/**
* 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.PeriodFrequency;
import com.opengamma.financial.convention.frequency.SimpleFrequencyFactory;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.ArgumentChecker;
/**
* Synthetic US Conventions
*/
public class SyntheticUSConventions {
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 semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
final ExternalId usgb = ExternalSchemes.financialRegionId("US+GB");
final ExternalId us = ExternalSchemes.financialRegionId("US");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
//LIBOR
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP7D"), simpleNameSecurityId("USD LIBOR 7d")), "USD LIBOR 7d", act360, modified, Period.ofDays(7), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP14D"), simpleNameSecurityId("USD LIBOR 14d")), "USD LIBOR 14d", act360, modified, Period.ofDays(14), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP1M"), simpleNameSecurityId("USD LIBOR 1m")), "USD LIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP2M"), simpleNameSecurityId("USD LIBOR 2m")), "USD LIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP3M"), simpleNameSecurityId("USD LIBOR 3m")), "USD LIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP6M"), simpleNameSecurityId("USD LIBOR 6m")), "USD LIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDLIBORP12M")), "USD LIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, us);
final DayCount swapFixedDayCount = thirty360;
final BusinessDayConvention swapFixedBusinessDay = modified;
final Frequency swapFixedPaymentFrequency = semiAnnual;
final DayCount swapFloatDayCount = act360;
final BusinessDayConvention swapFloatBusinessDay = modified;
final Frequency swapFloatPaymentFrequency = quarterly;
final Frequency annual = PeriodFrequency.ANNUAL;
final int[] isdaFixTenor = new int[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 25, 30};
// ISDA fixing 11.00 New-York
for (final int element : isdaFixTenor) {
final String tenorString = element + "Y";
final String sytheticID = "USDISDA10P" + tenorString;
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId(sytheticID)), "USD_ISDAFIX_USDLIBOR10_" + tenorString,
swapFixedDayCount, swapFixedBusinessDay, swapFixedPaymentFrequency, 2, us, act360, modified, semiAnnual, 2,
simpleNameSecurityId("USD LIBOR 3m"), us, true, Period.ofYears(element));
}
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP1D")), "USDCASHP1D", act360, following, Period.ofDays(1), 0, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP2D")), "USDCASHP2D", act360, following, Period.ofDays(2), 0, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP1M")), "USDCASHP1M", act360, modified, Period.ofMonths(1), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP2M")), "USDCASHP2M", act360, modified, Period.ofMonths(2), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP3M")), "USDCASHP3M", act360, modified, Period.ofMonths(3), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP4M")), "USDCASHP4M", act360, modified, Period.ofMonths(4), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP5M")), "USDCASHP5M", act360, modified, Period.ofMonths(5), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP6M")), "USDCASHP6M", act360, modified, Period.ofMonths(6), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP7M")), "USDCASHP7M", act360, modified, Period.ofMonths(7), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP8M")), "USDCASHP8M", act360, modified, Period.ofMonths(8), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP9M")), "USDCASHP9M", act360, modified, Period.ofMonths(9), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP10M")), "USDCASHP10M", act360, modified, Period.ofMonths(10), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP11M")), "USDCASHP11M", act360, modified, Period.ofMonths(11), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDCASHP12M")), "USDCASHP12M", act360, modified, Period.ofMonths(12), 2, false, us);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_SWAP")), "USD_SWAP", swapFixedDayCount, swapFixedBusinessDay,
swapFixedPaymentFrequency, 2, usgb, swapFloatDayCount, swapFloatBusinessDay, swapFloatPaymentFrequency, 2, simpleNameSecurityId("USD LIBOR 3m"),
usgb, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_3M_SWAP")), "USD_3M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
swapFixedPaymentFrequency, 2, usgb, swapFloatDayCount, swapFloatBusinessDay, quarterly, 2, simpleNameSecurityId("USD LIBOR 3m"), usgb, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_6M_SWAP")), "USD_6M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
swapFixedPaymentFrequency, 2, usgb, swapFloatDayCount, swapFloatBusinessDay, semiAnnual, 2, simpleNameSecurityId("USD LIBOR 6m"), usgb, true);
final int publicationLag = 1;
// Fed Fund effective
utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("USDFF"), simpleNameSecurityId("USD FF EFFECTIVE")),
"USD FF EFFECTIVE", act360, following, Period.ofDays(1), 2, false, us, publicationLag);
// OIS swap
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_OIS_SWAP")), "USD_OIS_SWAP", thirty360, modified, annual, 2, usgb, thirty360,
modified, annual, 2, simpleNameSecurityId("USD FF EFFECTIVE"), usgb, true, publicationLag);
// FRA conventions are stored as IRS
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_3M_FRA")), "USD_3M_FRA", thirty360, modified, quarterly, 2, usgb, act360,
modified, quarterly, 2, simpleNameSecurityId("USD LIBOR 3m"), usgb, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_6M_FRA")), "USD_6M_FRA", thirty360, modified, semiAnnual, 2, usgb, act360,
modified, semiAnnual, 2, simpleNameSecurityId("USD LIBOR 6m"), usgb, true);
}
public static void addCAPMConvention(final ConventionBundleMaster conventionMaster) {
Validate.notNull(conventionMaster, "convention master");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("USD_CAPM")), "USD_CAPM",
ExternalIdBundle.of(syntheticSecurityId("USDLIBORP3M")), ExternalIdBundle.of(syntheticSecurityId("SPX")));
}
/**
* Adds conventions for US Treasury bonds,
* @param conventionMaster The convention master, not null
*/
public static void addTreasuryBondConvention(final ConventionBundleMaster conventionMaster) {
ArgumentChecker.notNull(conventionMaster, "convention master");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("US_TREASURY_BOND_CONVENTION")), "US_TREASURY_BOND_CONVENTION", true, true, 0, 1,
true);
}
}