Examples of OISLegConvention

com.opengamma.financial.convention.OISLegConvention
Conventions for overnight swap legs.

Examples of com.opengamma.financial.convention.OISLegConvention

      final int settlementDays = message.getInt(SETTLEMENT_DAYS_FIELD);
      final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
      final boolean isEOM = message.getBoolean(IS_EOM_FIELD);
      final StubType stubType = StubType.valueOf(message.getString(STUB_TYPE_FIELD));
      final boolean exchangeNotional = message.getBoolean(EXCHANGE_NOTIONAL_FIELD);
      final OISLegConvention convention = new OISLegConvention(name, externalIdBundle, overnightIndexConvention, paymentTenor,
          businessDayConvention, settlementDays, isEOM, stubType, exchangeNotional, paymentLag);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueIdMsg != null) {
        convention.setUniqueId(deserializer.fieldValueToObject(UniqueId.class, uniqueIdMsg));
      }
      return convention;
    }

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Examples of com.opengamma.financial.convention.OISLegConvention

      }


      private AnnuityDefinition<? extends PaymentDefinition> getOISAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency) {
        final String oisConventionName = getConventionName(currency, OIS_ON_LEG);
        final OISLegConvention oisConvention = _conventionSource.getConvention(OISLegConvention.class, ExternalId.of(SCHEME_NAME, oisConventionName));
        if (oisConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS leg convention with the identifier " + ExternalId.of(SCHEME_NAME, oisConventionName));
        }
        final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, oisConvention.getOvernightIndexConvention());
        if (indexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS index convention with the identifier " + oisConvention.getOvernightIndexConvention());
        }
        final String currencyString = currency.getCode();
        final Integer publicationLag = indexConvention.getPublicationLag();
        final Period paymentFrequency = getTenor(swapLeg.getFrequency());
        final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final int paymentLag = oisConvention.getPaymentLag();
        final boolean isEOM = oisConvention.isIsEOM();
        final Calendar indexCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          final FloatingSpreadIRLeg spread = (FloatingSpreadIRLeg) swapLeg;
          return AnnuityCouponONSpreadDefinition.from(effectiveDate, maturityDate, notional, isPayer, index, paymentLag, indexCalendar, businessDayConvention, paymentFrequency, isEOM,
              spread.getSpread());
        }
        return AnnuityCouponONDefinition.from(effectiveDate, maturityDate, notional, isPayer, index, paymentLag, indexCalendar, businessDayConvention, paymentFrequency, isEOM);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getCMSAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency, final Calendar calendar) {
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          throw new OpenGammaRuntimeException("Cannot create an annuity for a CMS leg with a spread");
        }
        final String tenorString = getTenorString(swapLeg.getFrequency());
        final String iborLegConventionName = getConventionName(currency, tenorString, IRS_IBOR_LEG);
        final VanillaIborLegConvention iborLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class,
            ExternalId.of(SCHEME_NAME, getConventionName(currency, tenorString, IRS_IBOR_LEG)));
        if (iborLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get Ibor leg convention with the identifier " + ExternalId.of(SCHEME_NAME, iborLegConventionName));
        }
        final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, iborLegConvention.getIborIndexConvention());
        final String swapIndexConventionName = getConventionName(currency, tenorString, SWAP_INDEX);
        final SwapIndexConvention swapIndexConvention = _conventionSource.getConvention(SwapIndexConvention.class, ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        if (swapIndexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap index convention with the identifier " + ExternalId.of(SCHEME_NAME, swapIndexConventionName));
        }
        final SwapConvention underlyingSwapConvention = _conventionSource.getConvention(SwapConvention.class, swapIndexConvention.getSwapConvention());
        if (underlyingSwapConvention == null) {
          throw new OpenGammaRuntimeException("Could not get swap convention with the identifier " + swapIndexConvention.getSwapConvention());
        }
        final SwapFixedLegConvention payLegConvention = _conventionSource.getConvention(SwapFixedLegConvention.class, underlyingSwapConvention.getPayLegConvention());
        if (payLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getPayLegConvention());
        }
        final VanillaIborLegConvention receiveLegConvention = _conventionSource.getConvention(VanillaIborLegConvention.class, underlyingSwapConvention.getReceiveLegConvention());
        if (receiveLegConvention == null) {
          throw new OpenGammaRuntimeException("Could not get convention with the identifier " + underlyingSwapConvention.getReceiveLegConvention());
        }
        final Frequency freqIbor = swapLeg.getFrequency();
        final Period tenorIbor = getTenor(freqIbor);
        final int spotLag = iborIndexConvention.getSettlementDays();
        final DayCount dayCount = swapLeg.getDayCount();
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(), iborIndexConvention.getBusinessDayConvention(),
            iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
        final Period fixedLegPaymentPeriod = payLegConvention.getPaymentTenor().getPeriod();
        final DayCount fixedLegDayCount = payLegConvention.getDayCount();
        final Period period = Period.ofYears(10); // TODO why is a variable field like this in IndexSwap? It's only used in one place in the entire analytics library.
        final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, fixedLegDayCount, iborIndex, period, calendar);
        return AnnuityCouponCMSDefinition.from(effectiveDate, maturityDate, notional, swapIndex, tenorIbor, dayCount, isPayer, calendar);
      }


      private AnnuityDefinition<? extends PaymentDefinition> getOvernightAAverageAnnuity(final FloatingInterestRateLeg swapLeg, final InterestRateNotional interestRateNotional,
          final Currency currency) {
        final String oisConventionName = getConventionName(currency, OIS_ON_LEG);
        final OISLegConvention oisConvention = _conventionSource.getConvention(OISLegConvention.class, ExternalId.of(SCHEME_NAME, oisConventionName));
        if (oisConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS leg convention with the identifier " + ExternalId.of(SCHEME_NAME, oisConventionName));
        }
        final OvernightIndexConvention indexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, oisConvention.getOvernightIndexConvention());
        if (indexConvention == null) {
          throw new OpenGammaRuntimeException("Could not get OIS index convention with the identifier " + oisConvention.getOvernightIndexConvention());
        }
        final String currencyString = currency.getCode();
        final Integer publicationLag = indexConvention.getPublicationLag();
        final Period paymentFrequency = getTenor(swapLeg.getFrequency());
        final IndexON index = new IndexON(indexConvention.getName(), currency, indexConvention.getDayCount(), publicationLag);
        final BusinessDayConvention businessDayConvention = swapLeg.getBusinessDayConvention();
        final double notional = interestRateNotional.getAmount();
        final int paymentLag = oisConvention.getPaymentLag();
        final boolean isEOM = oisConvention.isIsEOM();
        final Calendar indexCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
        if (swapLeg instanceof FloatingSpreadIRLeg) {
          final FloatingSpreadIRLeg spread = (FloatingSpreadIRLeg) swapLeg;
          return AnnuityCouponArithmeticAverageONSpreadDefinition.from(effectiveDate, maturityDate, notional, spread.getSpread(), isPayer, paymentFrequency, index,
              paymentLag, businessDayConvention, isEOM, indexCalendar);

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Examples of com.opengamma.financial.convention.OISLegConvention

    // Fixed 1Y- ON compounded 1Y
    final String oisFixedLegConventionName = getConventionName(Currency.USD, OIS_FIXED_LEG);
    final String oisONLegConventionName = getConventionName(Currency.USD, OIS_ON_LEG);
    final Convention oisFixedLegConvention = new SwapFixedLegConvention(oisFixedLegConventionName, getIds(Currency.USD, OIS_FIXED_LEG),
        Tenor.ONE_YEAR, ACT_360, MODIFIED_FOLLOWING, Currency.USD, US, 2, true, StubType.SHORT_START, false, 2);
    final Convention oisONLegConvention = new OISLegConvention(oisONLegConventionName, getIds(Currency.USD, OIS_ON_LEG), overnightConventionId,
        Tenor.ONE_YEAR, MODIFIED_FOLLOWING, 2, false, StubType.NONE, false, 2);
    
    // ON Compounded 3M
    final String onCmp3MLegConventionName = getConventionName(Currency.USD, TENOR_STR_3M, ON_CMP_LEG);
    final Convention onCmp3MLegConvention = new OISLegConvention(onCmp3MLegConventionName, getIds(Currency.USD, TENOR_STR_3M, ON_CMP_LEG), overnightConventionId,
        Tenor.THREE_MONTHS, MODIFIED_FOLLOWING, 2, false, StubType.SHORT_START, false, 2);
    
    // Ibor legs - no payment delay
    final String irsFixedLegConventionName = getConventionName(Currency.USD, IRS_FIXED_LEG);
    final Convention irsFixedLegConvention = new SwapFixedLegConvention(irsFixedLegConventionName, getIds(Currency.USD, IRS_FIXED_LEG),
        Tenor.SIX_MONTHS, THIRTY_360, MODIFIED_FOLLOWING, Currency.USD, NYLON, 2, true, StubType.SHORT_START, false, 0);
    
    final String liborLeg1MConventionName = getConventionName(Currency.USD, TENOR_STR_1M, IRS_IBOR_LEG);
    final Convention liborLeg1MConvention = new VanillaIborLegConvention(liborLeg1MConventionName, getIds(Currency.USD, TENOR_STR_1M, IRS_IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.ONE_MONTH, 2, true, StubType.SHORT_START, false, 0);
    final String liborLeg3MConventionName = getConventionName(Currency.USD, TENOR_STR_3M, IRS_IBOR_LEG);
    final Convention liborLeg3MConvention = new VanillaIborLegConvention(liborLeg3MConventionName, getIds(Currency.USD, TENOR_STR_3M, IRS_IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
    final String liborLeg6MConventionName = getConventionName(Currency.USD, TENOR_STR_6M, IRS_IBOR_LEG);
    final Convention liborLeg6MConvention = new VanillaIborLegConvention(liborLeg6MConventionName, getIds(Currency.USD, TENOR_STR_6M, IRS_IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.SHORT_START, false, 0);
    final String liborLeg12MConventionName = getConventionName(Currency.USD, TENOR_STR_12M, IRS_IBOR_LEG);
    final Convention liborLeg12MConvention = new VanillaIborLegConvention(liborLeg12MConventionName, getIds(Currency.USD, TENOR_STR_12M, IRS_IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.TWELVE_MONTHS, 2, true, StubType.SHORT_START, false, 0);


    // Ibor legs - with payment delay
    final String liborLeg3MPayLagConventionName = getConventionName(Currency.USD, TENOR_STR_3M, PAY_LAG + IBOR_LEG);
    final Convention liborLeg3MPayLagConvention = new VanillaIborLegConvention(liborLeg3MPayLagConventionName, getIds(Currency.USD, TENOR_STR_3M, PAY_LAG + IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, true, StubType.NONE, false, 2);


    // Ibor legs - compounded
    final String liborLeg1MComp3MConventionName = getConventionName(Currency.USD, TENOR_STR_1M + " x " + TENOR_STR_3M, IBOR_CMP_LEG); // "USD 1M x 3M Comp Ibor Leg"  
    final Convention liborLeg1MComp3MConvention = new CompoundingIborLegConvention(liborLeg1MComp3MConventionName, getIds(Currency.USD, TENOR_STR_1M + " x " + TENOR_STR_3M, IBOR_CMP_LEG), 
        liborConventionId, Tenor.THREE_MONTHS, CompoundingType.FLAT_COMPOUNDING, Tenor.ONE_MONTH, StubType.SHORT_START, 2, false, StubType.LONG_START, false, 0);
    
    // Swaps
    final Convention swapConvention = new SwapConvention("USD Swap", ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, "USD Swap")),
        ExternalId.of(SCHEME_NAME, getConventionName(Currency.USD, IRS_FIXED_LEG)),
        ExternalId.of(SCHEME_NAME, getConventionName(Currency.USD, TENOR_STR_3M, IRS_IBOR_LEG)));
    final Convention swapIndexConvention = new SwapIndexConvention(swapIndexConventionName, getIds(Currency.USD, SWAP_INDEX), LocalTime.of(11, 0), ExternalId.of(SCHEME_NAME, "USD Swap"));
    
    // Futures (for ED-LIBOR3M and EM-LIBOR1M)
    final String quartFutureConventionName = getConventionName(Currency.USD, STIR_FUTURES + QUARTERLY);
    final Convention quartSTIRFutureConvention = new InterestRateFutureConvention(quartFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, quartFutureConventionName)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionQuarterlyExpiryCalculator.NAME), US, liborConventionId);
    final String serialFutureConventionName = getConventionName(Currency.USD, STIR_FUTURES + SERIAL);
    final Convention serialSTIRFutureConvention = new InterestRateFutureConvention(serialFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, serialFutureConventionName)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionMonthlyExpiryCalculator.NAME), US, liborConventionId);
    
    final Convention fedFundsConvention = new FederalFundsFutureConvention(fedFundFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, FedFundFutureAndFutureOptionMonthlyExpiryCalculator.NAME), US, overnightConventionId, 5000000);
    final Convention cmsDeliverableSwapFutureConvention = new DeliverablePriceQuotedSwapFutureConvention(cmeDeliverableSwapFutureConventionName,
        ExternalIdBundle.of(SCHEME_NAME, CME_DELIVERABLE_SWAP_FUTURE), ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME,
            IMMFutureAndFutureOptionQuarterlyExpiryCalculator.NAME), US, liborConventionId, 100000);
    // Inflation
    final PriceIndexConvention priceIndexConvention = new PriceIndexConvention(priceIndexName, getIds(Currency.USD, PRICE_INDEX), Currency.USD, US,
        ExternalSchemes.bloombergTickerSecurityId("CPURNSA Index"));
    final Convention inflationConvention = new InflationLegConvention(inflationConventionName, getIds(Currency.USD, INFLATION_LEG), MODIFIED_FOLLOWING, ACT_360, false, 3, 2,
        priceIndexId);
    // US Treasury: Synthetic swaps to represent bonds, using yield
    final String fixedLegGovtConventionName = getConventionName(Currency.USD, TENOR_STR_6M, GOVT + FIXED_LEG);
    final Convention fixedLegGovtConvention = new SwapFixedLegConvention(fixedLegGovtConventionName, getIds(Currency.USD, TENOR_STR_6M, GOVT + FIXED_LEG),
        Tenor.SIX_MONTHS, ACT_ACT, FOLLOWING, Currency.USD, US, 2, false, StubType.SHORT_START, false, 0);
    final String liborLegGovtConventionName = getConventionName(Currency.USD, TENOR_STR_3M, GOVT + IBOR_LEG);
    final Convention liborLegGovtConvention = new VanillaIborLegConvention(liborLegGovtConventionName, getIds(Currency.USD, TENOR_STR_3M, GOVT + IBOR_LEG),
        liborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, false, StubType.NONE, false, 0);


    // X-Ccy OIS
    final Convention oisXCcyJPYLegConvention = new OISLegConvention(OIS_USD_JPY_ON_LEG, getIds(OIS_USD_JPY_ON_LEG), overnightConventionId,
        Tenor.THREE_MONTHS, MODIFIED_FOLLOWING, 2, true, StubType.NONE, false, 2);
    
    // Convention add
    conventionMaster.add(depositConvention);
    conventionMaster.add(depositONConvention);

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Examples of com.opengamma.financial.convention.OISLegConvention

    final String bbsw6MLegConventionName = getConventionName(Currency.AUD, TENOR_STR_6M, BBSW_LEG);
    final Convention bbsw6MLegConvention = new VanillaIborLegConvention(bbsw6MLegConventionName, getIds(Currency.AUD, TENOR_STR_6M, BBSW_LEG),
        bbswConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.SHORT_START, false, 0);
    // Overnight Legs
    final String onLegConventionName = getConventionName(Currency.AUD, ON_CMP_LEG);
    final Convention onLegConvention = new OISLegConvention(onLegConventionName, getIds(Currency.AUD, ON_CMP_LEG), onIndexId,
        Tenor.ONE_YEAR, MODIFIED_FOLLOWING, 2, true, StubType.SHORT_START, false, 2);
    
    // Convention add
    conventionMaster.add(onIndex);
    conventionMaster.add(bbswIndex);

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Examples of com.opengamma.financial.convention.OISLegConvention

    assertEquals(convention, cycleObject(DeliverablePriceQuotedSwapFutureConvention.class, convention));
  }


  @Test
  public void testOISLegConvention() {
    final OISLegConvention convention = new OISLegConvention("EUR OIS", ExternalIdBundle.of(InMemoryConventionBundleMaster.simpleNameSecurityId("EUR OIS")),
        ExternalId.of("Test", "EONIA"), Tenor.SIX_MONTHS, BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"), 1, true, StubType.LONG_START, false, 4);
    convention.setUniqueId(UniqueId.of("Test", "123"));
    assertEquals(convention, cycleObject(OISLegConvention.class, convention));
  }

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Examples of com.opengamma.financial.convention.OISLegConvention

    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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Examples of com.opengamma.financial.convention.OISLegConvention

    // 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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