Package com.opengamma.financial.security.swap

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

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    }
    security.setName(CURRENCY.getCode() + " " + FORMAT.format(notional.getAmount() / 1000000) + "MM Swap, pay " +
        (payIbor ? frequency.getPeriod().getMonths() + "M Libor, receive " + tenor.getPeriod().getYears() + "Y ISDA fixing (" :
          tenor.getPeriod().getYears() + "Y ISDA fixing, receive " + frequency.getPeriod().getMonths() + "M Libor (") +
          tradeDate.toLocalDate().toString() + " - " + maturityDate.toLocalDate().toString() + ")");
    security.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    return security;
  }

  private CapFloorCMSSpreadSecurity makeCMSCapFloorSpread(final Random random, final Tenor payTenor, final Tenor receiveTenor, final Tenor maturity, final double strike) {
    final ZonedDateTime tradeDate = TRADE_DATE.atStartOfDay(ZoneOffset.UTC);
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      } else {
        swap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, floatingLeg, fixedLeg);
        name = years + "Y EUR " + FORMATTER.format(notional.getAmount() / 1000000) + "MM, receive " + FORMATTER.format(rate * 100) + "% vs " + frequencyLabel;
      }
      swap.setName(name);
      swap.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
      securities.add(swap);
    }
    return securities;
  }

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      } else {
        swap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, floatingLeg, fixedLeg);
        name = years + "Y EUR " + FORMATTER.format(notional.getAmount() / 1000000) + "MM, receive " + FORMATTER.format(rate * 100) + "% vs EONIA";
      }
      swap.setName(name);
      swap.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
      securities.add(swap);
    }
    return securities;
  }

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        frequencyLabel = "receive 3M Euribor + " + FORMATTER.format((int) (spread * 1000)) + "bp, pay 6M Euribor";
      }
      final SwapSecurity swap = new SwapSecurity(tradeDate, effectiveDate, maturityDate, COUNTERPARTY, payLeg, receiveLeg);
      final String name = years + "Y EUR " + FORMATTER.format(notional.getAmount() / 1000000) + "MM, " + frequencyLabel;
      swap.setName(name);
      swap.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
      securities.add(swap);
    }
    return securities;
  }

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      payer = false;
    }
    final SwapSecurity swap = new SwapSecurity(swaptionExpiry, swaptionExpiry.plusDays(2), swapMaturity, COUNTERPARTY, payLeg, receiveLeg);
    swap.setName(swapName);
    final ExternalId underlyingId = ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString());
    swap.addExternalId(underlyingId);
    final SwaptionSecurity swaption = new SwaptionSecurity(payer, underlyingId, isLong, new Expiry(swaptionExpiry), isCashSettled, ccy);
    swaption.setName(swaptionName);
    swaption.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    return Pair.of(swaption, swap);
  }
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  protected void doRun() {
    final FloatingInterestRateLeg payLeg1 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg1 = new FixedInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.04);
    final SwapSecurity swap1 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg1, receiveLeg1);
    swap1.setName("Swap AUD Bank Bill 3m");
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg payLeg2 = new FloatingInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_6M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg2 = new FixedInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, FOLLOWING, NOTIONAL, true, 0.04);
    final SwapSecurity swap2 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg2, receiveLeg2);
    swap2.setName("Swap AUD Bank Bill 6m");
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
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    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg payLeg2 = new FloatingInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_6M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg2 = new FixedInterestRateLeg(ACT_365, SEMI_ANNUAL, REGION, FOLLOWING, NOTIONAL, true, 0.04);
    final SwapSecurity swap2 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg2, receiveLeg2);
    swap2.setName("Swap AUD Bank Bill 6m");
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg payLeg3 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg3 = new FixedInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.0365);
    final SwapSecurity swap3 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg3, receiveLeg3);
    swap3.setName("Swap: receive 3.65% fixed ACT/365 vs 3m Bank Bill");
    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
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    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg payLeg3 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg receiveLeg3 = new FixedInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.0365);
    final SwapSecurity swap3 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg3, receiveLeg3);
    swap3.setName("Swap: receive 3.65% fixed ACT/365 vs 3m Bank Bill");
    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg receiveLeg4 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg payLeg4 = new FixedInterestRateLeg(ACT_360, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.036);
    final SwapSecurity swap4 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg4, receiveLeg4);
    swap4.setName("Swap: receive 3.60% fixed ACT/360 vs 3m Bank Bill");
    swap4.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
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    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final FloatingInterestRateLeg receiveLeg4 = new FloatingInterestRateLeg(ACT_365, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, AUD_LIBOR_3M, FloatingRateType.IBOR);
    final FixedInterestRateLeg payLeg4 = new FixedInterestRateLeg(ACT_360, QUARTERLY, REGION, FOLLOWING, NOTIONAL, true, 0.036);
    final SwapSecurity swap4 = new SwapSecurity(TRADE_DATE, TRADE_DATE, MATURITY, COUNTERPARTY, payLeg4, receiveLeg4);
    swap4.setName("Swap: receive 3.60% fixed ACT/360 vs 3m Bank Bill");
    swap4.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    final Collection<SwapSecurity> swaps = new HashSet<>();
    swaps.add(swap1);
    swaps.add(swap2);
    swaps.add(swap3);
    swaps.add(swap4);
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      payLegDescription = floatingLegDescription;
      receiveLeg = fixedLeg;
      receiveLegDescription = fixedLegDescription;
    }
    final SwapSecurity swap = new SwapSecurity(tradeDateTime, tradeDateTime, maturityDateTime, counterparty, payLeg, receiveLeg);
    swap.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap.setName("IR Swap " + ccy + " " + PortfolioLoaderHelper.NOTIONAL_FORMATTER.format(notional) + " " +
      maturityDateTime.toString(PortfolioLoaderHelper.OUTPUT_DATE_FORMATTER) + " - " + payLegDescription + " / " + receiveLegDescription);
    return swap;
  }
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