Package com.opengamma.financial.security.capfloor

Examples of com.opengamma.financial.security.capfloor.CapFloorSecurity.addExternalId()

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    final CapFloorSecurity security = new CapFloorSecurity(TRADE_DATE.atStartOfDay(ZoneOffset.UTC), maturityDate, notional, underlyingId, strike, PeriodFrequency.SEMI_ANNUAL,
        Currency.USD, ACT_360, payer, cap, false);
    security.setName("USD " + FORMAT.format(notional / 1000000) + (cap ? "MM cap " : "MM floor ") + "@ " + FORMAT.format(strike) +
        (payer ? "%, pay " : "%, receive ") + tenor.getPeriod().normalized().getYears() + "Y ISDA fixing" +
        " (" + TRADE_DATE.toString() + " - " + maturityDate.toLocalDate().toString() + ")");
    security.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    return security;
  }

  private SwapSecurity makeSwap(final Random random, final Tenor tenor) {
    final ZonedDateTime tradeDate = TRADE_DATE.atStartOfDay(ZoneOffset.UTC);
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    final CapFloorSecurity cmsCap = new CapFloorSecurity(ZonedDateTime.of(LocalDateTime.of(2011, 4, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(2016, 4, 1, 1, 0), ZoneOffset.UTC), 1.5E7,
        ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "USDISDA10P10Y"), 0.03, SimpleFrequency.ANNUAL, Currency.USD,
        DayCountFactory.INSTANCE.getDayCount("Actual/360"), false, true, false);
    cmsCap.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    cmsCap.setName(getCapFloorName(cmsCap));
    securities.add(cmsCap);

    final CapFloorSecurity cmsFloor = new CapFloorSecurity(ZonedDateTime.of(LocalDateTime.of(2011, 9, 9, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(2016, 9, 9, 1, 0), ZoneOffset.UTC), 1.5E7,
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    final CapFloorSecurity cmsFloor = new CapFloorSecurity(ZonedDateTime.of(LocalDateTime.of(2011, 9, 9, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(2016, 9, 9, 1, 0), ZoneOffset.UTC), 1.5E7,
        ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "USDISDA10P10Y"), 0.01, SimpleFrequency.SEMI_ANNUAL, Currency.USD,
        DayCountFactory.INSTANCE.getDayCount("Actual/360"), false, false, false);
    cmsFloor.setName(getCapFloorName(cmsFloor));
    cmsFloor.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    securities.add(cmsFloor);
    return securities;
  }

  private String getCapFloorName(final CapFloorSecurity capFloorSec) {
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    final CapFloorSecurity sec1 = new CapFloorSecurity(ZonedDateTime.of(LocalDateTime.of(year + 1, 1, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 3, 1, 1, 1, 0), ZoneOffset.UTC), 1.5E7,
        USDLIBOR3M, 0.01, SimpleFrequency.QUARTERLY, Currency.USD,
        DayCountFactory.INSTANCE.getDayCount("30U/360"), false, true, true);
    sec1.setName(getCapFloorName(sec1));
    sec1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    securities.add(sec1);

    final CapFloorSecurity sec2 = new CapFloorSecurity(ZonedDateTime.of(LocalDateTime.of(year + 1, 1, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 3, 1, 1, 1, 0), ZoneOffset.UTC), 1.5E7,
        USDLIBOR3M, 0.01, SimpleFrequency.QUARTERLY, Currency.USD,
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    final CapFloorSecurity sec2 = new CapFloorSecurity(ZonedDateTime.of(LocalDateTime.of(year + 1, 1, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 3, 1, 1, 1, 0), ZoneOffset.UTC), 1.5E7,
        USDLIBOR3M, 0.01, SimpleFrequency.QUARTERLY, Currency.USD,
        DayCountFactory.INSTANCE.getDayCount("30U/360"), false, false, true);
    sec2.setName(getCapFloorName(sec2));
    sec2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    securities.add(sec2);
    return securities;
  }

  private static Collection<FinancialSecurity> getSimpleFX() {
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