Examples of ConventionBundleMasterUtils

Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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  }

  public static void addCAPMConvention(final ConventionBundleMaster conventionMaster) {
    Validate.notNull(conventionMaster, "convention master");
    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_CAPM")), "USD_CAPM",
        ExternalIdBundle.of(syntheticSecurityId("USDLIBORP3M")), ExternalIdBundle.of(syntheticSecurityId("SPX")));
  }
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Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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   * Adds conventions for US Treasury bonds,
   * @param conventionMaster The convention master, not null
   */
  public static void addTreasuryBondConvention(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("US_TREASURY_BOND_CONVENTION")), "US_TREASURY_BOND_CONVENTION", true, true, 0, 1,
        true);
  }
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Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);

    //TODO holiday associated with EUR swaps is TARGET
    final ExternalId eu = ExternalSchemes.financialRegionId("EU");
    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
    //EURO LIBOR
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURLIBORP3M"), simpleNameSecurityId("EUR LIBOR 3m")), "EUR LIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURLIBORP6M"), simpleNameSecurityId("EUR LIBOR 6m")), "EUR LIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURLIBORP12M")), "EUR LIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EUREURIBORP7D"), simpleNameSecurityId("EURIBOR 7d")), "EURIBOR 7d", act360, modified, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EUREURIBORP14D"), simpleNameSecurityId("EURIBOR 14d")), "EURIBOR 14d", act360, modified, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EUREURIBORP1M"), simpleNameSecurityId("EURIBOR 1m")), "EURIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EUREURIBORP2M"), simpleNameSecurityId("EURIBOR 2m")), "EURIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EUREURIBORP3M"), simpleNameSecurityId("EURIBOR 3m")), "EURIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EUREURIBORP6M"), simpleNameSecurityId("EURIBOR 6m")), "EURIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EUREURIBORP12M"), simpleNameSecurityId("EURIBOR 12m")), "EURIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP1D")),
        "EURCASHP1D", act360, following, Period.ofDays(1), 0, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP2D")),
        "EURCASHP2D", act360, following, Period.ofDays(2), 0, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP1M")),
        "EURCASHP1M", act360, modified, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP2M")),
        "EURCASHP2M", act360, modified, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP3M")),
        "EURCASHP3M", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP4M")),
        "EURCASHP4M", act360, modified, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP5M")),
        "EURCASHP5M", act360, modified, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP6M")),
        "EURCASHP6M", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP7M")),
        "EURCASHP7M", act360, modified, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP8M")),
        "EURCASHP8M", act360, modified, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP9M")),
        "EURCASHP9M", act360, modified, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP10M")),
        "EURCASHP10M", act360, modified, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP11M")),
        "EURCASHP11M", act360, modified, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EURCASHP12M")),
        "EURCASHP12M", act360, modified, Period.ofMonths(12), 2, false, eu);

    final DayCount swapFixedDayCount = thirty360;
    final BusinessDayConvention swapFixedBusinessDay = modified;
    final Frequency swapFixedPaymentFrequency = annual;
    final DayCount euriborDayCount = act360;

    // IRS
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_SWAP")), "EUR_SWAP", swapFixedDayCount, swapFixedBusinessDay,
        swapFixedPaymentFrequency, 2, eu, euriborDayCount, modified, semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"), eu, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_3M_SWAP")), "EUR_3M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
        swapFixedPaymentFrequency, 2, eu, act360, modified, quarterly, 2, simpleNameSecurityId("EURIBOR 3m"), eu, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_6M_SWAP")), "EUR_6M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
        swapFixedPaymentFrequency, 2, eu, act360, modified, semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"), eu, true);

    // IR FUTURES
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_IR_FUTURE")), "EUR_IR_FUTURE", euriborDayCount, modified, Period.ofMonths(3),
        2, true, null);

    final int publicationLagON = 0;
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EONIA"), simpleNameSecurityId("EUR EONIA")), "EUR EONIA", act360, modified, Period.ofDays(1), 0, false, eu, publicationLagON);
    // OIS - EONIA
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_OIS_SWAP")), "EUR_OIS_SWAP", act360, modified, annual, 2, eu, act360, modified,
        annual, 2, simpleNameSecurityId("EUR EONIA"), eu, true, publicationLagON);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_3M_FRA")), "EUR_3M_FRA", thirty360, modified, quarterly, 2, eu, act360,
        modified, quarterly, 2, simpleNameSecurityId("EURIBOR 3m"), eu, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_6M_FRA")), "EUR_6M_FRA", thirty360, modified, annual, 2, eu, act360, modified,
        semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"), eu, true);

  }
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Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final ExternalId nz = ExternalSchemes.financialRegionId("NZ");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDLIBORP3M"), simpleNameSecurityId("NZD LIBOR 3m")), "NZD LIBOR 3m", act365, following, Period.ofMonths(3), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDLIBORP6M")), "NZD LIBOR 6m", act365, following, Period.ofMonths(6), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDLIBORP12M")), "NZD LIBOR 12m", act365, following, Period.ofMonths(12), 2, false, nz);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP1D")), "NZDCASHP1D", act365, following, Period.ofDays(1), 0, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP1M")), "NZDCASHP1M", act365, modified, Period.ofMonths(1), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP2M")), "NZDCASHP2M", act365, modified, Period.ofMonths(2), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP3M")), "NZDCASHP3M", act365, modified, Period.ofMonths(3), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP4M")), "NZDCASHP4M", act365, modified, Period.ofMonths(4), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP5M")), "NZDCASHP5M", act365, modified, Period.ofMonths(5), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP6M")), "NZDCASHP6M", act365, modified, Period.ofMonths(6), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP7M")), "NZDCASHP7M", act365, modified, Period.ofMonths(7), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP8M")), "NZDCASHP8M", act365, modified, Period.ofMonths(8), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP9M")), "NZDCASHP9M", act365, modified, Period.ofMonths(9), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP10M")), "NZDCASHP10M", act365, modified, Period.ofMonths(10), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP11M")), "NZDCASHP11M", act365, modified, Period.ofMonths(1), 2, false, nz);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("NZDCASHP12M")), "NZDCASHP12M", act365, modified, Period.ofMonths(12), 2, false, nz);
   
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("NZD_SWAP")), "NZD_SWAP", act365, modified, semiAnnual, 2, nz, act365,
        modified, quarterly, 2, simpleNameSecurityId("NZD LIBOR 3m"), nz, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("NZD_3M_SWAP")), "NZD_3M_SWAP", act365, modified, semiAnnual, 2, nz,
        act365, modified, quarterly, 2, simpleNameSecurityId("NZD LIBOR 3m"), nz, true);
  }
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Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final ExternalId ca = ExternalSchemes.financialRegionId("CA");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
   
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CADLIBORP3M"), simpleNameSecurityId("CDOR 3m")), "CAD LIBOR 3m", act360, following, Period.ofMonths(3), 2, false, ca);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CADLIBORP6M")), "CAD LIBOR 6m", act360, following, Period.ofMonths(6), 2, false, ca);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CADLIBORP12M")), "CAD LIBOR 12m", act360, following, Period.ofMonths(12), 2, false, ca);
   
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("CAD_SWAP")), "CAD_SWAP", act365, modified, semiAnnual, 0, ca, act365, modified,
        quarterly, 0, simpleNameSecurityId("CDOR 3m"), ca, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("CAD_1Y_SWAP")), "CAD_1Y_SWAP", act365, modified, annual, 0, ca, act365, modified,
        quarterly, 0, simpleNameSecurityId("CDOR 3m"), ca, true);
  }
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Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);

    final ExternalId gb = ExternalSchemes.financialRegionId("GB");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPLIBORP7D")), "GBP LIBOR 7d", act365, modified, Period.ofDays(7), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPLIBORP14D")), "GBP LIBOR 14d", act365, modified, Period.ofDays(14), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPLIBORP1M")), "GBP LIBOR 1m", act365, modified, Period.ofMonths(1), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPLIBORP2M")), "GBP LIBOR 2m", act365, modified, Period.ofMonths(2), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPLIBORP3M")), "GBP LIBOR 3m", act365, modified, Period.ofMonths(3), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPLIBORP6M"), simpleNameSecurityId("GBP LIBOR 6m")), "GBP LIBOR 6m", act365, modified, Period.ofMonths(6), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPLIBORP12M")), "GBP LIBOR 12m", act365, modified, Period.ofMonths(12), 0, false, gb);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP1D")), "GBPCASHP1D", act365, following, Period.ofDays(1), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP2D")), "GBPCASHP2D", act365, following, Period.ofDays(2), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP1M")), "GBPCASHP1M", act365, modified, Period.ofMonths(1), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP2M")), "GBPCASHP2M", act365, modified, Period.ofMonths(2), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP3M")), "GBPCASHP3M", act365, modified, Period.ofMonths(3), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP4M")), "GBPCASHP4M", act365, modified, Period.ofMonths(4), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP5M")), "GBPCASHP5M", act365, modified, Period.ofMonths(5), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP6M")), "GBPCASHP6M", act365, modified, Period.ofMonths(6), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP7M")), "GBPCASHP7M", act365, modified, Period.ofMonths(7), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP8M")), "GBPCASHP8M", act365, modified, Period.ofMonths(8), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP9M")), "GBPCASHP9M", act365, modified, Period.ofMonths(9), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP10M")), "GBPCASHP10M", act365, modified, Period.ofMonths(10), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP11M")), "GBPCASHP11M", act365, modified, Period.ofMonths(11), 0, false, gb);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("GBPCASHP12M")), "GBPCASHP12M", act365, modified, Period.ofMonths(12), 0, false, gb);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("GBP_SWAP")), "GBP_SWAP", act365, modified, semiAnnual, 0, gb, act365,
        modified, semiAnnual, 0, simpleNameSecurityId("GBP LIBOR 6m"), gb, true);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("GBP_3M_SWAP")), "GBP_3M_SWAP", act365, modified, annual, 0, gb, act365,
        modified, quarterly, 0, simpleNameSecurityId("GBP LIBOR 3m"), gb, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("GBP_6M_SWAP")), "GBP_6M_SWAP", act365, modified, semiAnnual, 0, gb,
        act365, modified, semiAnnual, 0, simpleNameSecurityId("GBP LIBOR 6m"), gb, true);

    final Integer publicationLagON = 0;
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("SONIO"), simpleNameSecurityId("GBP SONIO/N")), "GBP SONIO/N", act365,
        following, Period.ofDays(1), 0, false, gb, publicationLagON);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("GBP_OIS_SWAP")), "GBP_OIS_SWAP", act365, modified, annual, 2, gb,
        act365, modified, annual, 2, simpleNameSecurityId("GBP SONIO/N"), gb, true, publicationLagON);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("GBP_3M_FRA")), "GBP_3M_FRA", act365, modified, annual, 0, gb, act365,
        modified, quarterly, 0, simpleNameSecurityId("GBP LIBOR 3m"), gb, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("GBP_6M_FRA")), "GBP_6M_FRA", act365, modified, semiAnnual, 0, gb,
        act365, modified, semiAnnual, 0, simpleNameSecurityId("GBP LIBOR 6m"), gb, true);

  }
View Full Code Here

Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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    //TODO holiday associated with AUD swaps is Sydney
    final ExternalId au = ExternalSchemes.financialRegionId("AU");
    final Integer overnightPublicationLag = 0;

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP1D")), "AUDCASHP1D", act365, following, Period.ofDays(1), 0, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP1M")), "AUDCASHP1M", act365, modified, Period.ofMonths(1), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP2M")), "AUDCASHP2M", act365, modified, Period.ofMonths(2), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP3M")), "AUDCASHP3M", act365, modified, Period.ofMonths(3), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP4M")), "AUDCASHP4M", act365, modified, Period.ofMonths(4), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP5M")), "AUDCASHP5M", act365, modified, Period.ofMonths(5), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP6M")), "AUDCASHP6M", act365, modified, Period.ofMonths(6), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP7M")), "AUDCASHP7M", act365, modified, Period.ofMonths(7), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP8M")), "AUDCASHP8M", act365, modified, Period.ofMonths(8), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP9M")), "AUDCASHP9M", act365, modified, Period.ofMonths(9), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP10M")), "AUDCASHP10M", act365, modified, Period.ofMonths(10), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP11M")), "AUDCASHP11M", act365, modified, Period.ofMonths(1), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP12M")), "AUDCASHP12M", act365, modified, Period.ofMonths(12), 2, false, au);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDLIBORP3M"), simpleNameSecurityId("AUD LIBOR 3m")), "AUD LIBOR 3m", act365, following, Period.ofMonths(3), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDLIBORP6M"), simpleNameSecurityId("AUD LIBOR 6m")), "AUD LIBOR 6m", act365, following, Period.ofMonths(6), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDLIBORP12M"), simpleNameSecurityId("AUD LIBOR 12m")), "AUD LIBOR 12m", act365, following, Period.ofMonths(12), 2, false, au);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDON"), simpleNameSecurityId("RBA OVERNIGHT CASH RATE")),
        "RBA OVERNIGHT CASH RATE", act365, following, Period.ofDays(1), 0, false, au, overnightPublicationLag);

    final DayCount swapFixedDayCount = act365;
    final BusinessDayConvention swapFixedBusinessDay = modified;

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("AUD_SWAP")), "AUD_SWAP", act365, modified, semiAnnual, 0, au, act365,
        modified, semiAnnual, 0, simpleNameSecurityId(IndexType.BBSW + "_AUD_P6M"), au, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("AUD_3M_SWAP")), "AUD_3M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
        quarterly, 0, au, act365, modified, quarterly, 0, simpleNameSecurityId(IndexType.BBSW + "_AUD_P3M"), au, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("AUD_6M_SWAP")), "AUD_6M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
        semiAnnual, 0, au, act365, modified, semiAnnual, 0, simpleNameSecurityId(IndexType.BBSW + "_AUD_P6M"), au, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("AUD_OIS_SWAP")), "AUD_OIS_SWAP", act365, modified, annual, 0, au, act365,
        modified, annual, 0, simpleNameSecurityId("RBA OVERNIGHT CASH RATE"), au, true, overnightPublicationLag);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDBBP3M"), simpleNameSecurityId(IndexType.BBSW  + "_AUD_P3M")),
        "AUD Bank Bill 3m", act365, modified, Period.ofMonths(3), 0, true, au); // "AUD Bank Bill 3m"
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDBBP6M"), simpleNameSecurityId(IndexType.BBSW + "_AUD_P6M")),
        "AUD Bank Bill 6m", act365, modified, Period.ofMonths(6), 0, true, au); // "AUD Bank Bill 6m"
  }
View Full Code Here

Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);

    final ExternalId dk = ExternalSchemes.financialRegionId("DK");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
   
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKLIBORP3M"), simpleNameSecurityId("DKK CIBOR 3m")), "DKK CIBOR 3m", act360, following, Period.ofMonths(3), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKLIBORP6M"), simpleNameSecurityId("DKK CIBOR 6m")), "DKK CIBOR 6m", act360, following, Period.ofMonths(6), 2, false, dk);
   
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP1D")), "DKKCASHP1D", act360, following, Period.ofDays(1), 0, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP1M")), "DKKCASHP1M", act360, modified, Period.ofMonths(1), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP2M")), "DKKCASHP2M", act360, modified, Period.ofMonths(2), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP3M")), "DKKCASHP3M", act360, modified, Period.ofMonths(3), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP4M")), "DKKCASHP4M", act360, modified, Period.ofMonths(4), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP5M")), "DKKCASHP5M", act360, modified, Period.ofMonths(5), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP6M")), "DKKCASHP6M", act360, modified, Period.ofMonths(6), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP7M")), "DKKCASHP7M", act360, modified, Period.ofMonths(7), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP8M")), "DKKCASHP8M", act360, modified, Period.ofMonths(8), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP9M")), "DKKCASHP9M", act360, modified, Period.ofMonths(9), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP10M")), "DKKCASHP10M", act360, modified, Period.ofMonths(10), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP11M")), "DKKCASHP11M", act360, modified, Period.ofMonths(11), 2, false, dk);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP12M")), "DKKCASHP12M", act360, modified, Period.ofMonths(12), 2, false, dk);
   
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("DKK_SWAP")), "DKK_SWAP", thirty360, modified, annual, 1, dk, act360,
        modified, semiAnnual, 1, simpleNameSecurityId("DKK CIBOR 6m"), dk, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("DKK_3M_SWAP")), "DKK_3M_SWAP", thirty360, modified, annual, 2, dk,
        act360, modified, quarterly, 2, simpleNameSecurityId("DKK CIBOR 3m"), dk, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("DKK_6M_SWAP")), "DKK_6M_SWAP", thirty360, modified, annual, 2, dk,
        act360, modified, semiAnnual, 2, simpleNameSecurityId("DKK CIBOR 6m"), dk, true);
  }
View Full Code Here

Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final ExternalId ch = ExternalSchemes.financialRegionId("CH");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFLIBORP7D"), simpleNameSecurityId("CHF LIBOR 7d")), "CHF LIBOR 7d",
        act360, following, Period.ofDays(7), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFLIBORP14D"), simpleNameSecurityId("CHF LIBOR 14d")), "CHF LIBOR 14d",
        act360, following, Period.ofDays(14), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFLIBORP1M"), simpleNameSecurityId("CHF LIBOR 1m")), "CHF LIBOR 1m",
        act360, following, Period.ofMonths(1), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFLIBORP2M"), simpleNameSecurityId("CHF LIBOR 2m")), "CHF LIBOR 2m",
        act360, following, Period.ofMonths(2), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFLIBORP3M"), simpleNameSecurityId("CHF LIBOR 3m")), "CHF LIBOR 3m",
        act360, following, Period.ofMonths(3), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFLIBORP6M"), simpleNameSecurityId("CHF LIBOR 6m")), "CHF LIBOR 6m",
        act360, following, Period.ofMonths(6), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFLIBORP12M"), simpleNameSecurityId("CHF LIBOR 12m")), "CHF LIBOR 6m",
        act360, following, Period.ofMonths(12), 2, false, ch);

    //Identifiers for external data
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP1D")), "CHFCASHP1D", act360, following, Period.ofDays(1), 0, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP2D")), "CHFCASHP2D", act360, following, Period.ofDays(2), 0, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP1M")), "CHFCASHP1M", act360, modified, Period.ofMonths(1), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP2M")), "CHFCASHP2M", act360, modified, Period.ofMonths(2), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP3M")), "CHFCASHP3M", act360, modified, Period.ofMonths(3), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP4M")), "CHFCASHP4M", act360, modified, Period.ofMonths(4), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP5M")), "CHFCASHP5M", act360, modified, Period.ofMonths(5), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP6M")), "CHFCASHP6M", act360, modified, Period.ofMonths(6), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP7M")), "CHFCASHP7M", act360, modified, Period.ofMonths(7), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP8M")), "CHFCASHP8M", act360, modified, Period.ofMonths(8), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP9M")), "CHFCASHP9M", act360, modified, Period.ofMonths(9), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP10M")), "CHFCASHP10M", act360, modified, Period.ofMonths(10), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP11M")), "CHFCASHP11M", act360, modified, Period.ofMonths(11), 2, false, ch);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("CHFCASHP12M")), "CHFCASHP12M", act360, modified, Period.ofMonths(12), 2, false, ch);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("CHF_SWAP")), "CHF_SWAP", thirty360, modified, annual, 2, ch, act360,
        modified, semiAnnual, 2, simpleNameSecurityId("CHF LIBOR 6m"), ch, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("CHF_3M_SWAP")), "CHF_3M_SWAP", thirty360, modified, annual, 2, ch,
        act360, modified, quarterly, 2, simpleNameSecurityId("CHF LIBOR 3m"), ch, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("CHF_6M_SWAP")), "CHF_6M_SWAP", thirty360, modified, annual, 2, ch,
        act360, modified, semiAnnual, 2, simpleNameSecurityId("CHF LIBOR 6m"), ch, true);

    final Integer publicationLagON = 0;
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("TOISTOIS"), simpleNameSecurityId("CHF TOISTOIS")), "CHF TOISTOIS", act360,
        following, Period.ofDays(1), 2, false, ch, publicationLagON);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("CHF_OIS_SWAP")), "CHF_OIS_SWAP", act360, modified, annual, 2, ch,
        act360, modified, annual, 2, simpleNameSecurityId("CHF TOISTOIS"), ch, true, publicationLagON);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("CHF_3M_FRA")), "CHF_3M_FRA", thirty360, modified, annual, 2, ch, act360,
        modified, quarterly, 2, simpleNameSecurityId("CHF LIBOR 3m"), ch, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("CHF_6M_FRA")), "CHF_6M_FRA", thirty360, modified, annual, 2, ch, act360,
        modified, semiAnnual, 2, simpleNameSecurityId("CHF LIBOR 6m"), ch, true);

  }
View Full Code Here

Examples of com.opengamma.financial.convention.ConventionBundleMasterUtils

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    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final ExternalId jp = ExternalSchemes.financialRegionId("JP");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP7D"), simpleNameSecurityId("JPY LIBOR 1w")), "JPY LIBOR 1w", act360, following, Period.ofDays(7), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP14D"), simpleNameSecurityId("JPY LIBOR 2w")), "JPY LIBOR 2w", act360, following, Period.ofDays(14), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP1M"), simpleNameSecurityId("JPY LIBOR 1m")), "JPY LIBOR 1m", act360, following, Period.ofMonths(1), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP2M"), simpleNameSecurityId("JPY LIBOR 2m")), "JPY LIBOR 2m", act360, following, Period.ofMonths(2), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP3M"), simpleNameSecurityId("JPY LIBOR 3m")), "JPY LIBOR 3m", act360, following, Period.ofMonths(3), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP6M"), simpleNameSecurityId("JPY LIBOR 6m")), "JPY LIBOR 6m", act360, following, Period.ofMonths(6), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP12M")), "JPY LIBOR 12m", act360, following, Period.ofMonths(12), 2, false, jp);

    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP1D")),
        "JPYCASHP1D", act360, following, Period.ofDays(1), 0, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP2D")),
        "JPYCASHP2D", act360, following, Period.ofDays(2), 0, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP1M")),
        "JPYCASHP1M", act360, modified, Period.ofMonths(1), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP2M")),
        "JPYCASHP2M", act360, modified, Period.ofMonths(2), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP3M")),
        "JPYCASHP3M", act360, modified, Period.ofMonths(3), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP4M")),
        "JPYCASHP4M", act360, modified, Period.ofMonths(4), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP5M")),
        "JPYCASHP5M", act360, modified, Period.ofMonths(5), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP6M")),
        "JPYCASHP6M", act360, modified, Period.ofMonths(6), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP7M")),
        "JPYCASHP7M", act360, modified, Period.ofMonths(7), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP8M")),
        "JPYCASHP8M", act360, modified, Period.ofMonths(8), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP9M")),
        "JPYCASHP9M", act360, modified, Period.ofMonths(9), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP10M")),
        "JPYCASHP10M", act360, modified, Period.ofMonths(10), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP11M")),
        "JPYCASHP11M", act360, modified, Period.ofMonths(11), 2, false, jp);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP12M")),
        "JPYCASHP12M", act360, modified, Period.ofMonths(12), 2, false, jp);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_SWAP")), "JPY_SWAP", act365, modified, semiAnnual, 2, jp, act360,
        modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"), jp, true);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_3M_SWAP")), "JPY_3M_SWAP", act365, modified, semiAnnual, 2, jp,
        act360, modified, quarterly, 2, simpleNameSecurityId("JPY LIBOR 3m"), jp, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_6M_SWAP")), "JPY_6M_SWAP", act365, modified, semiAnnual, 2, jp,
        act360, modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"), jp, true);

    final Integer publicationLag = 0;
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("TONAR"), simpleNameSecurityId("JPY TONAR")),
        "JPY TONAR", act365, following, Period.ofDays(1), 2, false, jp, publicationLag);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_OIS_SWAP")), "JPY_OIS_SWAP", act365, modified, annual, 2, jp,
        act365, modified, annual, 2, simpleNameSecurityId("JPY TONAR"), jp, true, publicationLag);

    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_3M_FRA")), "JPY_3M_FRA", act365, modified, semiAnnual, 2, jp,
        act360, modified, quarterly, 2, simpleNameSecurityId("JPY LIBOR 3m"), jp, true);
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_6M_FRA")), "JPY_6M_FRA", act365, modified, semiAnnual, 2, jp,
        act360, modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"), jp, true);
  }
View Full Code Here
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