Package com.opengamma.financial.analytics.ircurve.strips

Examples of com.opengamma.financial.analytics.ircurve.strips.SwapNode.accept()

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  }

  @Test
  public void testSwapNode() {
    SwapNode node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, SCHEME);
    Set<Currency> currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
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    SwapNode node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, SCHEME);
    Set<Currency> currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, CMS_SWAP_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
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    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, CMS_SWAP_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, COMPOUNDING_IBOR_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
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    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, CMS_SWAP_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, COMPOUNDING_IBOR_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_EURIBOR_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(2, currencies.size());
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    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, FIXED_LEG_ID, COMPOUNDING_IBOR_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
    node = new SwapNode(Tenor.ONE_DAY, Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_EURIBOR_ID, SCHEME);
    currencies = node.accept(VISITOR);
    assertEquals(2, currencies.size());
    assertEquals(Sets.newHashSet(Currency.EUR, Currency.USD), currencies);
  }

  @Test
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    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, ExternalId.of(SCHEME, "Test"), SWAP_3M_IBOR_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongSwapPayFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoSwapReceiveFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testWrongSwapReceiveFixedLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, LIBOR_3M_ID, FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoSwapPayOISLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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    final double rate = 0.01;
    marketValues.setDataPoint(marketDataId, rate);
    final SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, ExternalId.of(SCHEME, "Test"), FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    swapNode.accept(converter);
  }

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNoSwapReceiveOISLegConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
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