Package com.opengamma.financial.analytics.ircurve.strips

Examples of com.opengamma.financial.analytics.ircurve.strips.SwapNode.accept()

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    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongSwapFloatLegIborConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    conventions.put(SWAP_6M_IBOR_ID, SWAP_6M_LIBOR);
    conventions.put(ExternalId.of(SCHEME, "Test"), iborConvention);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(new TestConventionSource(conventions), HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullFXForwardConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final IborIndex index = new IborIndex(Currency.USD, Period.ofMonths(3), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, "Mapper");
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponIborDefinition floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, false, CALENDAR);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
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        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponIborDefinition floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, false, CALENDAR);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
    swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, FIXED_LEG_ID, "Mapper");
    settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, false);
    floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, true, CALENDAR);
    assertEquals(new SwapDefinition(floatLeg, fixedLeg), definition);
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        MODIFIED_FOLLOWING, false, 1, rate, false);
    floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, true, CALENDAR);
    assertEquals(new SwapDefinition(floatLeg, fixedLeg), definition);
    swapNode = new SwapNode(Tenor.FIVE_MONTHS, Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, "Mapper");
    settlementDate = DateUtils.getUTCDate(2013, 8, 5);
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, false, CALENDAR);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
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    marketValues.setDataPoint(marketDataId, spread);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_IBOR_ID, "Mapper");
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final IborIndex index3m = new IborIndex(Currency.USD, Period.ofMonths(3), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    final IborIndex index6m = new IborIndex(Currency.USD, Period.ofMonths(6), 2, ACT_360, MODIFIED_FOLLOWING, false, LIBOR_6M_ID.getValue());
    AnnuityCouponIborDefinition payLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index3m, true, CALENDAR);
    final AnnuityCouponIborSpreadDefinition receiveLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, Period.ofYears(10), 1, index6m, spread, false, CALENDAR);
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    AnnuityCouponIborDefinition payLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index3m, true, CALENDAR);
    final AnnuityCouponIborSpreadDefinition receiveLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, Period.ofYears(10), 1, index6m, spread, false, CALENDAR);
    assertEquals(new SwapDefinition(payLeg, receiveLeg), definition);
    settlementDate = DateUtils.getUTCDate(2014, 3, 5);
    swapNode = new SwapNode(Tenor.ONE_YEAR, Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_IBOR_ID, "Mapper");
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    payLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index3m, true, CALENDAR);
    final AnnuityCouponIborSpreadDefinition spreadLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, Period.ofYears(10), 1, index6m, spread, false, CALENDAR);
    assertEquals(new SwapDefinition(payLeg, spreadLeg), definition);
  }
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    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    Tenor legTenor = Tenor.TEN_YEARS;
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), legTenor, SWAP_3M_IBOR_ID, LIBOR_1M_CMP_3M_ID, "Mapper");
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final Period paymentPeriod = Period.ofMonths(3);
    final Period compositionPeriod = Period.ofMonths(1);
    final IborIndex index3m = new IborIndex(Currency.USD, paymentPeriod, 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue()); // Not correct conventions. Only for testing.
    final IborIndex index1m = new IborIndex(Currency.USD, compositionPeriod, 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_1M_ID.getValue());
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    marketValues.setDataPoint(marketDataId, rate);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponONSimplifiedDefinition floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, false, index, 1,
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    AnnuityCouponONSimplifiedDefinition floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, false, index, 1,
        CALENDAR, MODIFIED_FOLLOWING, Period.ofYears(1), false);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
    settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, OIS_ID, FIXED_LEG_ID, "Mapper");
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, false);
    floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, true, index, 1,
        CALENDAR, MODIFIED_FOLLOWING, Period.ofYears(1), false);
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