Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.Convention

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    return tenor;
  }

  private IndexSwap getSwapIndex(final SwapConvention swapConvention, final IborIndex iborIndex) {
    SwapFixedLegConvention fixedConvention;
    final Convention payLegConvention = _conventionSource.getConvention(swapConvention.getPayLegConvention());
    final Convention receiveLegConvention = _conventionSource.getConvention(swapConvention.getReceiveLegConvention());
    if (payLegConvention instanceof SwapFixedLegConvention) {
      fixedConvention = (SwapFixedLegConvention) payLegConvention;
    } else if (receiveLegConvention instanceof SwapFixedLegConvention) {
      fixedConvention = (SwapFixedLegConvention) receiveLegConvention;
    } else {
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    final String fixedSwapLegConventionName = getConventionName(ZAR, IRS_FIXED_LEG);
    final String vanillaIborLegConventionName = getConventionName(ZAR, IRS_IBOR_LEG);
    final String tenorString = "3m";
    final String libor3mConventionName = getConventionName(ZAR, tenorString, JIBOR);
    final ExternalId libor3mConventionId = InMemoryConventionBundleMaster.simpleNameSecurityId(libor3mConventionName);
    final Convention fixedLegConvention = new SwapFixedLegConvention(fixedSwapLegConventionName, getIds(ZAR, IRS_FIXED_LEG),
        Tenor.THREE_MONTHS, ACT_365, FOLLOWING, ZAR, ZA, 2, false, StubType.NONE, false, 2);
    final Convention vanillaIborLegConvention = new VanillaIborLegConvention(vanillaIborLegConventionName, getIds(ZAR, tenorString, IRS_IBOR_LEG),
        libor3mConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, false, StubType.NONE, false, 2);
    conventionMaster.add(fixedLegConvention);
    conventionMaster.add(vanillaIborLegConvention);
    addDepositConventions(conventionMaster);
    addLiborConventions(conventionMaster);
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    conventionMaster.add(depositConvention);
  }

  private static void addLiborConventions(final InMemoryConventionMaster conventionMaster) {
    final String liborConventionName = getConventionName(ZAR, JIBOR);
    final Convention liborConvention = new IborIndexConvention(liborConventionName, getIds(ZAR, JIBOR), ACT_365, FOLLOWING, 2, false, ZAR,
        LocalTime.of(11, 00), "ZA", ZA, ZA, "");
    conventionMaster.add(liborConvention);
  }
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  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionMaster conventionMaster) {
    // Index (Overnight and Ibor-like)
    final String onIndexName = getConventionName(Currency.EUR, OVERNIGHT);
    final ExternalId onIndexId = ExternalId.of(SCHEME_NAME, onIndexName);
    final Convention onIndex = new OvernightIndexConvention(onIndexName, getIds(Currency.EUR, OVERNIGHT), ACT_360, 0, Currency.EUR, EU);
    final String liborConventionName = getConventionName(Currency.EUR, LIBOR);
    final Convention liborIndex = new IborIndexConvention(liborConventionName, getIds(Currency.EUR, LIBOR), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.EUR,
        LocalTime.of(11, 00), "EU", EU, EU, "");
    final ExternalId liborConventionId = ExternalId.of(SCHEME_NAME, liborConventionName);
    final String euriborConventionName = getConventionName(Currency.EUR, EURIBOR);
    final Convention euriborIndex = new IborIndexConvention(euriborConventionName, getIds(Currency.EUR, EURIBOR), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.EUR,
        LocalTime.of(11, 00), "EU", EU, EU, "");
    final ExternalId euriborConventionId = ExternalId.of(SCHEME_NAME, euriborConventionName);
    // Deposit
    final String depositONConventionName = getConventionName(Currency.EUR, DEPOSIT_ON);
    final DepositConvention depositONConvention = new DepositConvention(depositONConventionName, getIds(Currency.EUR, DEPOSIT_ON), ACT_360, FOLLOWING, 0, false, Currency.EUR, EU);
    final String depositConventionName = getConventionName(Currency.EUR, DEPOSIT);
    final DepositConvention depositConvention = new DepositConvention(depositConventionName, getIds(Currency.EUR, DEPOSIT), ACT_360, FOLLOWING, 2, false, Currency.EUR, EU);
    // Fixed legs
    final String oisFixedLegConventionName = getConventionName(Currency.EUR, TENOR_STR_1Y, PAY_LAG + FIXED_LEG);
    final Convention oisFixedLegConvention = new SwapFixedLegConvention(oisFixedLegConventionName, getIds(Currency.EUR, TENOR_STR_1Y, PAY_LAG + FIXED_LEG),
        Tenor.ONE_YEAR, ACT_360, MODIFIED_FOLLOWING, Currency.EUR, EU, 2, true, StubType.SHORT_START, false, 2);
    final String irsFixedLegConventionName = getConventionName(Currency.EUR, TENOR_STR_1Y, FIXED_LEG);
    final Convention irsFixedLegConvention = new SwapFixedLegConvention(irsFixedLegConventionName, getIds(Currency.EUR, TENOR_STR_1Y, FIXED_LEG),
        Tenor.ONE_YEAR, THIRTY_U_360, MODIFIED_FOLLOWING, Currency.EUR, EU, 2, true, StubType.SHORT_START, false, 0);
    // OIS legs
    final String oisFloatLegConventionName = getConventionName(Currency.EUR, OIS_ON_LEG);
    final Convention oisFloatLegConvention = new OISLegConvention(oisFloatLegConventionName, getIds(Currency.EUR, OIS_ON_LEG), onIndexId,
        Tenor.ONE_YEAR, MODIFIED_FOLLOWING, 2, true, StubType.SHORT_START, false, 2);
    // Ibor legs
    final String irsLibor6MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_6M, IBOR_LEG);
    final Convention irsLibor6MLegConvention = new VanillaIborLegConvention(irsLibor6MLegConventionName, getIds(Currency.EUR, TENOR_STR_6M, IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.NONE, false, 0);
   
    final String irsEuribor12MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_12M, EURIBOR_LEG);
    final Convention irsEuribor12MLegConvention = new VanillaIborLegConvention(irsEuribor12MLegConventionName, getIds(Currency.EUR, TENOR_STR_12M, EURIBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.TWELVE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsEuribor6MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_6M, EURIBOR_LEG);
    final Convention irsEuribor6MLegConvention = new VanillaIborLegConvention(irsEuribor6MLegConventionName, getIds(Currency.EUR, TENOR_STR_6M, EURIBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsEuribor3MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_3M, EURIBOR_LEG);
    final Convention irsEuribor3MLegConvention = new VanillaIborLegConvention(irsEuribor3MLegConventionName, getIds(Currency.EUR, TENOR_STR_3M, EURIBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsEuribor1MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_1M, EURIBOR_LEG);
    final Convention irsEuribor1MLegConvention = new VanillaIborLegConvention(irsEuribor1MLegConventionName, getIds(Currency.EUR, TENOR_STR_1M, EURIBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.ONE_MONTH, 2, true, StubType.SHORT_START, false, 0);
   
    // Note: Temporally used to retrieve underlying index convention.
    final String irsibor12MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_12M, IRS_IBOR_LEG);
    final Convention irsIbor12MLegConvention = new VanillaIborLegConvention(irsibor12MLegConventionName, getIds(Currency.EUR, TENOR_STR_12M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.TWELVE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsibor6MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_6M, IRS_IBOR_LEG);
    final Convention irsIbor6MLegConvention = new VanillaIborLegConvention(irsibor6MLegConventionName, getIds(Currency.EUR, TENOR_STR_6M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsibor3MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_3M, IRS_IBOR_LEG);
    final Convention irsIbor3MLegConvention = new VanillaIborLegConvention(irsibor3MLegConventionName, getIds(Currency.EUR, TENOR_STR_3M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
   
    final String irsibor1MLegConventionName = getConventionName(Currency.EUR, TENOR_STR_1M, IRS_IBOR_LEG);
    final Convention irsIbor1MLegConvention = new VanillaIborLegConvention(irsibor1MLegConventionName, getIds(Currency.EUR, TENOR_STR_1M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.ONE_MONTH, 2, true, StubType.SHORT_START, false, 0);
   
    // Futures
    final String quarterlySTIRFutureConventionName = getConventionName(Currency.EUR, STIR_FUTURES + QUARTERLY);   
    final Convention quarterlySTIRFutureConvention = new InterestRateFutureConvention(quarterlySTIRFutureConventionName,
        ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, quarterlySTIRFutureConventionName)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionQuarterlyExpiryCalculator.NAME), EU, euriborConventionId);
    final String serialFutureConventionName = getConventionName(Currency.EUR, STIR_FUTURES + SERIAL);
    final Convention serialSTIRFutureConvention = new InterestRateFutureConvention(serialFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, serialFutureConventionName)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionMonthlyExpiryCalculator.NAME), EU, liborConventionId);
   
    // Forex
    final String fxSpotEURUSDName = FX_SPOT + " EUR/USD";
    final FXSpotConvention fxSpotEURUSD = new FXSpotConvention(fxSpotEURUSDName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, fxSpotEURUSDName)), 2, USEU);
    final String fxFwdEURUSDName = FX_FORWARD + " EUR/USD";
    final FXForwardAndSwapConvention fxForwardEURUSD = new FXForwardAndSwapConvention(fxFwdEURUSDName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, fxFwdEURUSDName)),
        ExternalId.of(SCHEME_NAME, fxSpotEURUSDName), FOLLOWING, false, USEU);
   
    // X-Ccy OIS
    final Convention oisXCcyUSDLegConvention = new OISLegConvention(OIS_USD_EUR_ON_LEG, getIds(OIS_USD_EUR_ON_LEG), onIndexId,
        Tenor.THREE_MONTHS, MODIFIED_FOLLOWING, 2, true, StubType.NONE, false, 2);
   
    conventionMaster.add(oisXCcyUSDLegConvention);
   
    // Convention add
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  private static final ExternalId CH = ExternalSchemes.financialRegionId("CH");
  private static final ExternalId CHGB = ExternalSchemes.financialRegionId("CH+GB");

  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionMaster conventionMaster) {
    final String liborConventionName = getConventionName(Currency.CHF, LIBOR);
    final Convention liborIndex = new IborIndexConvention(liborConventionName, getIds(Currency.CHF, LIBOR), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.CHF,
        LocalTime.of(11, 00), "CH", CHGB, CH, "");
   
    // Convention add
    conventionMaster.add(liborIndex);
  }
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  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionMaster conventionMaster) {
    final String tenorString = "6M";
    // Index (Overnight and Ibor-like)
    final String onIndexName = getConventionName(Currency.JPY, OVERNIGHT);
    final ExternalId onIndexId = ExternalId.of(SCHEME_NAME, onIndexName);
    final Convention onIndex = new OvernightIndexConvention(onIndexName, getIds(Currency.JPY, OVERNIGHT), ACT_365, 1, Currency.JPY, JP);
    final String iborConventionName = getConventionName(Currency.JPY, LIBOR);
    final Convention liborIndex = new IborIndexConvention(iborConventionName, getIds(Currency.JPY, LIBOR), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.JPY,
        LocalTime.of(11, 00), "JP", JPGB, JP, "");
    final ExternalId liborConventionId = ExternalId.of(SCHEME_NAME, iborConventionName);
    final Convention tiborJPIndex = new IborIndexConvention(getConventionName(Currency.JPY, TIBOR_JAPANESE), getIds(Currency.JPY, TIBOR_JAPANESE), ACT_365, MODIFIED_FOLLOWING, 2, true, Currency.JPY,
        LocalTime.of(11, 00), "JP", JP, JP, "");
    final Convention tiborEuIndex = new IborIndexConvention(getConventionName(Currency.JPY, TIBOR_EUROYEN), getIds(Currency.JPY, TIBOR_EUROYEN), ACT_360, MODIFIED_FOLLOWING, 2, true, Currency.JPY,
        LocalTime.of(11, 00), "JP", JP, JP, "");
    // Deposit
    final String depositONConventionName = getConventionName(Currency.JPY, DEPOSIT_ON);
    final DepositConvention depositONConvention = new DepositConvention(depositONConventionName, getIds(Currency.JPY, DEPOSIT_ON), ACT_365, FOLLOWING, 0, false, Currency.JPY, JP);
    final String depositConventionName = getConventionName(Currency.JPY, DEPOSIT);
    final DepositConvention depositConvention = new DepositConvention(depositConventionName, getIds(Currency.JPY, DEPOSIT), ACT_365, FOLLOWING, 2, false, Currency.JPY, JP);
    // OIS legs
    final String oisFixedLegConventionName = getConventionName(Currency.JPY, OIS_FIXED_LEG);
    final String oisFloatLegConventionName = getConventionName(Currency.JPY, OIS_ON_LEG);
    final Convention oisFixedLegConvention = new SwapFixedLegConvention(oisFixedLegConventionName, getIds(Currency.JPY, OIS_FIXED_LEG),
        Tenor.ONE_YEAR, ACT_365, MODIFIED_FOLLOWING, Currency.JPY, JP, 2, true, StubType.SHORT_START, false, 2);
    final Convention oisFloatLegConvention = new OISLegConvention(oisFloatLegConventionName, getIds(Currency.JPY, OIS_ON_LEG), onIndexId,
        Tenor.ONE_YEAR, MODIFIED_FOLLOWING, 2, true, StubType.NONE, false, 2);
    // Ibor swap legs
    final String irsFixedLegConventionName = getConventionName(Currency.JPY, IRS_FIXED_LEG);
    final String irsIborLegConventionName = getConventionName(Currency.JPY, tenorString, IRS_IBOR_LEG);
    final Convention irsFixedLegConvention = new SwapFixedLegConvention(irsFixedLegConventionName, getIds(Currency.JPY, IRS_FIXED_LEG),
        Tenor.SIX_MONTHS, ACT_365, MODIFIED_FOLLOWING, Currency.JPY, JP, 2, true, StubType.SHORT_START, false, 2);
    final Convention irsIborLegConvention = new VanillaIborLegConvention(irsIborLegConventionName, getIds(Currency.JPY, tenorString, IRS_IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.NONE, false, 2);
    // X-Ccy OIS
    final Convention oisXCcyUSDLegConvention = new OISLegConvention(OIS_USD_JPY_ON_LEG, getIds(OIS_USD_JPY_ON_LEG), onIndexId,
        Tenor.THREE_MONTHS, MODIFIED_FOLLOWING, 2, true, StubType.NONE, false, 2);
    conventionMaster.add(oisXCcyUSDLegConvention);
    // Convention add
    conventionMaster.add(onIndex);
    conventionMaster.add(liborIndex);
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