Package com.opengamma.financial.security.swap

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

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  public SwapSecurity createSecurity(final OperationContext context, final SwapSecurityBean bean) {
    return bean.getSwapType().accept(new FinancialSecurityVisitorAdapter<SwapSecurity>() {

      @Override
      public SwapSecurity visitForwardSwapSecurity(ForwardSwapSecurity ignore) {
        return new ForwardSwapSecurity(zonedDateTimeBeanToDateTimeWithZone(bean.getTradeDate()), zonedDateTimeBeanToDateTimeWithZone(bean.getEffectiveDate()),
          zonedDateTimeBeanToDateTimeWithZone(bean.getMaturityDate()), bean.getCounterparty(), SwapLegBeanOperation.createSwapLeg(bean.getPayLeg()),
          SwapLegBeanOperation.createSwapLeg(bean.getReceiveLeg()), zonedDateTimeBeanToDateTimeWithZone(bean.getForwardStartDate()));
      }

      @Override
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      payLeg = floatingLeg;
      payLegDescription = floatingLegDescription;
      receiveLeg = fixedLeg;
      receiveLegDescription = fixedLegDescription;
    }
    final ForwardSwapSecurity swap = new ForwardSwapSecurity(tradeDate, tradeDate, maturityDate, counterparty, payLeg, receiveLeg, forwardDate);
    swap.setName("IR Forward Swap " + ccy + " " + NOTIONAL_FORMATTER.format(notional) + " " + maturity.getPeriod() + " from " + forwardDate.toString(DATE_FORMATTER) + " - " + payLegDescription +
        " / " + receiveLegDescription);
    return swap;
  }
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    return swap;
  }

  @Override
  public ManageableTrade createSecurityTrade(final QuantityGenerator quantity, final SecurityPersister persister, final NameGenerator counterPartyGenerator) {
    final ForwardSwapSecurity swap = createSecurity();
    if (swap != null) {
      return new ManageableTrade(quantity.createQuantity(), persister.storeSecurity(swap), swap.getTradeDate().toLocalDate(), swap.getTradeDate().toOffsetDateTime().toOffsetTime(),
          ExternalId.of(Counterparty.DEFAULT_SCHEME, counterPartyGenerator.createName()));
    } else {
      return null;
    }
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAP"), ids.get(0));
  }

  @Test
  public void testForwardFixedFloatSwapSecurity() {
    final ForwardSwapSecurity security = ExposureFunctionTestHelper.getPayForwardFixedFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAP"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAP"), ids.get(0));
  }

  @Test
  public void testForwardFloatFloatSwapSecurity() {
    final ForwardSwapSecurity security = ExposureFunctionTestHelper.getForwardFloatFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAP"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAP"), ids.get(0));
  }

  @Test
  public void testForwardXCcySwapSecurity() {
    final ForwardSwapSecurity security = ExposureFunctionTestHelper.getForwardXCcySwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAP"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAP_EUR"), ids.get(0));
  }

  @Test
  public void testForwardFixedFloatSwapSecurity() {
    final ForwardSwapSecurity security = ExposureFunctionTestHelper.getPayForwardFixedFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAP_EUR"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAP_EUR"), ids.get(0));
  }

  @Test
  public void testForwardFloatFloatSwapSecurity() {
    final ForwardSwapSecurity security = ExposureFunctionTestHelper.getForwardFloatFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAP_EUR"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "SWAP_EUR"), ids.get(0));
  }

  @Test
  public void testForwardXCcySwapSecurity() {
    final ForwardSwapSecurity security = ExposureFunctionTestHelper.getForwardXCcySwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "SWAP_USD"), ExternalId.of(SCHEME, "SWAP_EUR"))));
  }
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    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }

  @Test
  public void testForwardFixedFloatSwapSecurity() {
    final ForwardSwapSecurity security = ExposureFunctionTestHelper.getPayForwardFixedFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }
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Related Classes of com.opengamma.financial.security.swap.ForwardSwapSecurity

  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.CurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.RegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndCurrencyExposureFunctionTest
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  • com.opengamma.financial.analytics.curve.exposure.SecurityAndTradingExchangeExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityTypeExposureFunctionTest
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