/**
* 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;
/**
* Standard conventions for EUR.
*/
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,
swapFixedPaymentFrequency, 2, eu, euriborDayCount, modified, semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"), eu, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_3M_SWAP")), "EUR_3M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
swapFixedPaymentFrequency, 2, eu, act360, modified, quarterly, 2, simpleNameSecurityId("EURIBOR 3m"), eu, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_6M_SWAP")), "EUR_6M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
swapFixedPaymentFrequency, 2, eu, act360, modified, semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"), eu, true);
// IR FUTURES
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_IR_FUTURE")), "EUR_IR_FUTURE", euriborDayCount, modified, Period.ofMonths(3),
2, true, null);
final int publicationLagON = 0;
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("EONIA"), simpleNameSecurityId("EUR EONIA")), "EUR EONIA", act360, modified, Period.ofDays(1), 0, false, eu, publicationLagON);
// OIS - EONIA
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_OIS_SWAP")), "EUR_OIS_SWAP", act360, modified, annual, 2, eu, act360, modified,
annual, 2, simpleNameSecurityId("EUR EONIA"), eu, true, publicationLagON);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_3M_FRA")), "EUR_3M_FRA", thirty360, modified, quarterly, 2, eu, act360,
modified, quarterly, 2, simpleNameSecurityId("EURIBOR 3m"), eu, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_6M_FRA")), "EUR_6M_FRA", thirty360, modified, annual, 2, eu, act360, modified,
semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"), eu, true);
}
}