protected SwapSecurity createUnderlying(
final ZonedDateTime earliestMaturity, final ZonedDateTime swaptionExpiry) {
SwapSecurity security;
do {
do {
getUnderlyingGenerator().setSwationExpiry(swaptionExpiry.toLocalDate());
security = getUnderlyingGenerator().createSecurity();
} while (security == null);
} while ((FinancialSecurityUtils.getCurrency(security) == null)
|| security.getMaturityDate().isBefore(earliestMaturity));
return security;
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SwapSecurity other = (SwapSecurity) obj;
return JodaBeanUtils.equal(getTradeDate(), other.getTradeDate())
&& JodaBeanUtils.equal(getEffectiveDate(), other.getEffectiveDate())
&& JodaBeanUtils.equal(getMaturityDate(), other.getMaturityDate())
&& JodaBeanUtils.equal(getCounterparty(), other.getCounterparty())
&& JodaBeanUtils.equal(getPayLeg(), other.getPayLeg())
&& JodaBeanUtils.equal(getReceiveLeg(), other.getReceiveLeg())
&& super.equals(obj);
}
return false;
}
@Override
public SwaptionSecurity createSecurity() {
final int optionLength = getRandom(OPTION_LENGTH);
ZonedDateTime expiry = ZonedDateTime.now().plusMonths(optionLength);
final SwapSecurity underlying = createUnderlying(expiry.plusMonths(2), expiry);
final Currency currency = FinancialSecurityUtils.getCurrency(underlying);
expiry = nextWorkingDay(expiry, currency);
final boolean isPayer = getRandom().nextBoolean();
final boolean isLong = getRandom().nextBoolean();
final boolean isCashSettled = getRandom().nextBoolean();
final ZonedDateTime settlementDate = nextWorkingDay(expiry.plusDays(2), currency);
final Double notional =
underlying
.getPayLeg()
.getNotional()
.accept(
new NotionalVisitor<Double>() {
@Override
public Double visitCommodityNotional(final CommodityNotional notional) {
return null;
}
@Override
public Double visitInterestRateNotional(final InterestRateNotional notional) {
return notional.getAmount();
}
@Override
public Double visitSecurityNotional(final SecurityNotional notional) {
return null;
}
@Override
public Double visitVarianceSwapNotional(final VarianceSwapNotional notional) {
return notional.getAmount();
}
});
if (notional == null) {
return null;
}
Double rate = getRate(underlying.getPayLeg());
if (rate == null) {
rate = getRate(underlying.getReceiveLeg());
if (rate == null) {
return null;
}
}
final SwaptionSecurity security =
new SwaptionSecurity(
isPayer,
getSecurityPersister().storeSecurity(underlying).iterator().next(),
isLong,
new Expiry(expiry),
isCashSettled,
currency,
notional,
new EuropeanExerciseType(),
settlementDate);
security.setName(
createName(
currency,
optionLength,
(int) MONTHS.between(underlying.getEffectiveDate(), underlying.getMaturityDate()),
notional,
rate));
return security;
}