//-----------------------------------------------------------------------
public virtual void vanillaFixedVsLibor3mSwap()
{
// we are paying a fixed rate every 3 months at 1.5% with a 100 million notional
RateCalculationSwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).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)).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(Currency.USD).amount(ValueSchedule.of(100_000_000)).build()).calculation(FixedRateCalculation.of(0.015, DayCounts.THIRTY_U_360)).build();
// we are receiving USD LIBOR 3M every 3 months with a 100 million notional
RateCalculationSwapLeg 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)).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(Currency.USD).amount(ValueSchedule.of(100_000_000)).build()).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
// a SwapTrade combines the two legs
SwapTrade trade = SwapTrade.builder().info(TradeInfo.builder().id(StandardId.of("OG-Trade", "1")).tradeDate(LocalDate.of(2014, 9, 10)).build()).product(Swap.of(payLeg, receiveLeg)).build();
Console.WriteLine("===== Vanilla fixed vs Libor3m =====");
Console.WriteLine(JodaBeanSer.PRETTY.xmlWriter().write(trade));
Console.WriteLine();
Console.WriteLine("===== Vanilla fixed vs Libor3m pay leg =====");
Console.WriteLine(JodaBeanSer.PRETTY.xmlWriter().write(payLeg.resolve(ReferenceData.standard())));
Console.WriteLine();
Console.WriteLine("===== Vanilla fixed vs Libor3m receive leg =====");
Console.WriteLine(JodaBeanSer.PRETTY.xmlWriter().write(receiveLeg.resolve(ReferenceData.standard())));
Console.WriteLine();
}
// Create a compounding fixed vs fed funds swap
private static Trade createCompoundingFixedVsFedFundsSwap()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 100_000_000);
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 2, 5)).endDate(LocalDate.of(2014, 4, 7)).frequency(Frequency.TERM).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(FixedRateCalculation.of(0.00123, DayCounts.ACT_360)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 2, 5)).endDate(LocalDate.of(2014, 4, 7)).frequency(Frequency.TERM).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(OvernightRateCalculation.of(OvernightIndices.USD_FED_FUND)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "11")).addAttribute(AttributeType.DESCRIPTION, "Compounding fixed vs fed funds").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 2, 5)).build()).build());
}
// create a cross-currency USD fixed vs GBP libor 3m swap with initial and final notional exchange
private static SwapTrade createNotionalExchangeSwap()
{
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2021, 1, 24)).frequency(Frequency.P6M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(Currency.USD).amount(ValueSchedule.of(100_000_000)).initialExchange(true).finalExchange(true).build()).calculation(FixedRateCalculation.of(0.03, DayCounts.THIRTY_U_360)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 1, 24)).endDate(LocalDate.of(2021, 1, 24)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.GBLO)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.builder().currency(Currency.GBP).amount(ValueSchedule.of(61_600_000)).initialExchange(true).finalExchange(true).build()).calculation(IborRateCalculation.of(IborIndices.GBP_LIBOR_3M)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "16")).addAttribute(AttributeType.DESCRIPTION, "USD fixed vs GBP Libor 3m (notional exchange)").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 1, 24)).build()).build());
}
// Create a zero-coupon fixed vs libor 3m swap
private static Trade createZeroCouponFixedVsLibor3mSwap()
{
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.P12M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.TERM).paymentDateOffset(DaysAdjustment.NONE).compoundingMethod(CompoundingMethod.STRAIGHT).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.TERM).paymentDateOffset(DaysAdjustment.NONE).compoundingMethod(CompoundingMethod.STRAIGHT).build()).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "10")).addAttribute(AttributeType.DESCRIPTION, "Zero-coupon fixed vs libor 3m").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 12)).build()).build());
}
// Create a fixed vs libor 6m swap
private static Trade createInterpolatedStub4mFixedVsLibor6mSwap()
{
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(2016, 7, 12)).frequency(Frequency.P6M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).stubConvention(StubConvention.SHORT_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(Frequency.P6M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(IborRateCalculation.builder().index(IborIndices.USD_LIBOR_6M).initialStub(IborRateStubCalculation.ofIborInterpolatedRate(IborIndices.USD_LIBOR_3M, IborIndices.USD_LIBOR_6M)).build()).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(PeriodicSchedule.builder().startDate(LocalDate.of(2014, 9, 12)).endDate(LocalDate.of(2016, 7, 12)).stubConvention(StubConvention.SHORT_INITIAL).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(0.01, DayCounts.THIRTY_U_360)).build();
return(SwapTrade.builder().product(Swap.of(payLeg, receiveLeg)).info(TradeInfo.builder().id(StandardId.of("example", "9")).addAttribute(AttributeType.DESCRIPTION, "Fixed vs Libor 6m (interpolated 4m short initial stub)").counterparty(StandardId.of("example", "A")).settlementDate(LocalDate.of(2014, 9, 12)).build()).build());
}
//-------------------------------------------------------------------------
public virtual void test_toLeg()
{
FixedRateSwapLegConvention @base = FixedRateSwapLegConvention.of(GBP, ACT_365F, P3M, BDA_MOD_FOLLOW);
LocalDate startDate = LocalDate.of(2015, 5, 5);
LocalDate endDate = LocalDate.of(2020, 5, 5);
RateCalculationSwapLeg test = @base.toLeg(startDate, endDate, PAY, NOTIONAL_2M, 0.25d);
RateCalculationSwapLeg expected = RateCalculationSwapLeg.builder().payReceive(PAY).accrualSchedule(PeriodicSchedule.builder().frequency(P3M).startDate(startDate).endDate(endDate).businessDayAdjustment(BDA_MOD_FOLLOW).stubConvention(StubConvention.SMART_INITIAL).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(P3M).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(NotionalSchedule.of(GBP, NOTIONAL_2M)).calculation(FixedRateCalculation.of(0.25d, ACT_365F)).build();
assertEquals(test, expected);
}
private static SwapLeg fixedLeg(LocalDate start, LocalDate end, Frequency frequency, PayReceive payReceive, NotionalSchedule notional, double fixedRate, StubConvention stubConvention)
{
return(RateCalculationSwapLeg.builder().payReceive(payReceive).accrualSchedule(PeriodicSchedule.builder().startDate(start).endDate(end).frequency(frequency).businessDayAdjustment(BDA_MF).stubConvention(stubConvention).build()).paymentSchedule(PaymentSchedule.builder().paymentFrequency(frequency).paymentDateOffset(DaysAdjustment.NONE).build()).notionalSchedule(notional).calculation(FixedRateCalculation.of(fixedRate, THIRTY_U_360)).build());
}
private static Trade createTrade1()
{
NotionalSchedule notional = NotionalSchedule.of(Currency.USD, 12_000_000);
PeriodicSchedule accrual = PeriodicSchedule.builder().startDate(LocalDate.of(2006, 2, 24)).endDate(LocalDate.of(2011, 2, 24)).frequency(Frequency.P3M).businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, HolidayCalendarIds.USNY)).build();
PaymentSchedule payment = PaymentSchedule.builder().paymentFrequency(Frequency.P3M).paymentDateOffset(DaysAdjustment.ofBusinessDays(2, HolidayCalendarIds.USNY)).build();
SwapLeg payLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.PAY).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(FixedRateCalculation.of(0.05004, DayCounts.ACT_360)).build();
SwapLeg receiveLeg = RateCalculationSwapLeg.builder().payReceive(PayReceive.RECEIVE).accrualSchedule(accrual).paymentSchedule(payment).notionalSchedule(notional).calculation(IborRateCalculation.of(IborIndices.USD_LIBOR_3M)).build();
return(SwapTrade.builder().product(Swap.builder().legs(payLeg, receiveLeg).build()).info(TradeInfo.builder().id(StandardId.of("mn", "14248")).counterparty(StandardId.of("mn", "Dealer A")).settlementDate(LocalDate.of(2006, 2, 24)).build()).build());
}