// -------------------------------------------------------------------------
 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);
 }
示例#2
0
  // -----------------------------------------------------------------------
  // 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);
 }