static {
USD_DSC_NODES[0] =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T0),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[0])));
USD_DSC_NODES[1] =
TermDepositCurveNode.of(
TermDepositTemplate.of(Period.ofDays(1), USD_DEPOSIT_T1),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[1])));
for (int i = 0; i < USD_DSC_NB_OIS_NODES; i++) {
USD_DSC_NODES[USD_DSC_NB_DEPO_NODES + i] =
FixedOvernightSwapCurveNode.of(
FixedOvernightSwapTemplate.of(
Period.ZERO, Tenor.of(USD_DSC_OIS_TENORS[i]), USD_FIXED_1Y_FED_FUND_OIS),
QuoteKey.of(StandardId.of(SCHEME, USD_DSC_ID_VALUE[USD_DSC_NB_DEPO_NODES + i])));
}
}
@Override
public SwapTrade trade(LocalDate valuationDate, MarketData marketData) {
double fixedRate = marketData.getValue(rateKey) + additionalSpread;
return template.toTrade(valuationDate, BuySell.BUY, 1, fixedRate);
}
@Override
public DatedCurveParameterMetadata metadata(LocalDate valuationDate) {
SwapTrade trade = template.toTrade(valuationDate, BuySell.BUY, 1, 1);
return TenorCurveNodeMetadata.of(trade.getProduct().getEndDate(), template.getTenor());
}