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

Package com.opengamma.financial.security.swap

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

com.opengamma.financial.security.swap.InterestRateNotional
A notional that holds the security used as a notional, such as an index or equity.

    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "684"));
    return security;
  }


  public static ZeroCouponInflationSwapSecurity getReceiveZeroCouponInflationSwapSecurity() {
    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), false, ExternalSchemes.syntheticSecurityId("CPI"), 2, 3, InterpolationMethod.MONTH_START_LINEAR);
    final ZeroCouponInflationSwapSecurity security = new ZeroCouponInflationSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        fixedLeg, indexLeg);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "3216"));
    return security;
  }

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      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFixedInterestRateLeg(final FixedInterestRateLeg swapLeg) {
        final ExternalId regionId = swapLeg.getRegionId();
        final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
        final InterestRateNotional interestRateNotional = (InterestRateNotional) swapLeg.getNotional();
        final Currency currency = interestRateNotional.getCurrency();
        final String fixedLegConventionName = getConventionName(currency, IRS_FIXED_LEG);
        final SwapFixedLegConvention fixedLegConvention = _conventionSource.getConvention(SwapFixedLegConvention.class, ExternalId.of(SCHEME_NAME, fixedLegConventionName));
        if (fixedLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get fixed leg convention with the identifier " + ExternalId.of(SCHEME_NAME, fixedLegConventionName));
        }
        final Frequency freqFixed = swapLeg.getFrequency();
        final Period tenorFixed = getTenor(freqFixed);
        final double notional = interestRateNotional.getAmount();
        final DayCount dayCount = fixedLegConvention.getDayCount();
        final boolean isEOM = fixedLegConvention.isIsEOM();
        final double rate = swapLeg.getRate();
        final BusinessDayConvention businessDayConvention = fixedLegConvention.getBusinessDayConvention();
        return AnnuityCouponFixedDefinition.from(currency, effectiveDate, maturityDate, tenorFixed, calendar, dayCount,
            businessDayConvention, isEOM, notional, rate, isPayer);
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFloatingInterestRateLeg(final FloatingInterestRateLeg swapLeg) {
        final InterestRateNotional interestRateNotional = (InterestRateNotional) swapLeg.getNotional();
        final Currency currency = interestRateNotional.getCurrency();
        final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, swapLeg.getRegionId());
        switch (swapLeg.getFloatingRateType()) {
          case IBOR:
            return getIborAnnuity(swapLeg, interestRateNotional, currency, calendar);
          case OIS:
            return getOISAnnuity(swapLeg, interestRateNotional, currency);
          case CMS:
            return getCMSAnnuity(swapLeg, interestRateNotional, currency, calendar);
          case OVERNIGHT_ARITHMETIC_AVERAGE:
            return getOvernightAAverageAnnuity(swapLeg, interestRateNotional, currency);
          default:
            throw new OpenGammaRuntimeException("Cannot handle floating type " + swapLeg.getFloatingRateType());
        }
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFloatingSpreadIRLeg(final FloatingSpreadIRLeg swapLeg) {
        final InterestRateNotional interestRateNotional = (InterestRateNotional) swapLeg.getNotional();
        final Currency currency = interestRateNotional.getCurrency();
        final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, swapLeg.getRegionId());
        switch (swapLeg.getFloatingRateType()) {
          case IBOR:
            return getIborAnnuity(swapLeg, interestRateNotional, currency, calendar);
          case OIS:
            return getOISAnnuity(swapLeg, interestRateNotional, currency);
          case CMS:
            return getCMSAnnuity(swapLeg, interestRateNotional, currency, calendar);
          case OVERNIGHT_ARITHMETIC_AVERAGE:
            return getOvernightAAverageAnnuity(swapLeg, interestRateNotional, currency);
          default:
            throw new OpenGammaRuntimeException("Cannot handle floating type " + swapLeg.getFloatingRateType());
        }
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFloatingGearingIRLeg(final FloatingGearingIRLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFixedVarianceSwapLeg(final FixedVarianceSwapLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFloatingVarianceSwapLeg(final FloatingVarianceSwapLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitFixedInflationSwapLeg(final FixedInflationSwapLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      @Override
      public final AnnuityDefinition<? extends PaymentDefinition> visitInflationIndexSwapLeg(final InflationIndexSwapLeg swapLeg) {
        throw new OpenGammaRuntimeException("Cannot handle " + swapLeg.getClass());
      }


      private AnnuityDefinition<? extends PaymentDefinition> getIborAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency, final Calendar calendar) {
        final String tenorString = getTenorString(swapLeg.getFrequency());
        final String iborLegConventionName = getConventionName(currency, tenorString, IRS_IBOR_LEG);
        final VanillaIborLegConvention iborLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class, ExternalId.of(SCHEME_NAME, iborLegConventionName));
        if (iborLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor leg convention with the identifier " + ExternalId.of(SCHEME_NAME, iborLegConventionName));
        }
        final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, iborLegConvention.getIborIndexConvention());
        final Frequency freqIbor = swapLeg.getFrequency();
        final Period tenorIbor = getTenor(freqIbor);
        final int spotLag = iborIndexConvention.getSettlementDays();
        final DayCount dayCount = swapLeg.getDayCount();
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(), iborIndexConvention.getBusinessDayConvention(),
            iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          final FloatingSpreadIRLeg spread = (FloatingSpreadIRLeg) swapLeg;
          return AnnuityCouponIborSpreadDefinition.from(effectiveDate, maturityDate, tenorIbor, notional, iborIndex, isPayer, businessDayConvention, swapLeg.isEom(), dayCount,
              spread.getSpread(), calendar);
        }
        return AnnuityCouponIborDefinition.from(effectiveDate, maturityDate, tenorIbor, notional, iborIndex, isPayer, businessDayConvention, swapLeg.isEom(), dayCount,
            calendar);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getOISAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency) {
        final String oisConventionName = getConventionName(currency, OIS_ON_LEG);
        final OISLegConvention oisConvention = _conventionSource.getConvention(OISLegConvention.class, ExternalId.of(SCHEME_NAME, oisConventionName));
        if (oisConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS leg convention with the identifier " + ExternalId.of(SCHEME_NAME, oisConventionName));
        }
        final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, oisConvention.getOvernightIndexConvention());
        if (indexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS index convention with the identifier " + oisConvention.getOvernightIndexConvention());
        }
        final String currencyString = currency.getCode();
        final Integer publicationLag = indexConvention.getPublicationLag();
        final Period paymentFrequency = getTenor(swapLeg.getFrequency());
        final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final int paymentLag = oisConvention.getPaymentLag();
        final boolean isEOM = oisConvention.isIsEOM();
        final Calendar indexCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          final FloatingSpreadIRLeg spread = (FloatingSpreadIRLeg) swapLeg;
          return AnnuityCouponONSpreadDefinition.from(effectiveDate, maturityDate, notional, isPayer, index, paymentLag, indexCalendar, businessDayConvention, paymentFrequency, isEOM,
              spread.getSpread());
        }
        return AnnuityCouponONDefinition.from(effectiveDate, maturityDate, notional, isPayer, index, paymentLag, indexCalendar, businessDayConvention, paymentFrequency, isEOM);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getCMSAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency, final Calendar calendar) {
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          throw new OpenGammaRuntimeException("Cannot create an annuity for a CMS leg with a spread");
        }
        final String tenorString = getTenorString(swapLeg.getFrequency());
        final String iborLegConventionName = getConventionName(currency, tenorString, IRS_IBOR_LEG);
        final VanillaIborLegConvention iborLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class,
            ExternalId.of(SCHEME_NAME, getConventionName(currency, tenorString, IRS_IBOR_LEG)));
        if (iborLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor leg convention with the identifier " + ExternalId.of(SCHEME_NAME, iborLegConventionName));
        }
        final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, iborLegConvention.getIborIndexConvention());
        final String swapIndexConventionName = getConventionName(currency, tenorString, SWAP_INDEX);
        final SwapIndexConvention swapIndexConvention = _conventionSource.getConvention(SwapIndexConvention.class, ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        if (swapIndexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap index convention with the identifier " + ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        }
        final SwapConvention underlyingSwapConvention = _conventionSource.getConvention(SwapConvention.class, swapIndexConvention.getSwapConvention());
        if (underlyingSwapConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap convention with the identifier " + swapIndexConvention.getSwapConvention());
        }
        final SwapFixedLegConvention payLegConvention = _conventionSource.getConvention(SwapFixedLegConvention.class, underlyingSwapConvention.getPayLegConvention());
        if (payLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getPayLegConvention());
        }
        final VanillaIborLegConvention receiveLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class, underlyingSwapConvention.getReceiveLegConvention());
        if (receiveLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getReceiveLegConvention());
        }
        final Frequency freqIbor = swapLeg.getFrequency();
        final Period tenorIbor = getTenor(freqIbor);
        final int spotLag = iborIndexConvention.getSettlementDays();
        final DayCount dayCount = swapLeg.getDayCount();
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(), iborIndexConvention.getBusinessDayConvention(),
            iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
        final Period fixedLegPaymentPeriod = payLegConvention.getPaymentTenor().getPeriod();
        final DayCount fixedLegDayCount = payLegConvention.getDayCount();
        final Period period = Period.ofYears(10); // TODO why is a variable field like this in IndexSwap? It's only used in one place in the entire analytics library.
        final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, fixedLegDayCount, iborIndex, period, calendar);
        return AnnuityCouponCMSDefinition.from(effectiveDate, maturityDate, notional, swapIndex, tenorIbor, dayCount, isPayer, calendar);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getOvernightAAverageAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency) {
        final String oisConventionName = getConventionName(currency, OIS_ON_LEG);
        final OISLegConvention oisConvention = _conventionSource.getConvention(OISLegConvention.class, ExternalId.of(SCHEME_NAME, oisConventionName));
        if (oisConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS leg convention with the identifier " + ExternalId.of(SCHEME_NAME, oisConventionName));
        }
        final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, oisConvention.getOvernightIndexConvention());
        if (indexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS index convention with the identifier " + oisConvention.getOvernightIndexConvention());
        }
        final String currencyString = currency.getCode();
        final Integer publicationLag = indexConvention.getPublicationLag();
        final Period paymentFrequency = getTenor(swapLeg.getFrequency());
        final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final int paymentLag = oisConvention.getPaymentLag();
        final boolean isEOM = oisConvention.isIsEOM();
        final Calendar indexCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          final FloatingSpreadIRLeg spread = (FloatingSpreadIRLeg) swapLeg;

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    return new FloatingInterestRateLeg(dayCount, frequency, region, businessDayConvention, notional, isEndOfMonth,
        referenceRate, rateType);
  }


  private Notional extractNotional(SwapLeg floatingLeg) {
    return new InterestRateNotional(floatingLeg.getCurrency(), floatingLeg.getNotional().doubleValue());
  }

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  }


  private InterestRateNotional interestRateNotional() {
    final Currency currency = currency();
    final double amount = 5e6;
    return new InterestRateNotional(currency, amount);
  }

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    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final double recoveryRate = 0;
    final boolean includeAccruedPremium = bool();
    final boolean protectionStart = bool();
    final double parSpread = 0;
    final LegacyFixedRecoveryCDSSecurity security = new LegacyFixedRecoveryCDSSecurity(isBuy, protectionSeller, protectionBuyer, referenceEntity, debtSeniority, restructuringClause, regionId,

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    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final double recoveryRate = 0;
    final boolean includeAccruedPremium = bool();
    final boolean protectionStart = bool();
    final double parSpread = 0;
    final LegacyRecoveryLockCDSSecurity security = new LegacyRecoveryLockCDSSecurity(isBuy, protectionSeller, protectionBuyer, referenceEntity, debtSeniority, restructuringClause, regionId,

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    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final boolean includeAccruedPremium = bool();
    final boolean protectionStart = bool();
    final double parSpread = 0;
    final LegacyVanillaCDSSecurity security = new LegacyVanillaCDSSecurity(isBuy, protectionSeller, protectionBuyer, referenceEntity, debtSeniority, restructuringClause, regionId,
        startDate, effectiveDate, maturityDate, stubType, couponFrequency, dayCount, businessDayConvention, immAdjustMaturityDate, adjustEffectiveDate, adjustMaturityDate, notional,

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    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final double recoveryRate = 0;
    final boolean includeAccruedPremium = bool();
    final boolean protectionStart = bool();
    final double quotedSpread = 0;
    final InterestRateNotional upfrontAmount = interestRateNotional();
    final double coupon = 0;
    final ZonedDateTime settlementDate = ZonedDateTime.now().plusMonths(7);
    final StandardFixedRecoveryCDSSecurity security = new StandardFixedRecoveryCDSSecurity(isBuy, protectionSeller, protectionBuyer, referenceEntity, debtSeniority, restructuringClause, regionId,
        startDate, effectiveDate, maturityDate, stubType, couponFrequency, dayCount, businessDayConvention, immAdjustMaturityDate, adjustEffectiveDate, adjustMaturityDate, notional, recoveryRate,
        includeAccruedPremium, protectionStart, quotedSpread, upfrontAmount);

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    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final double recoveryRate = 0;
    final boolean includeAccruedPremium = bool();
    final boolean protectionStart = bool();
    final double quotedSpread = 0;
    final InterestRateNotional upfrontAmount = interestRateNotional();
    final double coupon = 0;
    final ZonedDateTime settlementDate = ZonedDateTime.now().plusMonths(7);
    final StandardRecoveryLockCDSSecurity security = new StandardRecoveryLockCDSSecurity(isBuy, protectionSeller, protectionBuyer, referenceEntity, debtSeniority, restructuringClause, regionId,
        startDate, effectiveDate, maturityDate, stubType, couponFrequency, dayCount, businessDayConvention, immAdjustMaturityDate, adjustEffectiveDate, adjustMaturityDate, notional, recoveryRate,
        includeAccruedPremium, protectionStart, quotedSpread, upfrontAmount);

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    final DayCount dayCount = dayCount();
    final BusinessDayConvention businessDayConvention = businessDayConvention();
    final boolean immAdjustMaturityDate = bool();
    final boolean adjustEffectiveDate = bool();
    final boolean adjustMaturityDate = bool();
    final InterestRateNotional notional = interestRateNotional();
    final boolean includeAccruedPremium = bool();
    final boolean protectionStart = bool();
    final double quotedSpread = 0;
    final InterestRateNotional upfrontAmount = interestRateNotional();
    final double coupon = 0;
    final ZonedDateTime settlementDate = ZonedDateTime.now().plusMonths(7);
    final boolean adjustCashSettlementDate = true;
    final StandardVanillaCDSSecurity security = new StandardVanillaCDSSecurity(isBuy, protectionSeller, protectionBuyer, referenceEntity, debtSeniority, restructuringClause, regionId,
        startDate, effectiveDate, maturityDate, stubType, couponFrequency, dayCount, businessDayConvention, immAdjustMaturityDate, adjustEffectiveDate, adjustMaturityDate, notional,

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