// -------------------------------------------------------------------------
public void test_toTrade_tenor() {
ThreeLegBasisSwapConvention base =
ImmutableThreeLegBasisSwapConvention.of(NAME, FIXED, IBOR6M, IBOR12M);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate startDate = date(2015, 5, 7);
LocalDate endDate = date(2025, 5, 7);
SwapTrade test = base.createTrade(tradeDate, TENOR_10Y, BUY, NOTIONAL_2M, 0.25d, REF_DATA);
Swap expected =
Swap.of(
FIXED.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d),
IBOR6M.toLeg(startDate, endDate, PAY, NOTIONAL_2M),
IBOR12M.toLeg(startDate, endDate, RECEIVE, NOTIONAL_2M));
assertEquals(test.getInfo().getTradeDate(), Optional.of(tradeDate));
assertEquals(test.getProduct(), expected);
}
// -----------------------------------------------------------------------
// create a vanilla fixed vs libor 3m swap
private static Trade createVanillaFixedVsLibor3mSwap() {
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg =
RateCalculationSwapLeg.builder()
.payReceive(PayReceive.PAY)
.accrualSchedule(
PeriodicSchedule.builder()
.startDate(LocalDate.of(2014, 9, 12))
.endDate(LocalDate.of(2021, 9, 12))
.frequency(Frequency.P6M)
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY))
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(Frequency.P6M)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(notional)
.calculation(FixedRateCalculation.of(0.015, DayCounts.THIRTY_U_360))
.build();
SwapLeg receiveLeg =
RateCalculationSwapLeg.builder()
.payReceive(PayReceive.RECEIVE)
.accrualSchedule(
PeriodicSchedule.builder()
.startDate(LocalDate.of(2014, 9, 12))
.endDate(LocalDate.of(2021, 9, 12))
.frequency(Frequency.P3M)
.businessDayAdjustment(
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY))
.build())
.paymentSchedule(
PaymentSchedule.builder()
.paymentFrequency(Frequency.P3M)
.paymentDateOffset(DaysAdjustment.NONE)
.build())
.notionalSchedule(notional)
.calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M))
.build();
return SwapTrade.builder()
.product(Swap.of(payLeg, receiveLeg))
.info(
TradeInfo.builder()
.addAttribute(TradeAttributeType.DESCRIPTION, "Fixed vs Libor 3m")
.counterparty(StandardId.of("example", "A"))
.settlementDate(LocalDate.of(2014, 9, 12))
.build())
.build();
}
@Override
public DatedCurveParameterMetadata metadata(LocalDate valuationDate) {
SwapTrade trade = template.toTrade(valuationDate, BuySell.BUY, 1, 1, 0);
return TenorCurveNodeMetadata.of(trade.getProduct().getEndDate(), template.getTenor(), label);
}
