Package com.opengamma.financial.security.swap

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

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            FloatingRateType.IBOR);
      }
    }
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, fixedLegConvention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(fixedLegConvention.getSwapFixedLegDayCount(), fixedLegConvention.getSwapFixedLegFrequency(),
        fixedLegConvention.getSwapFixedLegRegion(), fixedLegConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
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    final ZonedDateTime curveDate = spec.getCurveDate().atStartOfDay(ZoneOffset.UTC);
    final ConventionBundle convention = _conventionBundleSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "BRL_DI_SWAP"));
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getSwapFloatingLegRegion());
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, convention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(convention.getSwapFixedLegDayCount(), convention.getSwapFixedLegFrequency(),
        convention.getSwapFixedLegRegion(), convention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final FloatingInterestRateLeg iborLeg = new FloatingInterestRateLeg(convention.getSwapFloatingLegDayCount(), convention.getSwapFloatingLegFrequency(),
        convention.getSwapFloatingLegRegion(), convention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, convention.getSwapFloatingLegInitialRate(),
        FloatingRateType.OIS); //convention type is wrong but it's ignored in the converter anyway.
    final String counterparty = "";
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            FloatingRateType.IBOR);
      }
    }
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(curveDate, fixedLegConvention.getSwapFixedLegSettlementDays(), calendar);
    final ZonedDateTime maturityDate = spotDate.plus(strip.getMaturity().getPeriod());
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(fixedLegConvention.getSwapFixedLegDayCount(), fixedLegConvention.getSwapFixedLegFrequency(),
        fixedLegConvention.getSwapFixedLegRegion(), fixedLegConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, iborLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
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      }
    }
    final FloatingInterestRateLeg oisLeg = new FloatingInterestRateLeg(swapConvention.getSwapFloatingLegDayCount(), floatingFrequency,
        swapConvention.getSwapFloatingLegRegion(), swapConvention.getSwapFloatingLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, floatingReferenceRateId,
        FloatingRateType.OIS);
    final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(), swapConvention.getSwapFixedLegFrequency(), swapConvention.getSwapFixedLegRegion(),
        swapConvention.getSwapFixedLegBusinessDayConvention(), new InterestRateNotional(spec.getCurrency(), 1), false, rate);
    final SwapSecurity swap = new SwapSecurity(curveDate, spotDate, maturityDate, counterparty, oisLeg, fixedLeg);
    swap.setExternalIdBundle(ExternalIdBundle.of(swapIdentifier));
    return swap;
  }
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    Double fixedRate = (fixedRateSeries.getTimeSeries().getEarliestValue() + getRandom().nextDouble()) / 100d;
    Double notional = (double) (getRandom(99999) + 1) * 1000;
    ZonedDateTime tradeDateTime = tradeDate.atStartOfDay(ZoneOffset.UTC);
    ZonedDateTime maturityDateTime = tradeDate.plus(maturity.getPeriod()).atStartOfDay(ZoneOffset.UTC);
    String counterparty = "CParty";
    SwapLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(),
        swapConvention.getSwapFixedLegFrequency(),
        swapConvention.getSwapFixedLegRegion(),
        swapConvention.getSwapFixedLegBusinessDayConvention(),
        new InterestRateNotional(ccy, notional),
        false, fixedRate);
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    final ZonedDateTime tradeDateTime = tradeDate.atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime maturityDateTime = tradeDate.plus(maturity.getPeriod()).atStartOfDay(ZoneOffset.UTC);
    final String counterparty = "CParty";

    final SwapLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(),
      swapConvention.getSwapFixedLegFrequency(),
      swapConvention.getSwapFixedLegRegion(),
      swapConvention.getSwapFixedLegBusinessDayConvention(),
      new InterestRateNotional(ccy, notional),
      false, fixedRate);
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  public static SwapLeg createSwapLeg(final SwapLegBean bean) {
    return bean.getSwapLegType().accept(new SwapLegVisitor<SwapLeg>() {

      @Override
      public SwapLeg visitFixedInterestRateLeg(FixedInterestRateLeg ignore) {
        return new FixedInterestRateLeg(
            dayCountBeanToDayCount(bean.getDayCount()),
            frequencyBeanToFrequency(bean.getFrequency()),
            externalIdBeanToExternalId(bean.getRegion()),
            businessDayConventionBeanToBusinessDayConvention(bean.getBusinessDayConvention()),
            NotionalBeanOperation.createNotional(bean.getNotional()),
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    for (int i = 0; i < N_VANILLA_SWAPS; i++) {
      final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000 * (1 + RANDOM.nextInt(9)));
      final int years = 1 + RANDOM.nextInt(30);
      final ZonedDateTime maturityDate = tradeDate.plusYears(years);
      final double rate = years * 0.001 + RANDOM.nextDouble() / 5000;
      final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(ACT_360, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, false, rate);
      final Frequency frequency;
      final ExternalId euribor;
      final String frequencyLabel;
      if (RANDOM.nextBoolean()) {
        frequency = QUARTERLY;
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    for (int i = 0; i < N_OIS_SWAPS; i++) {
      final InterestRateNotional notional = new InterestRateNotional(CURRENCY, 10000000 * (1 + RANDOM.nextInt(9)));
      final int years = 1 + RANDOM.nextInt(30);
      final ZonedDateTime maturityDate = tradeDate.plusYears(years);
      final double rate = years * 0.001 + RANDOM.nextDouble() / 5000;
      final FixedInterestRateLeg fixedLeg = new FixedInterestRateLeg(ACT_360, SEMI_ANNUAL, REGION, MODIFIED_FOLLOWING, notional, false, rate);
      final Frequency frequency;
      if (RANDOM.nextBoolean()) {
        frequency = QUARTERLY;
      } else {
        frequency = SEMI_ANNUAL;
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    final SwapSecurity swap1 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 40, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("US")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 15000000),
            true,
            0.05),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("US")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 15000000),
            true,
            USDLIBOR3M,
            FloatingRateType.IBOR));
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap1.setName("Swap: pay 5% fixed vs 3m Libor, start=" + swap1.getEffectiveDate().toLocalDate() + ", maturity=" + swap1.getMaturityDate().toLocalDate() + ", notional=USD 15MM");
    final SwapSecurity swap2 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 30, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("DE")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.EUR, 20000000),
            true,
            0.04),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("DE")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.EUR, 20000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "USDLIBORP6M"),
            FloatingRateType.IBOR));
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap2.setName("Swap: pay 4% fixed vs 6m Euribor, start=" + swap2.getEffectiveDate().toLocalDate() + ", maturity=" + swap2.getMaturityDate().toLocalDate() + ", notional=EUR 20MM");
    final SwapSecurity swap3 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 13, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("GB")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.GBP, 15000000),
            true,
            0.03),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("GB")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.GBP, 15000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "GBPLIBORP6M"),
            FloatingRateType.IBOR));
    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap3.setName("Swap: pay 3% fixed vs 6m Libor, start=" + swap3.getEffectiveDate().toLocalDate() + ", maturity=" + swap3.getMaturityDate().toLocalDate() + ", notional=GBP 15MM");
    final SwapSecurity swap4 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 25, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("JP")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.JPY, 100000000),
            true,
            0.02),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("JP")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.JPY, 100000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "JPYLIBORP6M"),
            FloatingRateType.IBOR));
    swap4.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap4.setName("Swap: pay 2% fixed vs 6m Libor, start=" + swap4.getEffectiveDate().toLocalDate() + ", maturity=" + swap4.getMaturityDate().toLocalDate() + ", notional=JPY 100MM");
    final SwapSecurity swap5 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 40, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("CH")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.CHF, 5000000),
            true,
            0.07),
        new FloatingInterestRateLeg(DAY_COUNT,
            SimpleFrequency.QUARTERLY,
            ExternalSchemes.countryRegionId(Country.of("CH")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.CHF, 5000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "CHFLIBORP6M"),
            FloatingRateType.IBOR));
    swap5.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap5.setName("Swap: pay 7% fixed vs 6m Libor, start=" + swap5.getEffectiveDate().toLocalDate() + ", maturity=" + swap5.getMaturityDate().toLocalDate() + ", notional=CHF 50MM");

    final SwapSecurity swap6 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 20, 5, 1, 11, 0), ZoneOffset.UTC),
        "Cpty",
        new FixedInterestRateLeg(DAY_COUNT,
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.countryRegionId(Country.of("DK")),
            BUSINESS_DAY,
            new InterestRateNotional(Currency.DKK, 90000000),
            true,
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  • com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated
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