Package com.opengamma.financial.convention.businessday

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

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   * Adds conventions for deposit, Libor and Stibor fixings.
   * @param conventionMaster The convention master, not null
   */
  public static 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 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);
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    ZAConventions.addFixedIncomeInstrumentConventions(this);
  }

  private void addFXConventions() {
    final ExternalId us = ExternalSchemes.financialRegionId("US");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final FXSpotConvention usdCadSpot = new FXSpotConvention("USD/CAD FX Spot", ExternalIdBundle.of(ExternalId.of("CONVENTION", "USD/CAD FX Spot")), 1, us);
    final FXForwardAndSwapConvention usdCadForward = new FXForwardAndSwapConvention("USD/CAD FX Forward", ExternalIdBundle.of(ExternalId.of("CONVENTION", "USD/CAD FX Forward")),
        ExternalId.of("CONVENTION", "USD/CAD FX Spot"), following, false, us);
    final FXSpotConvention fxSpot = new FXSpotConvention("FX Spot", ExternalIdBundle.of(ExternalId.of("CONVENTION", "FX Spot")), 2, us);
    // TODO: Holiday should not be US only.
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  /**
   * @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 BusinessDayConvention modifiedFollowing = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final DayCount bus252 = DayCountFactory.INSTANCE.getDayCount("Business/252");
    final Frequency annual = PeriodFrequency.ANNUAL;
    final ExternalId br = ExternalSchemes.financialRegionId("BR");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    for (int i = 1; i < 3; i++) {
      final String dayDepositName = "BRL DEPOSIT " + i + "d";
      final ExternalId dayBbgDeposit = bloombergTickerSecurityId("BCDR" + i + "T Curncy");
      final ExternalId daySimpleDeposit = simpleNameSecurityId(dayDepositName);
      final String weekDepositName = "BRL DEPOSIT " + i + "w";
      final ExternalId weekBbgDeposit = bloombergTickerSecurityId("BCDR" + i + "Z Curncy");
      final ExternalId weekSimpleDeposit = simpleNameSecurityId(weekDepositName);
      utils.addConventionBundle(ExternalIdBundle.of(dayBbgDeposit, daySimpleDeposit), dayDepositName, bus252, following, Period.ofDays(i), 2, false, br);
      utils.addConventionBundle(ExternalIdBundle.of(weekBbgDeposit, weekSimpleDeposit), weekDepositName, bus252, following, Period.ofDays(i * 7), 2, false, br);
    }

    for (int i = 1; i < 12; i++) {
      final String depositName = "BRL DEPOSIT " + i + "m";
      final ExternalId bbgDeposit = bloombergTickerSecurityId("BCDR" + BBG_MONTH_CODES[i - 1] + " Curncy");
      final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
      final String impliedDepositName = "BRL IMPLIED DEPOSIT " + i + "m";
      final ExternalId tullettImpliedDeposit = tullettPrebonSecurityId("LMIDPBRLSPT" + (i < 10 ? "0" : "") + i + "M");
      final ExternalId simpleImpliedDeposit = simpleNameSecurityId(impliedDepositName);
      utils.addConventionBundle(ExternalIdBundle.of(bbgDeposit, simpleDeposit), depositName, bus252, following, Period.ofMonths(i), 2, false, br);
      utils.addConventionBundle(ExternalIdBundle.of(tullettImpliedDeposit, simpleImpliedDeposit), impliedDepositName, bus252, following, Period.ofMonths(i), 2, false, br);
    }

    for (int i = 1; i < 2; i++) {
      final String depositName = "BRL DEPOSIT " + i + "y";
      final ExternalId bbgDeposit = bloombergTickerSecurityId("BCDR" + i + " Curncy");
      final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
      utils.addConventionBundle(ExternalIdBundle.of(bbgDeposit, simpleDeposit), depositName, bus252, following, Period.ofYears(i), 2, false, br);
    }

    final DayCount swapFixedLegDayCount = DayCountFactory.INSTANCE.getDayCount("Bus/252");
    final BusinessDayConvention swapFixedLegBusinessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final Frequency swapFixedLegPaymentFrequency = PeriodFrequency.ANNUAL;
    final int swapFixedLegSettlementDays = 2;
    final ExternalId swapFixedLegRegion = br;
    final Frequency swapFixedLegCompoundingFrequency = PeriodFrequency.DAILY;
    final InterestRate.Type swapFixedLegCompoundingType = InterestRate.Type.CONTINUOUS;
    final DayCount swapFloatingLegDayCount = DayCountFactory.INSTANCE.getDayCount("Bus/252");
    final BusinessDayConvention swapFloatingLegBusinessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final Frequency swapFloatingLegPaymentFrequency = PeriodFrequency.ANNUAL;
    final int swapFloatingLegSettlementDays = 2;
    final ExternalId swapFloatingLegInitialRate = bloombergTickerSecurityId("BZDIOVRA Index");
    final ExternalId swapFloatingLegRegion = br;
    final Frequency swapFloatingLegCompoundingFrequency = PeriodFrequency.DAILY;
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*/
public class SyntheticAUConventions {

  public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionBundleMaster 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 semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
    final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
    final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);

    //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);
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*/
public class SyntheticDKConventions {

  public static 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);
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*/
public class SyntheticCHConventions {

  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 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);
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*/
public class SyntheticJPConventions {

  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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    ZonedDateTime maturity = LocalDateTime.of(2020, 12, 20, 0, 0, 0, 0).atZone(ZoneOffset.UTC);
    ZonedDateTime startDate = LocalDateTime.of(2010, 12, 20, 0, 0, 0, 0).atZone(ZoneOffset.UTC);
    SimpleFrequency frequency = SimpleFrequency.ANNUAL;
    DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final CDSSecurity cds1 = new CDSSecurity(1.0, 0.6, 0.4, Currency.USD, maturity, startDate,
                                             frequency,
                                             dayCount,
                                             businessDayConvention, 
                                             StubType.SHORT_START, 3,
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    }
    return results;
  }

  private void addHUFixedIncomeInstruments() {
    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");
    //Identifiers for external data
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "HUFCASHP1D")), "HUFCASHP1D", act360, following, Period.ofDays(1), 0, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "HUFCASHP1M")), "HUFCASHP1M", act360, modified, Period.ofMonths(1), 2, false, null);
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    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "HUFSWAPP9Y")), "HUFSWAPP9Y", act365, modified, Period.ofYears(9), 2, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "HUFSWAPP10Y")), "HUFSWAPP10Y", act365, modified, Period.ofYears(10), 2, false, null);
  }

  private void addITFixedIncomeInstruments() {
    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");
    //Identifiers for external data
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "ITLCASHP1D")), "ITLCASHP1D", act360, following, Period.ofDays(1), 0, false, null);
    _utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(SIMPLE_NAME_SCHEME, "ITLCASHP1M")), "ITLCASHP1M", act360, modified, Period.ofMonths(1), 2, false, null);
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