Examples of FixedInterestRateLeg

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

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

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

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  @Test
  public void swap() throws JSONException {
    ZonedDateTime tradeDate = zdt(2012, 12, 21, 11, 0, 0, 0, ZoneOffset.UTC);
    ZonedDateTime effectiveDate = zdt(2013, 1, 21, 11, 0, 0, 0, ZoneOffset.UTC);
    ZonedDateTime maturityDate = zdt(2013, 12, 21, 11, 0, 0, 0, ZoneOffset.UTC);
    SwapLeg payLeg = new FixedInterestRateLeg(
        DayCountFactory.INSTANCE.getDayCount("Act/360"),
        SimpleFrequency.MONTHLY,
        ExternalId.of(ExternalSchemes.FINANCIAL, "123"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
        new InterestRateNotional(Currency.GBP, 123),
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Examples of com.opengamma.financial.security.swap.FixedInterestRateLeg

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    final ZonedDateTime swapMaturity = swaptionExpiry.plus(maturity.getPeriod());
    final double amount = 100000 * (1 + random.nextInt(30));
    final InterestRateNotional notional = new InterestRateNotional(ccy, amount);
    final double rate = getSwapRate(ccy, tradeDate, maturity) * (1 + ((random.nextDouble() - 0.5) / 30.));
    final Frequency frequency = ccy.equals(Currency.USD) ? PeriodFrequency.QUARTERLY : PeriodFrequency.SEMI_ANNUAL;
    final SwapLeg fixedLeg = new FixedInterestRateLeg(DAY_COUNT, PeriodFrequency.SEMI_ANNUAL, region, BDC, notional, false, rate);
    final SwapLeg floatLeg = new FloatingInterestRateLeg(DAY_COUNT, frequency, region, BDC, notional, false, floatingRate, FloatingRateType.IBOR);
    final SwapLeg payLeg, receiveLeg;
    final String swapName, swaptionName;
    final boolean isLong = random.nextBoolean();
    final boolean isCashSettled = random.nextBoolean();
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Examples of com.opengamma.financial.security.swap.FixedInterestRateLeg

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    }
    Double fixedRate = (fixedRateSeries.getTimeSeries().getEarliestValue() + getRandom().nextDouble()) / 100d;
    Double notional = (double) getRandom(100000) * 1000;
    ZonedDateTime maturityDate = forwardDate.plus(maturity.getPeriod());
    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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Examples of com.opengamma.financial.security.swap.FixedInterestRateLeg

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  }

  @Override
  protected void doRun() {
    final FloatingInterestRateLeg payLeg1 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg1 = new FixedInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.04);
    final SwapSecurity swap1 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg1, receiveLeg1);
    swap1.setName("Swap AUD Bank Bill 3m");
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg payLeg2 = new FloatingInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_6M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg2 = new FixedInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, FOLLOWING, NOTIONAL, true, 0.04);
    final SwapSecurity swap2 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg2, receiveLeg2);
    swap2.setName("Swap AUD Bank Bill 6m");
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg payLeg3 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg3 = new FixedInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.0365);
    final SwapSecurity swap3 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg3, receiveLeg3);
    swap3.setName("Swap: receive 3.65% fixed ACT/365 vs 3m Bank Bill");
    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg receiveLeg4 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg payLeg4 = new FixedInterestRateLeg(ACT_360, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.036);
    final SwapSecurity swap4 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg4, receiveLeg4);
    swap4.setName("Swap: receive 3.60% fixed ACT/360 vs 3m Bank Bill");
    swap4.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final Collection<SwapSecurity> swaps = new HashSet<>();
    swaps.add(swap1);
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Examples of com.opengamma.financial.security.swap.FixedInterestRateLeg

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    return security;
  }

  public static SwapSecurity getReceiveFixedFloatSwapSecurity() {
    final InterestRateNotional notional = new InterestRateNotional(EUR, 1000000);
    final SwapLeg receiveLeg = new FixedInterestRateLeg(DC, PeriodFrequency.SEMI_ANNUAL, DE, BDC, notional, false, 0.04);
    final SwapLeg payLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("3m Euribor"), FloatingRateType.IBOR);
    final SwapSecurity security = new SwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "65456"));
    return security;
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Examples of com.opengamma.financial.security.swap.FixedInterestRateLeg

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    return security;
  }

  public static ForwardSwapSecurity getPayForwardFixedFloatSwapSecurity() {
    final InterestRateNotional notional = new InterestRateNotional(EUR, 1000000);
    final SwapLeg payLeg = new FixedInterestRateLeg(DC, PeriodFrequency.SEMI_ANNUAL, DE, BDC, notional, false, 0.04);
    final SwapLeg receiveLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("3m Euribor"), FloatingRateType.IBOR);
    final ForwardSwapSecurity security = new ForwardSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg, DateUtils.getUTCDate(2014, 1, 1));
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
    return security;
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Examples of com.opengamma.financial.security.swap.FixedInterestRateLeg

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    return security;
  }

  public static ForwardSwapSecurity getReceiveForwardFixedFloatSwapSecurity() {
    final InterestRateNotional notional = new InterestRateNotional(EUR, 1000000);
    final SwapLeg receiveLeg = new FixedInterestRateLeg(DC, PeriodFrequency.SEMI_ANNUAL, DE, BDC, notional, false, 0.04);
    final SwapLeg payLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("3m Euribor"), FloatingRateType.IBOR);
    final ForwardSwapSecurity security = new ForwardSwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg, DateUtils.getUTCDate(2014, 1, 1));
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
    return security;
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Examples of com.opengamma.financial.security.swap.FixedInterestRateLeg

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    return security;
  }

  public static SwapSecurity getPayFixedFloatSwapSecurity() {
    final InterestRateNotional notional = new InterestRateNotional(EUR, 1000000);
    final SwapLeg payLeg = new FixedInterestRateLeg(DC, PeriodFrequency.SEMI_ANNUAL, DE, BDC, notional, false, 0.04);
    final SwapLeg receiveLeg = new FloatingInterestRateLeg(DC, PeriodFrequency.QUARTERLY, DE, BDC, notional, false, ExternalSchemes.syntheticSecurityId("3m Euribor"), FloatingRateType.IBOR);
    final SwapSecurity security = new SwapSecurity(DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2013, 1, 1), DateUtils.getUTCDate(2023, 1, 1), "OG",
        payLeg, receiveLeg);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "65456"));
    return security;
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