/**
* Vanilla swap builder from the settlement date, a swap generator and other details of a swap.
*
* @param settlementDate The settlement date.
* @param maturityDate The swap maturity date.
* @param generator The swap generator.
* @param notional The swap notional (identical on both legs)
* @param fixedRate The swap fixed rate.
* @param isPayer The payer flag of the fixed leg.
* @return The vanilla swap.
*/
public static SwapFixedIborDefinition from(
final ZonedDateTime settlementDate,
final ZonedDateTime maturityDate,
final GeneratorSwapFixedIbor generator,
final double notional,
final double fixedRate,
final boolean isPayer) {
ArgumentChecker.notNull(settlementDate, "Settlement date");
ArgumentChecker.notNull(maturityDate, "Maturity date");
ArgumentChecker.notNull(generator, "Swap generator");
final AnnuityCouponFixedDefinition fixedLeg =
AnnuityCouponFixedDefinition.from(
generator.getCurrency(),
settlementDate,
maturityDate,
generator.getFixedLegPeriod(),
generator.getCalendar(),
generator.getFixedLegDayCount(),
generator.getIborIndex().getBusinessDayConvention(),
generator.getIborIndex().isEndOfMonth(),
notional,
fixedRate,
isPayer);
final AnnuityCouponIborDefinition iborLeg =
AnnuityCouponIborDefinition.from(
settlementDate,
maturityDate,
notional,
generator.getIborIndex(),
!isPayer,
generator.getCalendar());
return new SwapFixedIborDefinition(fixedLeg, iborLeg);
}
/**
* Builder from the financial details.
*
* @param effectiveDate The underlying swap effective date (delivery date).
* @param generator The swap generator.
* @param tenor The underlying swap tenor.
* @param notional The futures notional.
* @param rate The underlying swap rate.
* @return The futures.
*/
public static SwapFuturesPriceDeliverableSecurityDefinition from(
final ZonedDateTime effectiveDate,
final GeneratorSwapFixedIbor generator,
final Period tenor,
final double notional,
final double rate) {
ArgumentChecker.notNull(effectiveDate, "Effective date");
ArgumentChecker.notNull(generator, "Generator");
final ZonedDateTime lastTradingDate =
ScheduleCalculator.getAdjustedDate(
effectiveDate, -generator.getSpotLag(), generator.getCalendar());
final SwapFixedIborDefinition swap =
SwapFixedIborDefinition.from(effectiveDate, tenor, generator, 1.0, rate, false);
return new SwapFuturesPriceDeliverableSecurityDefinition(lastTradingDate, swap, notional);
}
