Examples of YearOnYearInflationSwapSecurity


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

          .getMaturityDate()), bean.getCounterparty(), SwapLegBeanOperation.createSwapLeg(bean.getPayLeg()), SwapLegBeanOperation.createSwapLeg(bean.getReceiveLeg()));
      }

      @Override
      public SwapSecurity visitYearOnYearInflationSwapSecurity(YearOnYearInflationSwapSecurity security) {
        return new YearOnYearInflationSwapSecurity(zonedDateTimeBeanToDateTimeWithZone(bean.getTradeDate()),
            zonedDateTimeBeanToDateTimeWithZone(bean.getEffectiveDate()),
            zonedDateTimeBeanToDateTimeWithZone(bean.getMaturityDate()),
            bean.getCounterparty(),
            SwapLegBeanOperation.createSwapLeg(bean.getPayLeg()),
            SwapLegBeanOperation.createSwapLeg(bean.getReceiveLeg()),
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

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

  @Test
  public void testPayYoYInflationSwapSecurity() {
    final YearOnYearInflationSwapSecurity security = ExposureFunctionTestHelper.getPayYoYInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "YEAR_ON_YEAR_INFLATION_SWAP"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

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

  @Test
  public void testReceiveYoYInflationSwapSecurity() {
    final YearOnYearInflationSwapSecurity security = ExposureFunctionTestHelper.getPayYoYInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "YEAR_ON_YEAR_INFLATION_SWAP"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "SWAP_USD"), ExternalId.of(SCHEME, "SWAP_EUR"))));
  }

  @Test
  public void testPayYoYInflationSwapSecurity() {
    final YearOnYearInflationSwapSecurity security = ExposureFunctionTestHelper.getPayYoYInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "YEAR_ON_YEAR_INFLATION_SWAP_USD"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

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

  @Test
  public void testReceiveYoYInflationSwapSecurity() {
    final YearOnYearInflationSwapSecurity security = ExposureFunctionTestHelper.getPayYoYInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "YEAR_ON_YEAR_INFLATION_SWAP_USD"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "USD"), ExternalId.of(SCHEME, "EUR"))));
  }

  @Test
  public void testPayYoYInflationSwapSecurity() {
    final YearOnYearInflationSwapSecurity security = ExposureFunctionTestHelper.getPayYoYInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

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

  @Test
  public void testReceiveYoYInflationSwapSecurity() {
    final YearOnYearInflationSwapSecurity security = ExposureFunctionTestHelper.getPayYoYInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

    assertTrue(ids.containsAll(Arrays.asList(ExternalSchemes.syntheticSecurityId("3m Euribor"), ExternalSchemes.syntheticSecurityId("3m USD Libor"))));
  }

  @Test
  public void testPayYoYInflationSwapSecurity() {
    final YearOnYearInflationSwapSecurity security = ExposureFunctionTestHelper.getPayYoYInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("CPI"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

    assertEquals(ExternalSchemes.syntheticSecurityId("CPI"), ids.get(0));
  }

  @Test
  public void testReceiveYoYInflationSwapSecurity() {
    final YearOnYearInflationSwapSecurity security = ExposureFunctionTestHelper.getPayYoYInflationSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("CPI"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity

  }

  public static YearOnYearInflationSwapSecurity getPayYoYInflationSwapSecurity() {
    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 YearOnYearInflationSwapSecurity security = new YearOnYearInflationSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        fixedLeg, indexLeg, true, true, Tenor.TEN_YEARS);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "36"));
    return security;
  }
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