/**
* 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 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);
final ExternalId jp = ExternalSchemes.financialRegionId("JP");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP7D"), simpleNameSecurityId("JPY LIBOR 1w")), "JPY LIBOR 1w", act360, following, Period.ofDays(7), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP14D"), simpleNameSecurityId("JPY LIBOR 2w")), "JPY LIBOR 2w", act360, following, Period.ofDays(14), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP1M"), simpleNameSecurityId("JPY LIBOR 1m")), "JPY LIBOR 1m", act360, following, Period.ofMonths(1), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP2M"), simpleNameSecurityId("JPY LIBOR 2m")), "JPY LIBOR 2m", act360, following, Period.ofMonths(2), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP3M"), simpleNameSecurityId("JPY LIBOR 3m")), "JPY LIBOR 3m", act360, following, Period.ofMonths(3), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP6M"), simpleNameSecurityId("JPY LIBOR 6m")), "JPY LIBOR 6m", act360, following, Period.ofMonths(6), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYLIBORP12M")), "JPY LIBOR 12m", act360, following, Period.ofMonths(12), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP1D")),
"JPYCASHP1D", act360, following, Period.ofDays(1), 0, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP2D")),
"JPYCASHP2D", act360, following, Period.ofDays(2), 0, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP1M")),
"JPYCASHP1M", act360, modified, Period.ofMonths(1), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP2M")),
"JPYCASHP2M", act360, modified, Period.ofMonths(2), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP3M")),
"JPYCASHP3M", act360, modified, Period.ofMonths(3), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP4M")),
"JPYCASHP4M", act360, modified, Period.ofMonths(4), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP5M")),
"JPYCASHP5M", act360, modified, Period.ofMonths(5), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP6M")),
"JPYCASHP6M", act360, modified, Period.ofMonths(6), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP7M")),
"JPYCASHP7M", act360, modified, Period.ofMonths(7), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP8M")),
"JPYCASHP8M", act360, modified, Period.ofMonths(8), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP9M")),
"JPYCASHP9M", act360, modified, Period.ofMonths(9), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP10M")),
"JPYCASHP10M", act360, modified, Period.ofMonths(10), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP11M")),
"JPYCASHP11M", act360, modified, Period.ofMonths(11), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("JPYCASHP12M")),
"JPYCASHP12M", act360, modified, Period.ofMonths(12), 2, false, jp);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_SWAP")), "JPY_SWAP", act365, modified, semiAnnual, 2, jp, act360,
modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"), jp, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_3M_SWAP")), "JPY_3M_SWAP", act365, modified, semiAnnual, 2, jp,
act360, modified, quarterly, 2, simpleNameSecurityId("JPY LIBOR 3m"), jp, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_6M_SWAP")), "JPY_6M_SWAP", act365, modified, semiAnnual, 2, jp,
act360, modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"), jp, true);
final Integer publicationLag = 0;
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("TONAR"), simpleNameSecurityId("JPY TONAR")),
"JPY TONAR", act365, following, Period.ofDays(1), 2, false, jp, publicationLag);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_OIS_SWAP")), "JPY_OIS_SWAP", act365, modified, annual, 2, jp,
act365, modified, annual, 2, simpleNameSecurityId("JPY TONAR"), jp, true, publicationLag);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_3M_FRA")), "JPY_3M_FRA", act365, modified, semiAnnual, 2, jp,
act360, modified, quarterly, 2, simpleNameSecurityId("JPY LIBOR 3m"), jp, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_6M_FRA")), "JPY_6M_FRA", act365, modified, semiAnnual, 2, jp,
act360, modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"), jp, true);
}
}