/**
* 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.financial.convention.InMemoryConventionBundleMaster.simpleNameSecurityId;
import org.threeten.bp.Period;
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.SimpleFrequencyFactory;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class INConventions {
/** 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 modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
final DayCount act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
final ExternalId in = ExternalSchemes.financialRegionId("IN");
final Integer overnightPublicationLag = 0;
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
for (int i = 1; i < 3; i++) {
final String dayDepositName = "INR DEPOSIT " + i + "d";
final ExternalId dayBbgDeposit = bloombergTickerSecurityId("IRDR" + i + "T Curncy");
final ExternalId daySimpleDeposit = simpleNameSecurityId(dayDepositName);
final String weekDepositName = "INR DEPOSIT " + i + "w";
final ExternalId weekBbgDeposit = bloombergTickerSecurityId("IRDR" + i + "Z Curncy");
final ExternalId weekSimpleDeposit = simpleNameSecurityId(weekDepositName);
utils.addConventionBundle(ExternalIdBundle.of(dayBbgDeposit, daySimpleDeposit), dayDepositName, act365, following, Period.ofDays(i), 0, false, in);
utils.addConventionBundle(ExternalIdBundle.of(weekBbgDeposit, weekSimpleDeposit), weekDepositName, act365, following, Period.ofDays(i * 7), 0, false, in);
}
for (int i = 1; i < 12; i++) {
final String depositName = "INR DEPOSIT " + i + "m";
final ExternalId bbgDeposit = bloombergTickerSecurityId("IRDR" + BBG_MONTH_CODES[i - 1] + " Curncy");
final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
utils.addConventionBundle(ExternalIdBundle.of(bbgDeposit, simpleDeposit), depositName, act365, following, Period.ofMonths(i), 0, false, in);
}
for (int i = 1; i < 2; i++) {
final String depositName = "INR DEPOSIT " + i + "y";
final ExternalId bbgDeposit = bloombergTickerSecurityId("IRDR" + i + " Curncy");
final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
utils.addConventionBundle(ExternalIdBundle.of(bbgDeposit, simpleDeposit), depositName, act365, following, Period.ofYears(i), 0, false, in);
}
// IR FUTURES
utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "INR_IR_FUTURE")), "INR_IR_FUTURE", act365, modified, Period.ofMonths(3),
0, true, in);
utils.addConventionBundle(ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("IRNI6M Curncy"), ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "INR SWAP INDEX")),
"INR SWAP INDEX", act365, modified, Period.ofMonths(6), 0, true, in);
utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "INR_SWAP")), "INR_SWAP", act365, modified, semiAnnual, 0, in, act365,
modified, semiAnnual, 0, ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "INR SWAP INDEX"), in, true);
utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "INR_6M_SWAP")), "INR_6M_SWAP", act365, modified, semiAnnual, 0, in, act365,
modified, semiAnnual, 0, ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "INR SWAP INDEX"), in, true);
utils.addConventionBundle(ExternalIdBundle.of(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "INR_OIS_SWAP")), "INR_OIS_SWAP", act365, modified, annual, 0, in,
act365, modified, annual, 0, ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "INR OVERNIGHT CASH RATE"), in, true, overnightPublicationLag);
utils.addConventionBundle(ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("NSERO Index"), ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
"INR OVERNIGHT CASH RATE")), "INR OVERNIGHT CASH RATE", act365, following, Period.ofDays(1), 0, false, in, 0);
}
}