Examples of SwapXCcyIborIborDefinition


Examples of com.opengamma.analytics.financial.instrument.swap.SwapXCcyIborIborDefinition

    final double spread = -0.0050;
    final double notional = 12345;
    final double fxRateEURUSD = 1.25;
    final FXMatrix fxMatrix = new FXMatrix(EURIBOR3M.getCurrency(), USDLIBOR3M.getCurrency(), fxRateEURUSD);
    final GeneratorAttributeFX attribute = new GeneratorAttributeFX(tenor, fxMatrix);
    final SwapXCcyIborIborDefinition insGenerated = EURIBOR3MUSDLIBOR3M.generateInstrument(referenceDate, spread, notional, attribute);
    final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(referenceDate, EURIBOR3MUSDLIBOR3M.getSpotLag(), NYC);
    final SwapXCcyIborIborDefinition insExpected = SwapXCcyIborIborDefinition.from(settleDate, tenor, EURIBOR3MUSDLIBOR3M, notional, notional * fxRateEURUSD, spread, true, NYC, NYC);
    assertEquals("Generator Deposit: generate instrument", insExpected, insGenerated);
  }
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