/**
* 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.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;
/**
* Contains information used to construct standard versions of NZD instruments.
*/
public class NZConventions {
/**
* Adds conventions for deposit, Libor and swaps
* @param conventionMaster The convention master, not null
*/
public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster 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 quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
final Frequency semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
final ExternalId nz = ExternalSchemes.financialRegionId("NZ");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ00O/N Index"), simpleNameSecurityId("NZD LIBOR O/N")), "NZD LIBOR O/N", act365,
following, Period.ofDays(1), 0, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ00S/N Index"), simpleNameSecurityId("NZD LIBOR S/N"),
tullettPrebonSecurityId("ASLIBNZDSNL")), "NZD LIBOR S/N", act365,
following, Period.ofDays(1), 0, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ00T/N Index"), simpleNameSecurityId("NZD LIBOR T/N")), "NZD LIBOR T/N", act365,
following, Period.ofDays(1), 0, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0001W Index"), simpleNameSecurityId("NZD LIBOR 1w"),
tullettPrebonSecurityId("ASLIBNZD1WL")), "NZD LIBOR 1w", act365,
following, Period.ofDays(1), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0002W Index"), simpleNameSecurityId("NZD LIBOR 2w"),
tullettPrebonSecurityId("ASLIBNZD2WL")), "NZD LIBOR 2w", act365,
following, Period.ofDays(1), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0001M Index"), simpleNameSecurityId("NZD LIBOR 1m"),
tullettPrebonSecurityId("ASLIBNZD01L")), "NZD LIBOR 1m", act365,
following, Period.ofMonths(1), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0002M Index"), simpleNameSecurityId("NZD LIBOR 2m"),
tullettPrebonSecurityId("ASLIBNZD02L")), "NZD LIBOR 2m", act365,
following, Period.ofMonths(2), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0003M Index"), simpleNameSecurityId("NZD LIBOR 3m"),
tullettPrebonSecurityId("ASLIBNZD03L")), "NZD LIBOR 3m", act365,
following, Period.ofMonths(3), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0004M Index"), simpleNameSecurityId("NZD LIBOR 4m"),
tullettPrebonSecurityId("ASLIBNZD04L")), "NZD LIBOR 4m", act365,
following, Period.ofMonths(4), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0005M Index"), simpleNameSecurityId("NZD LIBOR 5m"),
tullettPrebonSecurityId("ASLIBNZD05L")), "NZD LIBOR 5m", act365,
following, Period.ofMonths(5), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0006M Index"), simpleNameSecurityId("NZD LIBOR 6m"),
tullettPrebonSecurityId("ASLIBNZD06L")), "NZD LIBOR 6m", act365,
following, Period.ofMonths(6), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0007M Index"), simpleNameSecurityId("NZD LIBOR 7m"),
tullettPrebonSecurityId("ASLIBNZD07L")), "NZD LIBOR 7m", act365,
following, Period.ofMonths(7), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0008M Index"), simpleNameSecurityId("NZD LIBOR 8m"),
tullettPrebonSecurityId("ASLIBNZD08L")), "NZD LIBOR 8m", act365,
following, Period.ofMonths(8), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0009M Index"), simpleNameSecurityId("NZD LIBOR 9m"),
tullettPrebonSecurityId("ASLIBNZD09L")), "NZD LIBOR 9m", act365,
following, Period.ofMonths(9), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0010M Index"), simpleNameSecurityId("NZD LIBOR 10m"),
tullettPrebonSecurityId("ASLIBNZD10L")), "NZD LIBOR 10m", act365,
following, Period.ofMonths(10), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0011M Index"), simpleNameSecurityId("NZD LIBOR 11m"),
tullettPrebonSecurityId("ASLIBNZD11L")), "NZD LIBOR 11m", act365,
following, Period.ofMonths(11), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZ0012M Index"), simpleNameSecurityId("NZD LIBOR 12m"),
tullettPrebonSecurityId("ASLIBNZD12L")), "NZD LIBOR 12m", act365,
following, Period.ofMonths(12), 2, false, nz);
//TODO need to check that these are right for deposit rates
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR1T Curncy"), simpleNameSecurityId("NZD DEPOSIT 1d")), "NZD DEPOSIT 1d", act365,
following, Period.ofDays(1), 0, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR2T Curncy"), simpleNameSecurityId("NZD DEPOSIT 2d")), "NZD DEPOSIT 2d", act365,
following, Period.ofDays(1), 0, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR3T Curncy"), simpleNameSecurityId("NZD DEPOSIT 3d")), "NZD DEPOSIT 3d", act365,
following, Period.ofDays(1), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR1Z Curncy"), simpleNameSecurityId("NZD DEPOSIT 1w"),
tullettPrebonSecurityId("MNDEPNZDSPT01W")), "NZD DEPOSIT 1w", act365,
following, Period.ofDays(7), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR2Z Curncy"), simpleNameSecurityId("NZD DEPOSIT 2w"),
tullettPrebonSecurityId("MNDEPNZDSPT02W")), "NZD DEPOSIT 2w", act365,
following, Period.ofDays(14), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR3Z Curncy"), simpleNameSecurityId("NZD DEPOSIT 3w"),
tullettPrebonSecurityId("MNDEPNZDSPT03W")), "NZD DEPOSIT 3w", act365,
following, Period.ofDays(21), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRA Curncy"), simpleNameSecurityId("NZD DEPOSIT 1m"),
tullettPrebonSecurityId("MNDEPNZDSPT01M")), "NZD DEPOSIT 1m", act365,
following, Period.ofMonths(1), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRB Curncy"), simpleNameSecurityId("NZD DEPOSIT 2m"),
tullettPrebonSecurityId("MNDEPNZDSPT02M")), "NZD DEPOSIT 2m", act365,
following, Period.ofMonths(2), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRC Curncy"), simpleNameSecurityId("NZD DEPOSIT 3m"),
tullettPrebonSecurityId("MNDEPNZDSPT03M")), "NZD DEPOSIT 3m", act365,
following, Period.ofMonths(3), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRD Curncy"), simpleNameSecurityId("NZD DEPOSIT 4m"),
tullettPrebonSecurityId("MNDEPNZDSPT04M")), "NZD DEPOSIT 4m", act365,
following, Period.ofMonths(4), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRE Curncy"), simpleNameSecurityId("NZD DEPOSIT 5m"),
tullettPrebonSecurityId("MNDEPNZDSPT05M")), "NZD DEPOSIT 5m", act365,
following, Period.ofMonths(5), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRF Curncy"), simpleNameSecurityId("NZD DEPOSIT 6m"),
tullettPrebonSecurityId("MNDEPNZDSPT06M")), "NZD DEPOSIT 6m", act365,
following, Period.ofMonths(6), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRG Curncy"), simpleNameSecurityId("NZD DEPOSIT 7m"),
tullettPrebonSecurityId("MNDEPNZDSPT07M")), "NZD DEPOSIT 7m", act365,
following, Period.ofMonths(7), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRH Curncy"), simpleNameSecurityId("NZD DEPOSIT 8m"),
tullettPrebonSecurityId("MNDEPNZDSPT08M")), "NZD DEPOSIT 8m", act365,
following, Period.ofMonths(8), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRI Curncy"), simpleNameSecurityId("NZD DEPOSIT 9m"),
tullettPrebonSecurityId("MNDEPNZDSPT09M")), "NZD DEPOSIT 9m", act365,
following, Period.ofMonths(9), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRJ Curncy"), simpleNameSecurityId("NZD DEPOSIT 10m"),
tullettPrebonSecurityId("MNDEPNZDSPT10M")), "NZD DEPOSIT 10m", act365,
following, Period.ofMonths(10), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDRK Curncy"), simpleNameSecurityId("NZD DEPOSIT 11m"),
tullettPrebonSecurityId("MNDEPNZDSPT11M")), "NZD DEPOSIT 11m", act365,
following, Period.ofMonths(11), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR1 Curncy"), simpleNameSecurityId("NZD DEPOSIT 1y"),
tullettPrebonSecurityId("MNDEPNZDSPT12M")), "NZD DEPOSIT 1y", act365,
following, Period.ofYears(1), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR2 Curncy"), simpleNameSecurityId("NZD DEPOSIT 2y")), "NZD DEPOSIT 2y", act365,
following, Period.ofYears(2), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR3 Curncy"), simpleNameSecurityId("NZD DEPOSIT 3y")), "NZD DEPOSIT 3y", act365,
following, Period.ofYears(3), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR4 Curncy"), simpleNameSecurityId("NZD DEPOSIT 4y")), "NZD DEPOSIT 4y", act365,
following, Period.ofYears(4), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NDDR5 Curncy"), simpleNameSecurityId("NZD DEPOSIT 5y")), "NZD DEPOSIT 5y", act365,
following, Period.ofYears(5), 2, false, nz);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("NZOCRS Index"), simpleNameSecurityId("RBNZ CASH DAILY RATE")),
"RBNZ CASH DAILY RATE", act365, following, Period.ofDays(1), 0, false, nz, 0); // review publication lag when doing OIS.
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("NZD_SWAP")), "NZD_SWAP", act365, modified, semiAnnual, 2, nz, act365,
modified, quarterly, 2, simpleNameSecurityId("NZD LIBOR 3m"), nz, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("NZD_3M_SWAP")), "NZD_3M_SWAP", act365, modified, semiAnnual, 2, nz,
act365, modified, quarterly, 2, simpleNameSecurityId("NZD LIBOR 3m"), nz, true);
// Overnight Index Swap Convention have additional flag, publicationLag
final Integer publicationLag = 0;
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("NZD_OIS_SWAP")), "NZD_OIS_SWAP", act365, modified, annual, 0, nz,
act365, modified, annual, 0, simpleNameSecurityId("RBNZ CASH DAILY RATE"), nz, true, publicationLag);
}
}