.longQuantity(100) .build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, refData), expectedPosition1); BondFuturePosition expectedPosition2 = BondFuturePosition.builder() .info(positionInfo)
.longQuantity(100) .build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, refData), expectedPosition1); BondFutureOptionPosition expectedPosition2 = BondFutureOptionPosition.builder() .info(positionInfo)
public void cds02() { String location = "classpath:com/opengamma/strata/loader/fpml/cd-ex02-2003-short-asia-corp-fixreg.xml"; ByteSource resource = ResourceLocator.of(location).getByteSource(); List<Trade> trades = FpmlDocumentParser.of(FpmlPartySelector.matching("Party2")).parseTrades(resource); assertEquals(trades.size(), 1); CdsTrade cdsTrade = (CdsTrade) trades.get(0); assertEquals(cdsTrade.getInfo().getTradeDate(), Optional.of(date(2002, 12, 4))); Cds expected = Cds.builder() .buySell(SELL) .legalEntityId(StandardId.of("http://www.fpml.org/coding-scheme/external/entity-id-RED-1-0", "008FAQ")) .currency(JPY) .notional(500000000d) .paymentSchedule(PeriodicSchedule.builder() .startDate(date(2002, 12, 5)) .endDate(date(2007, 12, 5)) .startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE) .endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE) .businessDayAdjustment(BusinessDayAdjustment.NONE) .firstRegularStartDate(date(2003, 3, 5)) .frequency(Frequency.P3M) .rollConvention(RollConventions.DAY_5) .build()) .fixedRate(0.007) .dayCount(ACT_360) .build(); assertEqualsBean(cdsTrade.getProduct(), expected); assertEquals(cdsTrade.getUpfrontFee().isPresent(), false); }
public void cdsIndex01() { String location = "classpath:com/opengamma/strata/loader/fpml/cdindex-ex01-cdx.xml"; ByteSource resource = ResourceLocator.of(location).getByteSource(); List<Trade> trades = FpmlDocumentParser.of(FpmlPartySelector.matching("Party2")).parseTrades(resource); assertEquals(trades.size(), 1); CdsIndexTrade cdsTrade = (CdsIndexTrade) trades.get(0); assertEquals(cdsTrade.getInfo().getTradeDate(), Optional.of(date(2005, 1, 24))); CdsIndex expected = CdsIndex.builder() .buySell(BUY) .cdsIndexId(StandardId.of("CDX-Name", "Dow Jones CDX NA IG.2")) .currency(USD) .notional(25000000d) .paymentSchedule(PeriodicSchedule.builder() .startDate(date(2004, 3, 23)) .endDate(date(2009, 3, 20)) .startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE) .endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE) .businessDayAdjustment(BusinessDayAdjustment.NONE) .frequency(Frequency.P3M) .build()) .fixedRate(0.0060) .dayCount(ACT_360) .build(); assertEqualsBean(cdsTrade.getProduct(), expected); assertEquals(cdsTrade.getUpfrontFee().get(), AdjustablePayment.of(USD, 16000, AdjustableDate.of(date(2004, 3, 23)))); }
.build()) .build(); assertEqualsBean((Bean) oisLeg, expectedOisLeg);
public void cds01() { String location = "classpath:com/opengamma/strata/loader/fpml/cd-ex01-long-asia-corp-fixreg.xml"; ByteSource resource = ResourceLocator.of(location).getByteSource(); List<Trade> trades = FpmlDocumentParser.of(FpmlPartySelector.matching("Party2")).parseTrades(resource); assertEquals(trades.size(), 1); CdsTrade cdsTrade = (CdsTrade) trades.get(0); assertEquals(cdsTrade.getInfo().getTradeDate(), Optional.of(date(2002, 12, 4))); Cds expected = Cds.builder() .buySell(BUY) .legalEntityId(StandardId.of("http://www.fpml.org/spec/2003/entity-id-RED-1-0", "004CC9")) .currency(JPY) .notional(500000000d) .paymentSchedule(PeriodicSchedule.builder() .startDate(date(2002, 12, 5)) .endDate(date(2007, 12, 5)) .startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE) .endDateBusinessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO_USNY_JPTO)) .businessDayAdjustment(BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO_USNY_JPTO)) .firstRegularStartDate(date(2003, 3, 5)) .frequency(Frequency.P3M) .rollConvention(RollConventions.DAY_5) .build()) .fixedRate(0.007) .dayCount(ACT_360) .build(); assertEqualsBean(cdsTrade.getProduct(), expected); assertEquals(cdsTrade.getUpfrontFee().isPresent(), false); }
.build()) .build(); assertEqualsBean((Bean) floatLeg, expectedFloatLeg);
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), recLeg);
public void test_createProduct() { IborFutureOptionSecurity test = sut(); ReferenceData refData = ImmutableReferenceData.of(FUTURE_ID, FUTURE_SECURITY); assertEquals(test.createProduct(refData), OPTION); TradeInfo tradeInfo = TradeInfo.of(date(2016, 6, 30)); IborFutureOptionTrade expectedTrade = IborFutureOptionTrade.builder() .info(tradeInfo) .product(OPTION) .quantity(100) .price(123.50) .build(); assertEquals(test.createTrade(tradeInfo, 100, 123.50, refData), expectedTrade); PositionInfo positionInfo = PositionInfo.empty(); IborFutureOptionPosition expectedPosition1 = IborFutureOptionPosition.builder() .info(positionInfo) .product(OPTION) .longQuantity(100) .build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, refData), expectedPosition1); IborFutureOptionPosition expectedPosition2 = IborFutureOptionPosition.builder() .info(positionInfo) .product(OPTION) .longQuantity(100) .shortQuantity(50) .build(); assertEquals(test.createPosition(positionInfo, 100, 50, refData), expectedPosition2); }
public void test_createProduct() { IborFutureSecurity test = sut(); assertEquals(test.createProduct(ReferenceData.empty()), PRODUCT); TradeInfo tradeInfo = TradeInfo.of(date(2016, 6, 30)); IborFutureTrade expectedTrade = IborFutureTrade.builder() .info(tradeInfo) .product(PRODUCT) .quantity(100) .price(0.995) .build(); assertEquals(test.createTrade(tradeInfo, 100, 0.995, ReferenceData.empty()), expectedTrade); PositionInfo positionInfo = PositionInfo.empty(); IborFuturePosition expectedPosition1 = IborFuturePosition.builder() .info(positionInfo) .product(PRODUCT) .longQuantity(100) .build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, ReferenceData.empty()), expectedPosition1); IborFuturePosition expectedPosition2 = IborFuturePosition.builder() .info(positionInfo) .product(PRODUCT) .longQuantity(100) .shortQuantity(50) .build(); assertEquals(test.createPosition(positionInfo, 100, 50, ReferenceData.empty()), expectedPosition2); }
public void test_createProduct() { OvernightFutureSecurity test = sut(); assertEquals(test.createProduct(ReferenceData.empty()), PRODUCT); TradeInfo tradeInfo = TradeInfo.of(date(2016, 6, 30)); OvernightFutureTrade expectedTrade = OvernightFutureTrade.builder() .info(tradeInfo) .product(PRODUCT) .quantity(100) .price(0.995) .build(); assertEquals(test.createTrade(tradeInfo, 100, 0.995, ReferenceData.empty()), expectedTrade); PositionInfo positionInfo = PositionInfo.empty(); OvernightFuturePosition expectedPosition1 = OvernightFuturePosition.builder() .info(positionInfo) .product(PRODUCT) .longQuantity(100) .build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, ReferenceData.empty()), expectedPosition1); OvernightFuturePosition expectedPosition2 = OvernightFuturePosition.builder() .info(positionInfo) .product(PRODUCT) .longQuantity(100) .shortQuantity(50) .build(); assertEquals(test.createPosition(positionInfo, 100, 50, ReferenceData.empty()), expectedPosition2); }
public void test_createProduct() { DsfSecurity test = sut(); assertEquals(test.createProduct(ReferenceData.empty()), PRODUCT); TradeInfo tradeInfo = TradeInfo.of(PRODUCT.getLastTradeDate().minusDays(1)); DsfTrade expectedTrade = DsfTrade.builder() .info(tradeInfo) .product(PRODUCT) .quantity(100) .price(123.50) .build(); assertEquals(test.createTrade(tradeInfo, 100, 123.50, ReferenceData.empty()), expectedTrade); PositionInfo positionInfo = PositionInfo.empty(); DsfPosition expectedPosition1 = DsfPosition.builder() .info(positionInfo) .product(PRODUCT) .longQuantity(100) .build(); TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, ReferenceData.empty()), expectedPosition1); DsfPosition expectedPosition2 = DsfPosition.builder() .info(positionInfo) .product(PRODUCT) .longQuantity(100) .shortQuantity(50) .build(); assertEquals(test.createPosition(positionInfo, 100, 50, ReferenceData.empty()), expectedPosition2); }
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), payLeg); assertEqualsBean((Bean) swap.getLegs().get(1), recLeg);
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), payLeg); assertEqualsBean((Bean) swap.getLegs().get(1), recLeg);
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), recLeg); assertEqualsBean((Bean) swap.getLegs().get(1), payLeg);
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), payLeg); assertEqualsBean((Bean) swap.getLegs().get(1), recLeg);
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), payLeg); assertEqualsBean((Bean) swap.getLegs().get(1), recLeg);
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), payLeg); assertEqualsBean((Bean) swap.getLegs().get(1), recLeg);
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), payLeg); assertEqualsBean((Bean) swap.getLegs().get(1), recLeg);
.build()) .build(); assertEqualsBean((Bean) swap.getLegs().get(0), payLeg); assertEqualsBean((Bean) swap.getLegs().get(1), recLeg);