Package com.opengamma.financial.convention.businessday

Examples of com.opengamma.financial.convention.businessday.BusinessDayConvention

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    final Frequency couponFrequency = SimpleFrequency.QUARTERLY;

    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");

    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");

    final StubType stubType = StubType.SHORT_START;

    // Include the accrued coupon (for a default that occurs between coupon dates)
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      final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
      utils.addConventionBundle(ExternalIdBundle.of(bbgDeposit, simpleDeposit), depositName, ACT_365, MODIFIED, Period.ofYears(i), 0, false, GB);
    }

    final DayCount swapFixedDayCount = ACT_365;
    final BusinessDayConvention swapFixedBusinessDay = MODIFIED;
    final Frequency swapFixedPaymentFrequency = SEMI_ANNUAL;
    final Frequency swapFixedPaymentFrequency1Y = ANNUAL;
    final DayCount liborDayCount = ACT_365;
    // Overnight Index Swap Convention have additional flag, publicationLag
    final int publicationLagON = 0;
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*/
public class SyntheticUSConventions {

  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    Validate.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
    final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);

    final ExternalId usgb = ExternalSchemes.financialRegionId("US+GB");
    final ExternalId us = ExternalSchemes.financialRegionId("US");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    //LIBOR
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP7D"), simpleNameSecurityId("USD LIBOR 7d")), "USD LIBOR 7d", act360, modified, Period.ofDays(7), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP14D"), simpleNameSecurityId("USD LIBOR 14d")), "USD LIBOR 14d", act360, modified, Period.ofDays(14), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP1M"), simpleNameSecurityId("USD LIBOR 1m")), "USD LIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP2M"), simpleNameSecurityId("USD LIBOR 2m")), "USD LIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP3M"), simpleNameSecurityId("USD LIBOR 3m")), "USD LIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP6M"), simpleNameSecurityId("USD LIBOR 6m")), "USD LIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, us);
    utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP12M")), "USD LIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, us);

    final DayCount swapFixedDayCount = thirty360;
    final BusinessDayConvention swapFixedBusinessDay = modified;
    final Frequency swapFixedPaymentFrequency = semiAnnual;
    final DayCount swapFloatDayCount = act360;
    final BusinessDayConvention swapFloatBusinessDay = modified;
    final Frequency swapFloatPaymentFrequency = quarterly;
    final Frequency annual = PeriodFrequency.ANNUAL;

    final int[] isdaFixTenor = new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30};
    // ISDA fixing 11.00 New-York
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*/
public class SyntheticEUConventions {

  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    Validate.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
    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);

    //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,
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*/
public class SyntheticNZConventions {

  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    Validate.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    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");

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*/
public class SyntheticCAConventions {

  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    Validate.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    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);
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*/
public class SyntheticGBConventions {

  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    Validate.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    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);

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   * Add conventions for deposits and implied deposits.
   * @param conventionMaster The convention master, not null
   */
  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount dc = DayCountFactory.INSTANCE.getDayCount("28/360");
    final ExternalId mx = ExternalSchemes.financialRegionId("MX");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

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   * Adds conventions for deposit, Libor, BA fixings, swaps, FRAs and BA futures.
   * @param conventionMaster The convention master, not null
   */
  public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
    ArgumentChecker.notNull(conventionMaster, "convention master");
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
    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);
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  @Test
  public void testRepository() {
    final ConventionBundleMaster repo = new InMemoryConventionBundleMaster();
    final ConventionBundleSource source = new DefaultConventionBundleSource(repo);
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount actact = DayCountFactory.INSTANCE.getDayCount("Actual/360");

    final ConventionBundle conventions = source.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD LIBOR O/N"));
    AssertJUnit.assertEquals("USD LIBOR O/N", conventions.getName());
    AssertJUnit.assertEquals("US00O/N Index", conventions.getIdentifiers().getValue(ExternalSchemes.BLOOMBERG_TICKER));
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