public void testUpdateTimeSeriesAddNewLaterPointsOnly() {
// Add the test series
testAddTimeSeries();
List<LocalDate> dates = ImmutableList.of(_today.plusDays(1));
List<Double> values = ImmutableList.of(4d);
ArrayLocalDateDoubleTimeSeries newTs = new ArrayLocalDateDoubleTimeSeries(dates, values);
UniqueId id =
_htsWriter.writeTimeSeries(
DESCRIPTION,
DATA_SOURCE,
DATA_PROVIDER,
DATA_FIELD,
OBSERVATION_TIME,
ExternalIdBundle.of(ID),
newTs);
ManageableHistoricalTimeSeries manageableTs = _htsMaster.getTimeSeries(id);
LocalDateDoubleTimeSeries readTs = manageableTs.getTimeSeries();
List<LocalDate> expectedDates =
ImmutableList.of(_today.minusDays(2), _today.minusDays(1), _today, _today.plusDays(1));
List<Double> expectedValues = ImmutableList.of(1d, 2d, 3d, 4d);
ArrayLocalDateDoubleTimeSeries expectedTs =
new ArrayLocalDateDoubleTimeSeries(expectedDates, expectedValues);
assertEquals(expectedTs, readTs);
}
public void testAddUpdateTimeSeriesSingleExistingPoint() {
List<LocalDate> dates = ImmutableList.of(_today);
List<Double> origValues = ImmutableList.of(1d);
ArrayLocalDateDoubleTimeSeries origTs = new ArrayLocalDateDoubleTimeSeries(dates, origValues);
UniqueId id =
_htsWriter.writeTimeSeries(
DESCRIPTION,
DATA_SOURCE,
DATA_PROVIDER,
DATA_FIELD,
OBSERVATION_TIME,
ExternalIdBundle.of(ID),
origTs);
ManageableHistoricalTimeSeries manageableTs = _htsMaster.getTimeSeries(id);
LocalDateDoubleTimeSeries readTs = manageableTs.getTimeSeries();
assertEquals(origTs, readTs);
List<Double> updatedValues = ImmutableList.of(2d);
ArrayLocalDateDoubleTimeSeries updatedTs =
new ArrayLocalDateDoubleTimeSeries(dates, updatedValues);
id =
_htsWriter.writeTimeSeries(
DESCRIPTION,
DATA_SOURCE,
DATA_PROVIDER,
DATA_FIELD,
OBSERVATION_TIME,
ExternalIdBundle.of(ID),
updatedTs);
manageableTs = _htsMaster.getTimeSeries(id);
readTs = manageableTs.getTimeSeries();
assertEquals(updatedTs, readTs);
}
/**
* Gets the best descriptive name.
*
* @return the best descriptive name, not null
*/
public String getBestName() {
Security security = getTarget();
ObjectId objectId = getObjectId();
ExternalIdBundle bundle = getExternalId();
if (security != null) {
// Try to retrieve the security's assigned name
String name = security.getName();
if (StringUtils.isNotBlank(name)) {
return name;
}
bundle = security.getExternalIdBundle();
}
if (bundle != null && bundle.size() > 0) {
if (bundle.getValue(ExternalSchemes.BLOOMBERG_TICKER) != null) {
return bundle.getValue(ExternalSchemes.BLOOMBERG_TICKER);
} else if (bundle.getValue(ExternalSchemes.RIC) != null) {
return bundle.getValue(ExternalSchemes.RIC);
} else if (bundle.getValue(ExternalSchemes.ACTIVFEED_TICKER) != null) {
return bundle.getValue(ExternalSchemes.ACTIVFEED_TICKER);
} else {
return bundle.getExternalIds().iterator().next().getValue();
}
}
if (objectId != null) {
return objectId.toString();
}
return "";
}
@Test
public void multiThreadedSecurityRequest() throws Exception {
ExternalIdBundle apvKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(APV_EQUITY_OPTION_TICKER));
ExternalIdBundle spxKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(SPX_INDEX_OPTION_TICKER));
ExternalIdBundle aaplKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(AAPL_EQUITY_TICKER));
ExternalIdBundle attKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(ATT_EQUITY_TICKER));
ExecutorService pool = Executors.newFixedThreadPool(4);
List<Future<Security>> apvresults = new ArrayList<Future<Security>>();
List<Future<Security>> spxresults = new ArrayList<Future<Security>>();
List<Future<Security>> aaplresults = new ArrayList<Future<Security>>();
List<Future<Security>> attresults = new ArrayList<Future<Security>>();
for (int i = 0; i < 10; i++) {
apvresults.add(pool.submit(new BSMGetSecurityCallable(apvKey)));
spxresults.add(pool.submit(new BSMGetSecurityCallable(spxKey)));
aaplresults.add(pool.submit(new BSMGetSecurityCallable(aaplKey)));
attresults.add(pool.submit(new BSMGetSecurityCallable(attKey)));
}
for (Future<Security> future : apvresults) {
// Check that each one didn't throw an exception and returns the expected
// APV security
Security sec = future.get();
assertAmericanVanillaEquityOptionSecurity(EXPECTED_APVL_EQUITYOPTION_SEC, sec);
}
for (Future<Security> future : spxresults) {
// Check that each one didn't throw an exception and returns the expected
// SPX security
Security sec = future.get();
assertEuropeanVanillaEquityIndexOptionSecurity(EXPECTED_SPX_INDEXOPTION_SEC, sec);
}
for (Future<Security> future : aaplresults) {
// Check that each one didn't throw an exception and returns the expected
// AAPL security
Security sec = future.get();
assertEquitySecurity(EXPECTED_AAPL_EQUITY_SEC, sec);
}
for (Future<Security> future : attresults) {
// Check that each one didn't throw an exception and returns the expected
// AT&T security
Security sec = future.get();
assertEquitySecurity(EXPECTED_ATT_EQUITY_SEC, sec);
}
}
// -------------------------------------------------------------------------
@SuppressWarnings({"rawtypes", "unchecked"})
@Test
public void testSearchBonds() {
BondSecurity target =
new GovernmentBondSecurity(
"US TREASURY N/B",
"Government",
"US",
"Treasury",
Currency.USD,
YieldConventionFactory.INSTANCE.getYieldConvention("US Treasury equivalent"),
new Expiry(zdt(2011, 2, 1, 12, 0, 0, 0, ZoneOffset.UTC)),
"",
200,
SimpleFrequencyFactory.INSTANCE.getFrequency(SimpleFrequency.SEMI_ANNUAL_NAME),
DayCountFactory.INSTANCE.getDayCount("Actual/Actual"),
zdt(2011, 2, 1, 12, 0, 0, 0, ZoneOffset.UTC),
zdt(2011, 2, 1, 12, 0, 0, 0, ZoneOffset.UTC),
zdt(2011, 2, 1, 12, 0, 0, 0, ZoneOffset.UTC),
100d,
100000000,
5000,
1000,
100,
100);
target.setExternalIdBundle(ExternalIdBundle.of(ExternalId.of("A", "B")));
Collection targetColl = ImmutableList.<Security>of(target);
when(_underlying.getBondsWithIssuerName(eq("US TREASURY N/B"))).thenReturn(targetColl);
Response test = _resource.searchBonds("US TREASURY N/B");
assertEquals(Status.OK.getStatusCode(), test.getStatus());
assertEquals(FudgeListWrapper.of(targetColl), test.getEntity());
}
public static ValueRequirement getValueRequirement(
SecuritySource secMaster, final UnderlyingType underlying, final Security security) {
if (security instanceof EquityOptionSecurity) {
final EquityOptionSecurity option = (EquityOptionSecurity) security;
switch (underlying) {
case SPOT_PRICE:
Security optionUnderlying =
secMaster.getSecurity(ExternalIdBundle.of(option.getUnderlyingId()));
return new ValueRequirement(
MarketDataRequirementNames.MARKET_VALUE,
ComputationTargetType.SECURITY,
optionUnderlying.getUniqueId());
case SPOT_VOLATILITY:
throw new NotImplementedException(
"Don't know how to get spot volatility for " + option.getUniqueId());
case IMPLIED_VOLATILITY:
throw new NotImplementedException(
"Don't know how to get implied volatility for " + option.getUniqueId());
case INTEREST_RATE:
return new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.PRIMITIVE,
option.getUniqueId());
case COST_OF_CARRY:
throw new NotImplementedException(
"Don't know how to get cost of carry for " + option.getUniqueId());
default:
throw new NotImplementedException(
"Don't know how to get ValueRequirement for " + underlying);
}
}
throw new NotImplementedException(
"Can only get ValueRequirements for options (was " + security + ")");
}
private HistoricalTimeSeriesInfoDocument getOrLoadTimeSeries(
final ExternalId ticker, final ExternalIdBundle idBundle) {
final ExternalIdBundle searchBundle =
idBundle.withoutScheme(
ExternalSchemes
.ISIN); // For things which move country, e.g. ISIN(VALE5 BZ Equity) == ISIN(RIODF
// US Equity)
final HistoricalTimeSeriesInfoSearchRequest htsRequest =
new HistoricalTimeSeriesInfoSearchRequest(searchBundle);
htsRequest.setDataField("PX_LAST");
final HistoricalTimeSeriesInfoSearchResult htsSearch =
getToolContext().getHistoricalTimeSeriesMaster().search(htsRequest);
switch (htsSearch.getDocuments().size()) {
case 0:
return loadTimeSeries(idBundle);
case 1:
break;
default:
throw new OpenGammaRuntimeException("Multiple time series match " + htsSearch);
}
final HistoricalTimeSeriesInfoDocument timeSeriesInfo = htsSearch.getDocuments().get(0);
s_logger.debug("Loaded time series info {} for underlying {}", timeSeriesInfo, ticker);
return timeSeriesInfo;
}
@Override
public String classifyPosition(final Position position) {
final Security security = resolveSecurity(position);
if (security instanceof CreditDefaultSwapOptionSecurity) {
final CreditDefaultSwapOptionSecurity cdsOption = (CreditDefaultSwapOptionSecurity) security;
final ExternalId underlyingId = cdsOption.getUnderlyingId();
final Security underlying = _securitySource.getSingle(underlyingId.toBundle());
final String redCode =
((CreditDefaultSwapSecurity) underlying).getReferenceEntity().getValue();
final Organization organisation = _organizationSource.getOrganizationByRedCode(redCode);
return organisation.getObligor().getObligorShortName();
} else if (security instanceof CreditDefaultSwapIndexSecurity) {
final CreditDefaultSwapIndexSecurity cdsIndex = (CreditDefaultSwapIndexSecurity) security;
final CreditDefaultSwapIndexDefinitionSecurity definition =
(CreditDefaultSwapIndexDefinitionSecurity)
_securitySource.getSingle(ExternalIdBundle.of(cdsIndex.getReferenceEntity()));
return definition.getName();
} else if (security instanceof CreditDefaultSwapSecurity) {
final AbstractCreditDefaultSwapSecurity cds = (AbstractCreditDefaultSwapSecurity) security;
final String redCode = cds.getReferenceEntity().getValue();
final Organization organisation = _organizationSource.getOrganizationByRedCode(redCode);
if (organisation != null) {
return organisation.getObligor().getObligorShortName();
} else {
return redCode;
}
}
return NOT_APPLICABLE;
}
@Override
public List<ExternalId> visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
final FutureSecurity underlyingSecurity =
(FutureSecurity)
_securitySource.getSingle(ExternalIdBundle.of(security.getUnderlyingId()));
return getContractType(underlyingSecurity);
}
// deprecated
// -------------------------------------------------------------------------
@GET
@Path("exchangeSearches/single")
public Response searchSingle(@QueryParam("id") List<String> externalIdStrs) {
final ExternalIdBundle bundle = ExternalIdBundle.parse(externalIdStrs);
Exchange result = getExchangeSource().getSingleExchange(bundle);
return responseOkFudge(result);
}
@Test
public void spxIndexOptionByBbgUnique() throws Exception {
ExternalId bloombergIdentifier =
getBloombergIdentifier(EXPECTED_SPX_INDEXOPTION_SEC, ExternalSchemes.BLOOMBERG_BUID);
Security sec = _securityProvider.getSecurity(ExternalIdBundle.of(bloombergIdentifier));
assertEuropeanVanillaEquityIndexOptionSecurity(EXPECTED_SPX_INDEXOPTION_SEC, sec);
}
// -------------------------------------------------------------------------
protected ManageableExchange example() {
ManageableExchange exchange = new ManageableExchange();
exchange.setUniqueId(UID);
exchange.setName("NYSE");
exchange.setRegionIdBundle(ExternalIdBundle.of(ExternalSchemes.countryRegionId(Country.US)));
return exchange;
}
@Test
public void invalidSecurity() throws Exception {
ExternalIdBundle invalidKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("INVALID"));
Security sec = _securityProvider.getSecurity(invalidKey);
assertNull(sec);
}
@Test
public void apvEquityOptionByBbgUnique() throws Exception {
ExternalId bloombergIdentifier =
getBloombergIdentifier(EXPECTED_APVL_EQUITYOPTION_SEC, ExternalSchemes.BLOOMBERG_BUID);
Security sec = _securityProvider.getSecurity(ExternalIdBundle.of(bloombergIdentifier));
assertAmericanVanillaEquityOptionSecurity(EXPECTED_APVL_EQUITYOPTION_SEC, sec);
}
@Test
public void attEquityByBbgUnique() throws Exception {
ExternalId bloombergIdentifier =
getBloombergIdentifier(EXPECTED_ATT_EQUITY_SEC, ExternalSchemes.BLOOMBERG_BUID);
Security sec = _securityProvider.getSecurity(ExternalIdBundle.of(bloombergIdentifier));
assertEquitySecurity(EXPECTED_ATT_EQUITY_SEC, sec);
}
/**
* Resolves the security using a security source.
*
* @param source the source to use to resolve, not null
* @param versionCorrection the version-correction, not null
* @return the resolved security, not null
* @throws DataNotFoundException if the security could not be resolved
* @throws RuntimeException if an error occurs while resolving
*/
public Security resolve(SecuritySource source, VersionCorrection versionCorrection) {
ObjectId objectId = getObjectId();
if (objectId != null) {
Security target = source.getSecurity(objectId, versionCorrection);
setTarget(target);
return target;
}
ExternalIdBundle bundle = getExternalId();
if (bundle.size() > 0) {
Security target = source.getSecurity(bundle, versionCorrection);
if (target != null) {
setTarget(target);
return target;
}
}
throw new DataNotFoundException("Unable to resolve security: " + getBestName());
}
private ExternalIdBundle getIndexIdForSwap(final FloatingInterestRateLeg floatingLeg) {
if (floatingLeg.getFloatingRateType().isIbor()
|| floatingLeg.getFloatingRateType().equals(FloatingRateType.OIS)
|| floatingLeg.getFloatingRateType().equals(FloatingRateType.CMS)) {
return getIndexIdBundle(floatingLeg.getFloatingReferenceRateId());
}
return ExternalIdBundle.of(floatingLeg.getFloatingReferenceRateId());
}
public void testGetPreferred_default() {
assertEquals(
ExternalIdOrderConfig.DEFAULT_CONFIG.getPreferred(
ExternalIdBundle.of(
ExternalId.of(ExternalSchemes.BLOOMBERG_TCM, "tcm"),
ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "ticker"),
ExternalId.of("Foo", "Bar"))),
ExternalId.of(ExternalSchemes.BLOOMBERG_TCM, "tcm"));
}
@Test
public void invalidSecurities() throws Exception {
ExternalIdBundle invalidKey =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("INVALID"));
Map<ExternalIdBundle, Security> securities =
_securityProvider.getSecurities(ImmutableSet.of(invalidKey));
assertNotNull(securities);
assertTrue(securities.isEmpty());
}
@Test(enabled = false)
public void currencyFuture() throws Exception {
ExternalIdBundle id =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("LNM0 Curncy"));
Security audUsd = _securityProvider.getSecurity(id);
assertNotNull(audUsd);
assertTrue(audUsd instanceof FXFutureSecurity);
assertSecurity(EXPECTED_AUDUSD_FUTURE_SEC, audUsd);
}
/**
* Builds a URI.
*
* @param baseUri the base URI, not null
* @param vc the version-correction, null means latest
* @param bundle the bundle, may be null
* @return the URI, not null
*/
public static URI uriSearch(URI baseUri, VersionCorrection vc, ExternalIdBundle bundle) {
UriBuilder bld = UriBuilder.fromUri(baseUri).path("exchanges");
if (vc != null) {
bld.queryParam("versionAsOf", vc.getVersionAsOfString());
bld.queryParam("correctedTo", vc.getCorrectedToString());
}
bld.queryParam("id", bundle.toStringList().toArray());
return bld.build();
}
/**
* Checks if this bundle contains any key from the specified bundle.
*
* @param bundle the bundle to search for, empty returns false, not null
* @return true if this bundle contains any key from the specified bundle
*/
public boolean containsAny(final ExternalIdBundle bundle) {
ArgumentChecker.notNull(bundle, "bundle");
for (final ExternalId externalId : bundle.getExternalIds()) {
if (_externalIds.contains(externalId)) {
return true;
}
}
return false;
}
@Test
public void test_search_twoKeys_All_noMatch() {
UserSearchRequest request = new UserSearchRequest();
request.addExternalIds(ExternalIdBundle.of(ExternalId.of("C", "D"), ExternalId.of("E", "H")));
request.getExternalIdSearch().setSearchType(ExternalIdSearchType.ALL);
UserSearchResult test = _usrMaster.search(request);
assertEquals(0, test.getDocuments().size());
}
@BeforeMethod
public void configureService() {
MockFinancialSecuritySource securitySource = new MockFinancialSecuritySource();
ExternalId secId1 = ExternalId.of(ExternalScheme.of("d1"), "v1");
ExternalId secId2 = ExternalId.of(ExternalScheme.of("d2"), "v2");
MockSecurity sec1 = new MockSecurity("t1");
sec1.setExternalIdBundle(ExternalIdBundle.of(secId1));
sec1.setSecurityType("BOND");
securitySource.addSecurity(sec1);
MockSecurity sec2 = new MockSecurity("t2");
sec2.setExternalIdBundle(ExternalIdBundle.of(secId2));
securitySource.addSecurity(sec2);
BondSecurity bondSec =
new GovernmentBondSecurity(
"US TREASURY N/B",
"Government",
"US",
"Treasury",
Currency.USD,
YieldConventionFactory.INSTANCE.getYieldConvention("US Treasury equivalent"),
new Expiry(ZonedDateTime.of(2011, 2, 1, 12, 0, 0, 0, TimeZone.UTC)),
"",
200,
SimpleFrequencyFactory.INSTANCE.getFrequency(SimpleFrequency.SEMI_ANNUAL_NAME),
DayCountFactory.INSTANCE.getDayCount("Actual/Actual"),
ZonedDateTime.of(2011, 2, 1, 12, 0, 0, 0, TimeZone.UTC),
ZonedDateTime.of(2011, 2, 1, 12, 0, 0, 0, TimeZone.UTC),
ZonedDateTime.of(2011, 2, 1, 12, 0, 0, 0, TimeZone.UTC),
100,
100000000,
5000,
1000,
100,
100);
bondSec.setExternalIdBundle(ExternalIdBundle.of(ExternalId.of("A", "B")));
securitySource.addSecurity(bondSec);
getSecuritySourceService().setUnderlying(securitySource);
_uid1 = sec1.getUniqueId();
_uid2 = sec2.getUniqueId();
}
// -------------------------------------------------------------------------
@Test
public void test_addAndGet() throws Exception {
MockConvention cnv =
new MockConvention("London", ExternalIdBundle.of("Test", "OG"), Currency.GBP);
ConventionDocument addDoc = new ConventionDocument(cnv);
ConventionDocument added = _cnvMaster.add(addDoc);
ConventionDocument loaded = _cnvMaster.get(added.getUniqueId());
assertEquals(added, loaded);
}
public static ManageableRegion getTestRegion() {
final ManageableRegion region = new ManageableRegion();
region.setUniqueId(UniqueId.parse("Dummy~region"));
region.setName("United States");
region.setCurrency(Currency.USD);
region.setCountry(Country.US);
region.setTimeZone(ZoneId.of("America/New_York"));
region.setExternalIdBundle(ExternalIdBundle.of(ExternalId.parse("dummy~region")));
return region;
}
private ManageableSecurity loadSecurity(final ExternalId ticker) {
final ExternalIdBundle tickerBundle = ExternalIdBundle.of(ticker);
final Collection<ExternalIdBundle> bundles = Collections.singleton(tickerBundle);
final Map<ExternalIdBundle, UniqueId> loaded =
getToolContext().getSecurityLoader().loadSecurities(bundles);
final UniqueId loadedSec = loaded.get(tickerBundle);
if (loadedSec == null) {
throw new OpenGammaRuntimeException("Failed to load security for " + ticker);
}
return getToolContext().getSecurityMaster().get(loadedSec).getSecurity();
}
// -------------------------------------------------------------------------
@GET
@Path("exchanges")
public Response search(
@QueryParam("versionAsOf") String versionAsOf,
@QueryParam("correctedTo") String correctedTo,
@QueryParam("id") List<String> externalIdStrs) {
final VersionCorrection vc = VersionCorrection.parse(versionAsOf, correctedTo);
final ExternalIdBundle bundle = ExternalIdBundle.parse(externalIdStrs);
Collection<? extends Exchange> result = getExchangeSource().getExchanges(bundle, vc);
return responseOkFudge(FudgeListWrapper.of(result));
}
@Override
public List<ExternalId> visitCreditDefaultSwapOptionSecurity(
final CreditDefaultSwapOptionSecurity security) {
final CreditDefaultSwapSecurity underlyingCDS =
(CreditDefaultSwapSecurity)
_securitySource.getSingle(
ExternalIdBundle.of(security.getUnderlyingId())); // TODO version
final ExternalId regionId = underlyingCDS.getRegionId();
final String securityType = security.getSecurityType();
return Arrays.asList(
ExternalId.of(SECURITY_IDENTIFIER, securityType + SEPARATOR + regionId.getValue()));
}
private InterestRateSwapSecurity createFixedVsLibor3mSwap() {
InterestRateSwapNotional notional = new InterestRateSwapNotional(Currency.USD, 100_000_000);
PeriodFrequency freq6m = PeriodFrequency.of(Period.ofMonths(6));
PeriodFrequency freq3m = PeriodFrequency.of(Period.ofMonths(3));
Set<ExternalId> calendarUSNY =
Sets.newHashSet(ExternalId.of(ExternalSchemes.ISDA_HOLIDAY, "USNY"));
List<InterestRateSwapLeg> legs = new ArrayList<>();
FixedInterestRateSwapLeg payLeg = new FixedInterestRateSwapLeg();
payLeg.setNotional(notional);
payLeg.setDayCountConvention(DayCounts.THIRTY_U_360);
payLeg.setPaymentDateFrequency(freq6m);
payLeg.setPaymentDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setPaymentDateCalendars(calendarUSNY);
payLeg.setMaturityDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setAccrualPeriodFrequency(freq6m);
payLeg.setAccrualPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
payLeg.setAccrualPeriodCalendars(calendarUSNY);
payLeg.setRate(new Rate(0.0150));
payLeg.setPayReceiveType(PayReceiveType.PAY);
legs.add(payLeg);
FloatingInterestRateSwapLeg receiveLeg = new FloatingInterestRateSwapLeg();
receiveLeg.setNotional(notional);
receiveLeg.setDayCountConvention(DayCounts.ACT_360);
receiveLeg.setPaymentDateFrequency(freq3m);
receiveLeg.setPaymentDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setPaymentDateCalendars(calendarUSNY);
receiveLeg.setMaturityDateBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setAccrualPeriodFrequency(freq3m);
receiveLeg.setAccrualPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setAccrualPeriodCalendars(calendarUSNY);
receiveLeg.setResetPeriodFrequency(freq3m);
receiveLeg.setResetPeriodBusinessDayConvention(BusinessDayConventions.MODIFIED_FOLLOWING);
receiveLeg.setResetPeriodCalendars(calendarUSNY);
receiveLeg.setFixingDateBusinessDayConvention(BusinessDayConventions.PRECEDING);
receiveLeg.setFixingDateCalendars(calendarUSNY);
receiveLeg.setFixingDateOffset(-2);
receiveLeg.setFloatingRateType(FloatingRateType.IBOR);
receiveLeg.setFloatingReferenceRateId(InterestRateMockSources.getLiborIndexId());
receiveLeg.setPayReceiveType(PayReceiveType.RECEIVE);
legs.add(receiveLeg);
return new InterestRateSwapSecurity(
ExternalIdBundle.of(ExternalId.of("UUID", GUIDGenerator.generate().toString())),
"Fixed vs Libor 3m",
LocalDate.of(2014, 9, 12), // effective date
LocalDate.of(2021, 9, 12), // maturity date,
legs);
}
