/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.convention;
import static com.opengamma.core.id.ExternalSchemes.bloombergTickerSecurityId;
import static com.opengamma.core.id.ExternalSchemes.tullettPrebonSecurityId;
import static com.opengamma.financial.convention.InMemoryConventionBundleMaster.simpleNameSecurityId;
import org.threeten.bp.Period;
import com.opengamma.analytics.financial.interestrate.InterestRate;
import com.opengamma.core.id.ExternalSchemes;
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.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.ArgumentChecker;
/**
* Contains information used to construct standard versions of BRL instruments
*/
public class BRConventions {
/** Month codes used by Bloomberg */
private static final char[] BBG_MONTH_CODES = new char[] {'A', 'B', 'C', 'D', 'E', 'F', 'G', 'H', 'I', 'J', 'K'};
/**
* @param conventionMaster The convention master, not null
*/
public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionBundleMaster conventionMaster) {
ArgumentChecker.notNull(conventionMaster, "convention master");
final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
final BusinessDayConvention modifiedFollowing = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
final DayCount bus252 = DayCountFactory.INSTANCE.getDayCount("Business/252");
final Frequency annual = PeriodFrequency.ANNUAL;
final ExternalId br = ExternalSchemes.financialRegionId("BR");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
for (int i = 1; i < 3; i++) {
final String dayDepositName = "BRL DEPOSIT " + i + "d";
final ExternalId dayBbgDeposit = bloombergTickerSecurityId("BCDR" + i + "T Curncy");
final ExternalId daySimpleDeposit = simpleNameSecurityId(dayDepositName);
final String weekDepositName = "BRL DEPOSIT " + i + "w";
final ExternalId weekBbgDeposit = bloombergTickerSecurityId("BCDR" + i + "Z Curncy");
final ExternalId weekSimpleDeposit = simpleNameSecurityId(weekDepositName);
utils.addConventionBundle(ExternalIdBundle.of(dayBbgDeposit, daySimpleDeposit), dayDepositName, bus252, following, Period.ofDays(i), 2, false, br);
utils.addConventionBundle(ExternalIdBundle.of(weekBbgDeposit, weekSimpleDeposit), weekDepositName, bus252, following, Period.ofDays(i * 7), 2, false, br);
}
for (int i = 1; i < 12; i++) {
final String depositName = "BRL DEPOSIT " + i + "m";
final ExternalId bbgDeposit = bloombergTickerSecurityId("BCDR" + BBG_MONTH_CODES[i - 1] + " Curncy");
final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
final String impliedDepositName = "BRL IMPLIED DEPOSIT " + i + "m";
final ExternalId tullettImpliedDeposit = tullettPrebonSecurityId("LMIDPBRLSPT" + (i < 10 ? "0" : "") + i + "M");
final ExternalId simpleImpliedDeposit = simpleNameSecurityId(impliedDepositName);
utils.addConventionBundle(ExternalIdBundle.of(bbgDeposit, simpleDeposit), depositName, bus252, following, Period.ofMonths(i), 2, false, br);
utils.addConventionBundle(ExternalIdBundle.of(tullettImpliedDeposit, simpleImpliedDeposit), impliedDepositName, bus252, following, Period.ofMonths(i), 2, false, br);
}
for (int i = 1; i < 2; i++) {
final String depositName = "BRL DEPOSIT " + i + "y";
final ExternalId bbgDeposit = bloombergTickerSecurityId("BCDR" + i + " Curncy");
final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
utils.addConventionBundle(ExternalIdBundle.of(bbgDeposit, simpleDeposit), depositName, bus252, following, Period.ofYears(i), 2, false, br);
}
final DayCount swapFixedLegDayCount = DayCountFactory.INSTANCE.getDayCount("Bus/252");
final BusinessDayConvention swapFixedLegBusinessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
final Frequency swapFixedLegPaymentFrequency = PeriodFrequency.ANNUAL;
final int swapFixedLegSettlementDays = 2;
final ExternalId swapFixedLegRegion = br;
final Frequency swapFixedLegCompoundingFrequency = PeriodFrequency.DAILY;
final InterestRate.Type swapFixedLegCompoundingType = InterestRate.Type.CONTINUOUS;
final DayCount swapFloatingLegDayCount = DayCountFactory.INSTANCE.getDayCount("Bus/252");
final BusinessDayConvention swapFloatingLegBusinessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
final Frequency swapFloatingLegPaymentFrequency = PeriodFrequency.ANNUAL;
final int swapFloatingLegSettlementDays = 2;
final ExternalId swapFloatingLegInitialRate = bloombergTickerSecurityId("BZDIOVRA Index");
final ExternalId swapFloatingLegRegion = br;
final Frequency swapFloatingLegCompoundingFrequency = PeriodFrequency.DAILY;
final InterestRate.Type swapFloatingLegCompoundingType = InterestRate.Type.CONTINUOUS;
final boolean isEOM = true;
utils.addConventionBundle(
ExternalIdBundle.of(bloombergTickerSecurityId("BZDIOVRA Index"), simpleNameSecurityId("Brazil Cetip Interbank Deposit Rate")),
"Brazil Cetip Interbank Deposit Rate", bus252, following, Period.ofDays(1), 0, false, br, 0);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("BRL_DI_SWAP")), "BRL_DI_SWAP", swapFixedLegDayCount, swapFixedLegBusinessDayConvention, swapFixedLegPaymentFrequency,
swapFixedLegSettlementDays, swapFixedLegRegion, swapFixedLegCompoundingFrequency, swapFixedLegCompoundingType, swapFloatingLegDayCount, swapFloatingLegBusinessDayConvention,
swapFloatingLegPaymentFrequency, swapFloatingLegSettlementDays, swapFloatingLegCompoundingFrequency, swapFloatingLegCompoundingType, swapFloatingLegInitialRate, swapFloatingLegRegion, isEOM);
}
}