/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.convention.percurrency;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.DEPOSIT_ON;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.FIXED_LEG;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.ON_CMP_LEG;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.OVERNIGHT;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.PAY_LAG;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.SCHEME_NAME;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.TENOR_STR_1Y;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.TENOR_STR_3M;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.TENOR_STR_6M;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.getConventionName;
import static com.opengamma.financial.convention.percurrency.PerCurrencyConventionHelper.getIds;
import org.threeten.bp.LocalTime;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.financial.convention.Convention;
import com.opengamma.financial.convention.DepositConvention;
import com.opengamma.financial.convention.IborIndexConvention;
import com.opengamma.financial.convention.InMemoryConventionMaster;
import com.opengamma.financial.convention.OISLegConvention;
import com.opengamma.financial.convention.OvernightIndexConvention;
import com.opengamma.financial.convention.StubType;
import com.opengamma.financial.convention.SwapFixedLegConvention;
import com.opengamma.financial.convention.VanillaIborLegConvention;
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.id.ExternalId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Tenor;
/**
* The conventions for EUR.
* FIXME: This is a temporary in-code convention master. This should be moved to database before going to production.
*/
public class AUConventions {
private static final BusinessDayConvention MODIFIED_FOLLOWING = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
private static final BusinessDayConvention FOLLOWING = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
private static final DayCount ACT_365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
private static final ExternalId AU = ExternalSchemes.financialRegionId("AU");
/** The BBSW string **/
public static final String BBSW = "BBSW";
/** The BBSW leg string **/
public static final String BBSW_LEG = "BBSW Leg";
public static synchronized void addFixedIncomeInstrumentConventions(final InMemoryConventionMaster conventionMaster) {
// Index Overnight
final String onIndexName = getConventionName(Currency.AUD, OVERNIGHT);
final ExternalId onIndexId = ExternalId.of(SCHEME_NAME, onIndexName);
final Convention onIndex = new OvernightIndexConvention(onIndexName, getIds(Currency.AUD, OVERNIGHT), ACT_365, 0, Currency.AUD, AU);
// Index BBSW
final String bbswConventionName = getConventionName(Currency.AUD, BBSW);
final Convention bbswIndex = new IborIndexConvention(bbswConventionName, getIds(Currency.AUD, BBSW), ACT_365, MODIFIED_FOLLOWING, 2, true, Currency.AUD,
LocalTime.of(11, 00), "AU", AU, AU, "");
final ExternalId bbswConventionId = ExternalId.of(SCHEME_NAME, bbswConventionName);
// Deposit
final String depositONConventionName = getConventionName(Currency.AUD, DEPOSIT_ON);
final DepositConvention depositONConvention = new DepositConvention(depositONConventionName, getIds(Currency.AUD, DEPOSIT_ON), ACT_365, FOLLOWING, 0, false, Currency.AUD, AU);
// Fixed Legs
final String fixedLeg3MConventionName = getConventionName(Currency.AUD, TENOR_STR_3M, FIXED_LEG);
final Convention fixedLeg3MConvention = new SwapFixedLegConvention(fixedLeg3MConventionName, getIds(Currency.AUD, TENOR_STR_3M, FIXED_LEG),
Tenor.THREE_MONTHS, ACT_365, MODIFIED_FOLLOWING, Currency.AUD, AU, 2, true, StubType.SHORT_START, false, 0);
final String fixedLeg6MConventionName = getConventionName(Currency.AUD, TENOR_STR_6M, FIXED_LEG);
final Convention fixedLeg6MConvention = new SwapFixedLegConvention(fixedLeg6MConventionName, getIds(Currency.AUD, TENOR_STR_6M, FIXED_LEG),
Tenor.SIX_MONTHS, ACT_365, MODIFIED_FOLLOWING, Currency.AUD, AU, 2, true, StubType.SHORT_START, false, 0);
final String fixedLeg1YPayLagConventionName = getConventionName(Currency.AUD, TENOR_STR_1Y, PAY_LAG + FIXED_LEG);
final Convention fixedLeg1YPayLagConvention = new SwapFixedLegConvention(fixedLeg1YPayLagConventionName, getIds(Currency.AUD, TENOR_STR_1Y, PAY_LAG + FIXED_LEG),
Tenor.ONE_YEAR, ACT_365, MODIFIED_FOLLOWING, Currency.AUD, AU, 2, true, StubType.SHORT_START, false, 2);
// BBSW Legs
final String bbsw3MLegConventionName = getConventionName(Currency.AUD, TENOR_STR_3M, BBSW_LEG);
final Convention bbsw3MLegConvention = new VanillaIborLegConvention(bbsw3MLegConventionName, getIds(Currency.AUD, TENOR_STR_3M, BBSW_LEG),
bbswConventionId, true, Interpolator1DFactory.LINEAR, Tenor.THREE_MONTHS, 2, true, StubType.SHORT_START, false, 0);
final String bbsw6MLegConventionName = getConventionName(Currency.AUD, TENOR_STR_6M, BBSW_LEG);
final Convention bbsw6MLegConvention = new VanillaIborLegConvention(bbsw6MLegConventionName, getIds(Currency.AUD, TENOR_STR_6M, BBSW_LEG),
bbswConventionId, true, Interpolator1DFactory.LINEAR, Tenor.SIX_MONTHS, 2, true, StubType.SHORT_START, false, 0);
// Overnight Legs
final String onLegConventionName = getConventionName(Currency.AUD, ON_CMP_LEG);
final Convention onLegConvention = new OISLegConvention(onLegConventionName, getIds(Currency.AUD, ON_CMP_LEG), onIndexId,
Tenor.ONE_YEAR, MODIFIED_FOLLOWING, 2, true, StubType.SHORT_START, false, 2);
// Convention add
conventionMaster.add(onIndex);
conventionMaster.add(bbswIndex);
conventionMaster.add(depositONConvention);
conventionMaster.add(fixedLeg3MConvention);
conventionMaster.add(fixedLeg6MConvention);
conventionMaster.add(fixedLeg1YPayLagConvention);
conventionMaster.add(bbsw3MLegConvention);
conventionMaster.add(bbsw6MLegConvention);
conventionMaster.add(onLegConvention);
}
}