Package com.opengamma.financial.convention.daycount

Examples of com.opengamma.financial.convention.daycount.DayCount

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  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);

    final ExternalId dk = ExternalSchemes.financialRegionId("NO");
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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 DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final ExternalId ru = ExternalSchemes.financialRegionId("RU");

    final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("RRDR1T Curncy"), simpleNameSecurityId("RUB DEPOSIT 1d")), "RUB DEPOSIT 1d", act360,
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   */
  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 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(bloombergTickerSecurityId("EU00O/N Index"), simpleNameSecurityId("EUR LIBOR O/N"),
        tullettPrebonSecurityId("ASLIBEULONL")),
        "EUR LIBOR O/N", act360, following, Period.ofDays(1), 0, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU00T/N Index"), simpleNameSecurityId("EUR LIBOR T/N")),
        "EUR LIBOR T/N", act360, following, Period.ofDays(1), 1, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0001W Index"), simpleNameSecurityId("EUR LIBOR 1w"),
        tullettPrebonSecurityId("ASLIBEUL1WL")),
        "EUR LIBOR 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0002W Index"), simpleNameSecurityId("EUR LIBOR 2w"),
        tullettPrebonSecurityId("ASLIBEUL2WL")),
        "EUR LIBOR 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0001M Index"), simpleNameSecurityId("EUR LIBOR 1m"),
        tullettPrebonSecurityId("ASLIBEUL01L")),
        "EUR LIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0002M Index"), simpleNameSecurityId("EUR LIBOR 2m"),
        tullettPrebonSecurityId("ASLIBEUL02L")),
        "EUR LIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0003M Index"), simpleNameSecurityId("EUR LIBOR 3m"),
        tullettPrebonSecurityId("ASLIBEUL03L")),
        "EUR LIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0004M Index"), simpleNameSecurityId("EUR LIBOR 4m"),
        tullettPrebonSecurityId("ASLIBEUL04L")),
        "EUR LIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0005M Index"), simpleNameSecurityId("EUR LIBOR 5m"),
        tullettPrebonSecurityId("ASLIBEUL05L")),
        "EUR LIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0006M Index"), simpleNameSecurityId("EUR LIBOR 6m"),
        tullettPrebonSecurityId("ASLIBEUL06L")),
        "EUR LIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0007M Index"), simpleNameSecurityId("EUR LIBOR 7m"),
        tullettPrebonSecurityId("ASLIBEUL07L")),
        "EUR LIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0008M Index"), simpleNameSecurityId("EUR LIBOR 8m"),
        tullettPrebonSecurityId("ASLIBEUL08L")),
        "EUR LIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0009M Index"), simpleNameSecurityId("EUR LIBOR 9m"),
        tullettPrebonSecurityId("ASLIBEUL09L")),
        "EUR LIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0010M Index"), simpleNameSecurityId("EUR LIBOR 10m"),
        tullettPrebonSecurityId("ASLIBEUL10L")),
        "EUR LIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0011M Index"), simpleNameSecurityId("EUR LIBOR 11m"),
        tullettPrebonSecurityId("ASLIBEUL11L")),
        "EUR LIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0012M Index"), simpleNameSecurityId("EUR LIBOR 12m"),
        tullettPrebonSecurityId("ASLIBEUL12L")),
        "EUR LIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);
    // EURIBOR
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR001W Index"), simpleNameSecurityId("EURIBOR 1w"),
        tullettPrebonSecurityId("ASLIBEUR1WL")),
        "EURIBOR 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR002W Index"), simpleNameSecurityId("EURIBOR 2w"),
        tullettPrebonSecurityId("ASLIBEUR2WL")),
        "EURIBOR 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR003W Index"), simpleNameSecurityId("EURIBOR 3w"),
        tullettPrebonSecurityId("ASLIBEUR3WL")),
        "EURIBOR 3w", act360, following, Period.ofDays(21), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR001M Index"), simpleNameSecurityId("EURIBOR 1m"),
        tullettPrebonSecurityId("ASLIBEUR01L")),
        "EURIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR002M Index"), simpleNameSecurityId("EURIBOR 2m"),
        tullettPrebonSecurityId("ASLIBEUR02L")),
        "EURIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR003M Index"), ExternalSchemes.ricSecurityId("EURIBOR3MD="),
            simpleNameSecurityId("EURIBOR 3m"), tullettPrebonSecurityId("ASLIBEUR03L")),
            "EURIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR004M Index"), simpleNameSecurityId("EURIBOR 4m"),
        tullettPrebonSecurityId("ASLIBEUR04L")),
        "EURIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR005M Index"), simpleNameSecurityId("EURIBOR 5m"),
        tullettPrebonSecurityId("ASLIBEUR05L")),
        "EURIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR006M Index"), ExternalSchemes.ricSecurityId("EURIBOR6MD="),
            simpleNameSecurityId("EURIBOR 6m"), tullettPrebonSecurityId("ASLIBEUR06L")),
            "EURIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR007M Index"), simpleNameSecurityId("EURIBOR 7m"),
        tullettPrebonSecurityId("ASLIBEUR07L")),
        "EURIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR008M Index"), simpleNameSecurityId("EURIBOR 8m"),
        tullettPrebonSecurityId("ASLIBEUR08L")),
        "EURIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR009M Index"), simpleNameSecurityId("EURIBOR 9m"),
        tullettPrebonSecurityId("ASLIBEUR09L")),
        "EURIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR010M Index"), simpleNameSecurityId("EURIBOR 10m"),
        tullettPrebonSecurityId("ASLIBEUR10L")),
        "EURIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR011M Index"), simpleNameSecurityId("EURIBOR 11m"),
        tullettPrebonSecurityId("ASLIBEUR11L")),
        "EURIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR012M Index"), simpleNameSecurityId("EURIBOR 12m"),
        tullettPrebonSecurityId("ASLIBEUR12L")),
        "EURIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);

    // Deposit
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1T Curncy"), simpleNameSecurityId("EUR DEPOSIT 1d")),
        "EUR DEPOSIT 1d", act360, following, Period.ofDays(1), 0, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2T Curncy"), simpleNameSecurityId("EUR DEPOSIT 2d")),
        "EUR DEPOSIT 2d", act360, following, Period.ofDays(1), 1, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3T Curncy"), simpleNameSecurityId("EUR DEPOSIT 3d")),
        "EUR DEPOSIT 3d", act360, following, Period.ofDays(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 1w"),
        icapSecurityId("EUR_1W"), tullettPrebonSecurityId("MNDEPEURSPT01W")), "EUR DEPOSIT 1w", act360, following, Period.ofDays(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 2w"),
        icapSecurityId("EUR_2W"), tullettPrebonSecurityId("MNDEPEURSPT02W")), "EUR DEPOSIT 2w", act360, following, Period.ofDays(14), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 3w"),
        icapSecurityId("EUR_3W"), tullettPrebonSecurityId("MNDEPEURSPT03W")), "EUR DEPOSIT 3w", act360, following, Period.ofDays(21), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRA Curncy"), simpleNameSecurityId("EUR DEPOSIT 1m"),
        icapSecurityId("EUR_1M"), tullettPrebonSecurityId("MNDEPEURSPT01M")), "EUR DEPOSIT 1m", act360, following, Period.ofMonths(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRB Curncy"), simpleNameSecurityId("EUR DEPOSIT 2m"),
        icapSecurityId("EUR_2M"), tullettPrebonSecurityId("MNDEPEURSPT02M")), "EUR DEPOSIT 2m", act360, following, Period.ofMonths(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRC Curncy"), simpleNameSecurityId("EUR DEPOSIT 3m"),
        icapSecurityId("EUR_3M"), tullettPrebonSecurityId("MNDEPEURSPT03M")), "EUR DEPOSIT 3m", act360, following, Period.ofMonths(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRD Curncy"), simpleNameSecurityId("EUR DEPOSIT 4m"),
        icapSecurityId("EUR_4M"), tullettPrebonSecurityId("MNDEPEURSPT04M")), "EUR DEPOSIT 4m", act360, following, Period.ofMonths(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRE Curncy"), simpleNameSecurityId("EUR DEPOSIT 5m"),
        icapSecurityId("EUR_5M"), tullettPrebonSecurityId("MNDEPEURSPT05M")), "EUR DEPOSIT 5m", act360, following, Period.ofMonths(5), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRF Curncy"), simpleNameSecurityId("EUR DEPOSIT 6m"),
        icapSecurityId("EUR_6M"), tullettPrebonSecurityId("MNDEPEURSPT06M")), "EUR DEPOSIT 6m", act360, following, Period.ofMonths(6), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRG Curncy"), simpleNameSecurityId("EUR DEPOSIT 7m"),
        icapSecurityId("EUR_7M"), tullettPrebonSecurityId("MNDEPEURSPT07M")), "EUR DEPOSIT 7m", act360, following, Period.ofMonths(7), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRH Curncy"), simpleNameSecurityId("EUR DEPOSIT 8m"),
        icapSecurityId("EUR_8M"), tullettPrebonSecurityId("MNDEPEURSPT08M")), "EUR DEPOSIT 8m", act360, following, Period.ofMonths(8), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRI Curncy"), simpleNameSecurityId("EUR DEPOSIT 9m"),
        icapSecurityId("EUR_9M"), tullettPrebonSecurityId("MNDEPEURSPT09M")), "EUR DEPOSIT 9m", act360, following, Period.ofMonths(9), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRJ Curncy"), simpleNameSecurityId("EUR DEPOSIT 10m"),
        icapSecurityId("EUR_10M"), tullettPrebonSecurityId("MNDEPEURSPT10M")), "EUR DEPOSIT 10m", act360, following, Period.ofMonths(10), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRK Curncy"), simpleNameSecurityId("EUR DEPOSIT 11m"),
        icapSecurityId("EUR_11M"), tullettPrebonSecurityId("MNDEPEURSPT11M")), "EUR DEPOSIT 11m", act360, following, Period.ofMonths(11), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1 Curncy"), simpleNameSecurityId("EUR DEPOSIT 1y"),
        icapSecurityId("EUR_12M"), tullettPrebonSecurityId("MNDEPEURSPT12M")), "EUR DEPOSIT 1y", act360, following, Period.ofYears(1), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2 Curncy"), simpleNameSecurityId("EUR DEPOSIT 2y")),
        "EUR DEPOSIT 2y", act360, following, Period.ofYears(2), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3 Curncy"), simpleNameSecurityId("EUR DEPOSIT 3y")),
        "EUR DEPOSIT 3y", act360, following, Period.ofYears(3), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR4 Curncy"), simpleNameSecurityId("EUR DEPOSIT 4y")),
        "EUR DEPOSIT 4y", act360, following, Period.ofYears(4), 2, false, eu);
    utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR5 Curncy"), simpleNameSecurityId("EUR DEPOSIT 5y")),
        "EUR DEPOSIT 5y", act360, following, Period.ofYears(5), 2, false, eu);

    final DayCount swapFixedDayCount = thirty360;
    final BusinessDayConvention swapFixedBusinessDay = modified;
    final Frequency swapFixedPaymentFrequency = annual;
    final DayCount euriborDayCount = act360;
    final int publicationLagON = 0;

    // EURIBOR
    utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_IBOR_INDEX")), "EUR_IBOR_INDEX", euriborDayCount, modified, 2, true);
    // FRA
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    String[] tokens = id.getValue().split(SEPERATOR);
    ArgumentChecker.isTrue(tokens.length == 6, "Incorrect number of params for SingleNameIdentifiable");
    final String name = tokens[0];
    final ExternalId reference = ExternalId.of(tokens[1], name);
    final BusinessDayConvention badDayConvention = BusinessDayConventionFactory.of(tokens[2]);
    final DayCount dayCount = DayCountFactory.of(tokens[3]);
    final Period couponFrequency = Period.parse(tokens[4]);
    final StubType stubType = StubType.valueOf(tokens[5]);
    return new SingleNameIdentifiable(name, reference, badDayConvention, dayCount, couponFrequency, stubType);
  }
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    @Override
    public OvernightIndexConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final int publicationLag = message.getInt(PUBLICATION_LAG_FIELD);
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      final ExternalId region = deserializer.fieldValueToObject(ExternalId.class, message.getByName(REGION_FIELD));
      final OvernightIndexConvention convention = new OvernightIndexConvention(name, externalIdBundle, dayCount, publicationLag, currency, region);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
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    @Override
    public SwapFixedLegConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final Tenor paymentTenor = Tenor.of(Period.parse(message.getString(PAYMENT_TENOR)));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final int settlementDays = message.getInt(SETTLEMENT_DAYS_FIELD);
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      final ExternalId regionCalendar = deserializer.fieldValueToObject(ExternalId.class, message.getByName(REGION_FIELD));
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    @Override
    public InflationLegConvention buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String name = message.getString(NAME_FIELD);
      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAYCOUNT_FIELD));
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final int monthLag = message.getInt(MONTH_LAG_FIELD);
      final int spotLag = message.getInt(SPOT_LAG_FIELD);
      final ExternalId priceIndexConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(PRICE_INDEX_FIELD));
      final InflationLegConvention convention = new InflationLegConvention(name, externalIdBundle, businessDayConvention, dayCount,
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    final ZonedDateTime maturityDate = nextWorkingDay(startDate.plusYears(length), currency);
    final ExternalId shortIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor1);
    final ExternalId longIdentifier = getUnderlying(currency, startDate.toLocalDate(), tenor2);
    final double strike = getRandom(STRIKES);
    final Frequency frequency = getRandom(FREQUENCY);
    final DayCount dayCount = getRandom(DAY_COUNT);
    CapFloorCMSSpreadSecurity security = null;
    if (shortIdentifier != null && longIdentifier != null) {
      security = new CapFloorCMSSpreadSecurity(startDate, maturityDate, notional, longIdentifier, shortIdentifier, strike, frequency, currency, dayCount, payer, cap);
      security.setName(createName(cap, tenor1, tenor2, strike, startDate, maturityDate, frequency, currency, notional));
    }
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    final Calendar regionCalendar = CalendarUtils.getCalendar(_regionSource,
                                                              _holidaySource,
                                                              indexConvention.getRegionCalendar());
    final int spotLag = indexConvention.getSettlementDays();
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final DayCount dayCount = indexConvention.getDayCount();
    final boolean eom = indexConvention.isIsEOM();
    final IborIndex iborIndex = new IborIndex(currency,
                                              indexTenor,
                                              spotLag,
                                              dayCount,
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    final Calendar calendar = CalendarUtils.getCalendar(_regionSource,
                                                        _holidaySource,
                                                        convention.getRegionCalendar());

    final Currency currency = convention.getCurrency();
    final DayCount dayCount = convention.getDayCount();
    final BusinessDayConvention businessDayConvention = convention.getBusinessDayConvention();
    final boolean eomLeg = convention.isIsEOM();
    final int spotLagLeg = convention.getSettlementDays();
    final ZonedDateTime spotDateLeg = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLagLeg, calendar);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(spotDateLeg,
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