/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.examples.simulated.convention;
import static com.opengamma.core.id.ExternalSchemes.syntheticSecurityId;
import static com.opengamma.financial.convention.InMemoryConventionBundleMaster.simpleNameSecurityId;
import org.apache.commons.lang.Validate;
import org.threeten.bp.Period;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.financial.convention.ConventionBundleMaster;
import com.opengamma.financial.convention.ConventionBundleMasterUtils;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.frequency.Frequency;
import com.opengamma.financial.convention.frequency.SimpleFrequencyFactory;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
/**
*
*/
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);
final ExternalId dk = ExternalSchemes.financialRegionId("DK");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKLIBORP3M"), simpleNameSecurityId("DKK CIBOR 3m")), "DKK CIBOR 3m", act360, following, Period.ofMonths(3), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKLIBORP6M"), simpleNameSecurityId("DKK CIBOR 6m")), "DKK CIBOR 6m", act360, following, Period.ofMonths(6), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP1D")), "DKKCASHP1D", act360, following, Period.ofDays(1), 0, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP1M")), "DKKCASHP1M", act360, modified, Period.ofMonths(1), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP2M")), "DKKCASHP2M", act360, modified, Period.ofMonths(2), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP3M")), "DKKCASHP3M", act360, modified, Period.ofMonths(3), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP4M")), "DKKCASHP4M", act360, modified, Period.ofMonths(4), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP5M")), "DKKCASHP5M", act360, modified, Period.ofMonths(5), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP6M")), "DKKCASHP6M", act360, modified, Period.ofMonths(6), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP7M")), "DKKCASHP7M", act360, modified, Period.ofMonths(7), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP8M")), "DKKCASHP8M", act360, modified, Period.ofMonths(8), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP9M")), "DKKCASHP9M", act360, modified, Period.ofMonths(9), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP10M")), "DKKCASHP10M", act360, modified, Period.ofMonths(10), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP11M")), "DKKCASHP11M", act360, modified, Period.ofMonths(11), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("DKKCASHP12M")), "DKKCASHP12M", act360, modified, Period.ofMonths(12), 2, false, dk);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("DKK_SWAP")), "DKK_SWAP", thirty360, modified, annual, 1, dk, act360,
modified, semiAnnual, 1, simpleNameSecurityId("DKK CIBOR 6m"), dk, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("DKK_3M_SWAP")), "DKK_3M_SWAP", thirty360, modified, annual, 2, dk,
act360, modified, quarterly, 2, simpleNameSecurityId("DKK CIBOR 3m"), dk, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("DKK_6M_SWAP")), "DKK_6M_SWAP", thirty360, modified, annual, 2, dk,
act360, modified, semiAnnual, 2, simpleNameSecurityId("DKK CIBOR 6m"), dk, true);
}
}