Package com.opengamma.financial.security.swap

Examples of com.opengamma.financial.security.swap.SwapSecurity.addExternalId()

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            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 15000000),
            true,
            USDLIBOR3M,
            FloatingRateType.IBOR));
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap1.setName("Swap: pay 5% fixed vs 3m Libor, start=" + swap1.getEffectiveDate().toLocalDate() + ", maturity=" + swap1.getMaturityDate().toLocalDate() + ", notional=USD 15MM");
    final SwapSecurity swap2 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 30, 5, 1, 11, 0), ZoneOffset.UTC),
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            BUSINESS_DAY,
            new InterestRateNotional(Currency.EUR, 20000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "USDLIBORP6M"),
            FloatingRateType.IBOR));
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap2.setName("Swap: pay 4% fixed vs 6m Euribor, start=" + swap2.getEffectiveDate().toLocalDate() + ", maturity=" + swap2.getMaturityDate().toLocalDate() + ", notional=EUR 20MM");
    final SwapSecurity swap3 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 13, 5, 1, 11, 0), ZoneOffset.UTC),
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            BUSINESS_DAY,
            new InterestRateNotional(Currency.GBP, 15000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "GBPLIBORP6M"),
            FloatingRateType.IBOR));
    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap3.setName("Swap: pay 3% fixed vs 6m Libor, start=" + swap3.getEffectiveDate().toLocalDate() + ", maturity=" + swap3.getMaturityDate().toLocalDate() + ", notional=GBP 15MM");
    final SwapSecurity swap4 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 25, 5, 1, 11, 0), ZoneOffset.UTC),
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            BUSINESS_DAY,
            new InterestRateNotional(Currency.JPY, 100000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "JPYLIBORP6M"),
            FloatingRateType.IBOR));
    swap4.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap4.setName("Swap: pay 2% fixed vs 6m Libor, start=" + swap4.getEffectiveDate().toLocalDate() + ", maturity=" + swap4.getMaturityDate().toLocalDate() + ", notional=JPY 100MM");
    final SwapSecurity swap5 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 40, 5, 1, 11, 0), ZoneOffset.UTC),
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            BUSINESS_DAY,
            new InterestRateNotional(Currency.CHF, 5000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "CHFLIBORP6M"),
            FloatingRateType.IBOR));
    swap5.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap5.setName("Swap: pay 7% fixed vs 6m Libor, start=" + swap5.getEffectiveDate().toLocalDate() + ", maturity=" + swap5.getMaturityDate().toLocalDate() + ", notional=CHF 50MM");

    final SwapSecurity swap6 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 5, 1, 11, 0), ZoneOffset.UTC),
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            BUSINESS_DAY,
            new InterestRateNotional(Currency.DKK, 90000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "DKKLIBORP6M"),
            FloatingRateType.IBOR));
    swap6.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap6.setName("Swap: pay 5% fixed vs 6m Cibor, start=" + swap6.getEffectiveDate().toLocalDate() + ", maturity=" + swap6.getMaturityDate().toLocalDate() + ", notional=DKK 90MM");
    securities.add(swap1);
    securities.add(swap2);
    securities.add(swap3);
    securities.add(swap4);
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            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 21000000),
            true,
            ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, "USDISDA10P10Y"),
            FloatingRateType.CMS));
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap1.setName("CMSwap: pay 5Y fixed @ 3.5% vs USDISDA10P10Y, start=" + swap1.getEffectiveDate().toLocalDate() + ", maturity=" + swap1.getMaturityDate().toLocalDate() + ", notional=USD 21MM");
    final SwapSecurity swap2 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(year + 1, 4, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 1, 4, 1, 11, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 7, 4, 1, 11, 0), ZoneOffset.UTC),
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            BUSINESS_DAY,
            new InterestRateNotional(Currency.USD, 123000000),
            true,
            USDLIBOR3M,
            FloatingRateType.IBOR, 0.005));
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap2.setName("CMSwap: pay USDISDA10P1Y vs 3m Libor, start=" + swap2.getEffectiveDate().toLocalDate() + ", maturity=" + swap2.getMaturityDate().toLocalDate() + ", notional=USD 123MM");
    securities.add(swap1);
    securities.add(swap2);
    return securities;
  }
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            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 1.0E7),
            false,
            0.04));
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap1.setName("Swap: pay 3m Libor vs 4% fixed, start=" + swap1.getEffectiveDate().toLocalDate() + ", maturity=" + swap1.getMaturityDate().toLocalDate() + ", notional=USD 10MM");
    storeFinancialSecurity(swap1);
    final SwaptionSecurity swaption1 = new SwaptionSecurity(false, swap1.getExternalIdBundle().getExternalId(ExternalScheme.of(ID_SCHEME)),
        true, new Expiry(ZonedDateTime.of(LocalDateTime.of(year + 1, 6, 1, 1, 0), ZoneOffset.UTC)),
        true, Currency.USD, null, europeanExerciseType, null);
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            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 3000000.0),
            false,
            0.01));
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap2.setName("Swap: pay 3m Libor vs 1% fixed, start=" + swap2.getEffectiveDate().toLocalDate() + ", maturity=" + swap2.getMaturityDate().toLocalDate() + ", notional=USD 3MM");
    storeFinancialSecurity(swap2);
    final SwaptionSecurity swaption2 = new SwaptionSecurity(false, swap2.getExternalIdBundle().getExternalId(ExternalScheme.of(ID_SCHEME)),
        false, new Expiry(ZonedDateTime.of(LocalDateTime.of(year + 2, 6, 1, 1, 0), ZoneOffset.UTC)),
        true, Currency.USD, null, europeanExerciseType, null);
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