, Currency.JPY, "TEST", "Name");
    assertEquals(node, cycleObject(FXForwardNode.class, node));
  }

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Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

    assertEquals(Currency.USD, currencies.iterator().next());
  }


  @Test
  public void testFXForwardNode() {
    final FXForwardNode node = new FXForwardNode(Tenor.ONE_DAY, Tenor.ONE_YEAR, FX_FORWARD_ID, Currency.EUR, Currency.AUD, SCHEME);
    final Set<Currency> currencies = node.accept(VISITOR);
    assertEquals(2, currencies.size());
    assertEquals(Sets.newHashSet(Currency.EUR, Currency.AUD), currencies);
  }

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Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

  public void testNullFXForwardConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, FX_FORWARD_ID, Currency.USD, Currency.CAD, "Mapper");
    final Map<ExternalId, Convention> conventions = Collections.<ExternalId, Convention>emptyMap();
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(new TestConventionSource(conventions), HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    node.accept(converter);
  }

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Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

  public void testNullFXSpotConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, FX_FORWARD_ID, Currency.USD, Currency.CAD, "Mapper");
    final Map<ExternalId, Convention> conventions = new HashMap<>();
    conventions.put(FX_FORWARD_ID, FX_FORWARD);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(new TestConventionSource(conventions), HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    node.accept(converter);
  }

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Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

  public void testWrongConventionForFXForward() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, SWAP_3M_IBOR_ID, Currency.USD, Currency.CAD, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    node.accept(converter);
  }

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Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.5;
    marketValues.setDataPoint(marketDataId, forward);
    final FXForwardAndSwapConvention fxForward = new FXForwardAndSwapConvention("FX Forward", ExternalIdBundle.of(ExternalId.of(SCHEME, "FX Forward")), LIBOR_1M_ID, MODIFIED_FOLLOWING, false, US);
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), Tenor.ONE_YEAR, ExternalId.of(SCHEME, "FX Forward"), Currency.USD, Currency.CAD, "Mapper");
    final Map<ExternalId, Convention> conventions = new HashMap<>();
    conventions.put(FX_FORWARD_ID, fxForward);
    conventions.put(LIBOR_1M_ID, LIBOR_1M);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(new TestConventionSource(conventions), HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    node.accept(converter);
  }

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Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double forward = 1.4;
    marketValues.setDataPoint(marketDataId, forward);
    final Tenor tenorFx = Tenor.ONE_YEAR;
    final FXForwardNode node = new FXForwardNode(Tenor.of(Period.ZERO), tenorFx, FX_FORWARD_ID, Currency.USD, Currency.CAD, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FXForwardNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, NOW);
    final InstrumentDefinition<?> definition = node.accept(converter);
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(NOW, FX_SPOT.getSettlementDays(), CALENDAR);
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(spotDate, tenorFx.getPeriod(), FX_FORWARD.getBusinessDayConvention(), CALENDAR, FX_FORWARD.isIsEOM());
    final PaymentFixedDefinition payment1 = new PaymentFixedDefinition(Currency.USD, payDate, 1);
    final PaymentFixedDefinition payment2 = new PaymentFixedDefinition(Currency.CAD, payDate, -forward);
    assertEquals(new ForexDefinition(payment1, payment2), definition);

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Examples of com.opengamma.financial.analytics.ircurve.strips.FXForwardNode

    assertEquals(new CurveNodeWithIdentifier(fra, ExternalId.of("Test", "FRA"), "FRA Data", DataFieldType.OUTRIGHT), fra.accept(BUILDER));
  }


  @Test
  public void testFXForward() {
    final FXForwardNode fxForward = new FXForwardNode(Tenor.ONE_DAY, Tenor.TWO_MONTHS, ExternalId.of("Test1", "Test1"), Currency.USD, Currency.JPY, "Test");
    assertEquals(new CurveNodeWithIdentifier(fxForward, ExternalId.of("Test", "FX Forward"), "FX Forward Data", DataFieldType.POINTS), fxForward.accept(BUILDER));
  }

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