public void DemonstrateCreationOfSwapWithNamedConventions()
{
// CREATE an Interest Rate Swap (IRS) (that can then be upserted into LUSID)
var startDate = new DateTimeOffset(2020, 2, 7, 0, 0, 0, TimeSpan.Zero);
var maturityDate = new DateTimeOffset(2030, 2, 7, 0, 0, 0, TimeSpan.Zero);
// CREATE the flow conventions, index convention
FlowConventionName flowConventionName = new FlowConventionName(currency: "GBP", tenor: "3M");
FlowConventionName indexConventionName = new FlowConventionName(currency: "GBP", tenor: "3M", indexName: "LIBOR");
// CREATE the swap
var irs = CreateSwap(startDate, maturityDate, 0.02m, flowConventionName, indexConventionName);
// ASSERT that it was created
Assert.That(irs, Is.Not.Null);
// CAN NOW UPSERT TO LUSID
string uniqueId = "id-swap-1";
UpsertOtcToLusid(irs, "some-name-for-this-swap", uniqueId);
// CAN NOW QUERY FROM LUSID
var retrieved = QueryOtcFromLusid(uniqueId);
Assert.That(retrieved.InstrumentType == LusidInstrument.InstrumentTypeEnum.InterestRateSwap);
var retrSwap = retrieved as InterestRateSwap;
Assert.That(retrSwap, Is.Not.Null);
Assert.That(retrSwap.MaturityDate, Is.EqualTo(irs.MaturityDate));
Assert.That(retrSwap.StartDate, Is.EqualTo(irs.StartDate));
Assert.That(retrSwap.Legs.Count, Is.EqualTo(irs.Legs.Count));
}
private InterestRateSwap CreateSwap(DateTimeOffset startDate, DateTimeOffset maturityDate, decimal fixedRate, FlowConventionName flowConventionName, FlowConventionName indexConventionName, string fixedLegDirection = "Pay", decimal notional = 100m)
{
string floatingLegDirection = fixedLegDirection == "Pay" ? "Receive" : "Pay";
// CREATE the leg definitions
var fixedLegDef = new LegDefinition(
rateOrSpread: fixedRate, // fixed leg rate (swap rate)
stubType: "Front",
payReceive: fixedLegDirection,
notionalExchangeType: "None",
conventionName: flowConventionName
);
var floatLegDef = new LegDefinition(
rateOrSpread: 0,
stubType: "Front",
payReceive: floatingLegDirection,
notionalExchangeType: "None",
conventionName: flowConventionName,
indexConventionName: indexConventionName
);
// CREATE the fixed leg
var fixedLeg = new FixedLeg(
notional: notional,
startDate: startDate,
maturityDate: maturityDate,
legDefinition: fixedLegDef,
instrumentType: LusidInstrument.InstrumentTypeEnum.FixedLeg
);
// CREATE the floating leg
var floatLeg = new FloatingLeg(
notional: notional,
startDate: startDate,
maturityDate: maturityDate,
legDefinition: floatLegDef,
instrumentType: LusidInstrument.InstrumentTypeEnum.FloatingLeg
);
var irs = new InterestRateSwap(
startDate: startDate,
maturityDate: maturityDate,
legs: new List <InstrumentLeg>
{
floatLeg,
fixedLeg
},
instrumentType: LusidInstrument.InstrumentTypeEnum.InterestRateSwap
);
return(irs);
}
