/**
* 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 notionalFixed The fixed leg notional.
* @param notionalIbor The ibor leg notional.
* @param fixedRate The swap fixed rate.
* @param isPayer The payer flag of the fixed leg.
* @param calendar The holiday calendar for the ibor index.
* @return The vanilla swap.
*/
public static SwapFixedIborDefinition from(
final ZonedDateTime settlementDate,
final ZonedDateTime maturityDate,
final GeneratorSwapFixedIbor generator,
final double notionalFixed,
final double notionalIbor,
final double fixedRate,
final boolean isPayer,
final Calendar calendar) {
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(),
notionalFixed,
fixedRate,
isPayer);
final AnnuityCouponIborDefinition iborLeg =
AnnuityCouponIborDefinition.from(
settlementDate,
maturityDate,
notionalIbor,
generator.getIborIndex(),
!isPayer,
calendar);
return new SwapFixedIborDefinition(fixedLeg, iborLeg);
}
static {
LEGS_DEFINITION[0] =
AnnuityDefinitionBuilder.couponFixed(
EUR,
SETTLEMENT_DATE,
MATURITY_DATE,
EUR1YEURIBOR6M.getFixedLegPeriod(),
TARGET,
EUR1YEURIBOR6M.getFixedLegDayCount(),
EUR1YEURIBOR6M.getBusinessDayConvention(),
EUR1YEURIBOR6M.isEndOfMonth(),
NOTIONAL,
SPREAD,
IS_PAYER_SPREAD,
STUB,
0);
LEGS_DEFINITION[1] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR3M.getTenor(),
NOTIONAL,
EURIBOR3M,
IS_PAYER_SPREAD,
EURIBOR3M.getDayCount(),
EURIBOR3M.getBusinessDayConvention(),
EURIBOR3M.isEndOfMonth(),
TARGET,
STUB,
0);
LEGS_DEFINITION[2] =
AnnuityDefinitionBuilder.couponIbor(
SETTLEMENT_DATE,
MATURITY_DATE,
EURIBOR6M.getTenor(),
NOTIONAL,
EURIBOR6M,
!IS_PAYER_SPREAD,
EURIBOR6M.getDayCount(),
EURIBOR6M.getBusinessDayConvention(),
EURIBOR6M.isEndOfMonth(),
TARGET,
STUB,
0);
}
