/**
* Adds conventions for deposits, implied deposits and cash.
*
* @param conventionMaster The convention master, not null
*/
public static synchronized void addFixedIncomeInstrumentConventions(
final ConventionBundleMaster conventionMaster) {
ArgumentChecker.notNull(conventionMaster, "convention master");
final BusinessDayConvention following = BusinessDayConventions.FOLLOWING;
final BusinessDayConvention modified = BusinessDayConventions.MODIFIED_FOLLOWING;
final DayCount act360 = DayCounts.ACT_360;
final DayCount act365 = DayCounts.ACT_365;
final Frequency quarterly =
SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
final ExternalId kr = ExternalSchemes.financialRegionId("KR");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
for (int i = 1; i < 3; i++) {
final String dayDepositName = "KRW DEPOSIT " + i + "d";
final ExternalId dayBbgDeposit = bloombergTickerSecurityId("KWDR" + i + "T Curncy");
final ExternalId daySimpleDeposit = simpleNameSecurityId(dayDepositName);
final String weekDepositName = "KRW DEPOSIT " + i + "w";
final ExternalId weekBbgDeposit = bloombergTickerSecurityId("KWDR" + i + "Z Curncy");
final ExternalId weekSimpleDeposit = simpleNameSecurityId(weekDepositName);
utils.addConventionBundle(
ExternalIdBundle.of(dayBbgDeposit, daySimpleDeposit),
dayDepositName,
act360,
following,
Period.ofDays(i),
0,
false,
kr);
utils.addConventionBundle(
ExternalIdBundle.of(weekBbgDeposit, weekSimpleDeposit),
weekDepositName,
act360,
following,
Period.ofDays(i * 7),
0,
false,
kr);
}
for (int i = 1; i < 12; i++) {
final String depositName = "KRW DEPOSIT " + i + "m";
final ExternalId bbgDeposit =
bloombergTickerSecurityId("KWDR" + BBG_MONTH_CODES[i - 1] + " Curncy");
final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
final String impliedDepositName = "KRW IMPLIED DEPOSIT " + i + "m";
final ExternalId tullettImpliedDeposit =
tullettPrebonSecurityId("AMIDPKRWSPT" + (i < 10 ? "0" : "") + i + "M");
final ExternalId simpleImpliedDeposit = simpleNameSecurityId(impliedDepositName);
utils.addConventionBundle(
ExternalIdBundle.of(bbgDeposit, simpleDeposit),
depositName,
act360,
following,
Period.ofMonths(i),
0,
false,
kr);
utils.addConventionBundle(
ExternalIdBundle.of(tullettImpliedDeposit, simpleImpliedDeposit),
impliedDepositName,
act360,
following,
Period.ofMonths(i),
0,
false,
kr);
}
for (int i = 1; i < 5; i++) {
if (i == 1) {
final String depositName = "KRW IMPLIED DEPOSIT 1y";
final ExternalId tullettImpliedDeposit = tullettPrebonSecurityId("AMIDPKRWSPT12M");
final ExternalId simpleImpliedDeposit = simpleNameSecurityId(depositName);
utils.addConventionBundle(
ExternalIdBundle.of(tullettImpliedDeposit, simpleImpliedDeposit),
depositName,
act360,
following,
Period.ofYears(1),
0,
false,
kr);
}
final String depositName = "KRW DEPOSIT " + i + "y";
final ExternalId bbgDeposit = bloombergTickerSecurityId("KWDR" + i + " Curncy");
final ExternalId simpleDeposit = simpleNameSecurityId(depositName);
utils.addConventionBundle(
ExternalIdBundle.of(bbgDeposit, simpleDeposit),
depositName,
act360,
following,
Period.ofYears(i),
0,
false,
kr);
}
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("KWCDC Curncy"),
bloombergTickerSecurityId("KWCDC Index"),
simpleNameSecurityId("KRW SWAP FIXING 3m")),
"KRW SWAP FIXING 3m",
act365,
modified,
Period.ofMonths(3),
0,
false,
kr);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("KRW_SWAP")),
"KRW_SWAP",
act365,
modified,
quarterly,
2,
kr,
act365,
modified,
quarterly,
2,
simpleNameSecurityId("KRW SWAP FIXING 3m"),
kr,
true);
}
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 act365 = DayCountFactory.INSTANCE.getDayCount("Actual/365");
final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);
final Frequency semiAnnual =
SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
final Frequency quarterly =
SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
final ExternalId ca = ExternalSchemes.financialRegionId("CA");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
// TODO looked at BSYM and the codes seem right but need to check
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD00O/N Index"), simpleNameSecurityId("CAD LIBOR O/N")),
"CAD LIBOR O/N",
act360,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD00S/N Index"), simpleNameSecurityId("CAD LIBOR S/N")),
"CAD LIBOR S/N",
act360,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD00T/N Index"), simpleNameSecurityId("CAD LIBOR T/N")),
"CAD LIBOR T/N",
act360,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0001W Index"), simpleNameSecurityId("CAD LIBOR 1w")),
"CAD LIBOR 1w",
act360,
following,
Period.ofDays(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0002W Index"), simpleNameSecurityId("CAD LIBOR 2w")),
"CAD LIBOR 2w",
act360,
following,
Period.ofDays(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0001M Index"), simpleNameSecurityId("CAD LIBOR 1m")),
"CAD LIBOR 1m",
act360,
following,
Period.ofMonths(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0002M Index"), simpleNameSecurityId("CAD LIBOR 2m")),
"CAD LIBOR 2m",
act360,
following,
Period.ofMonths(2),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0003M Index"), simpleNameSecurityId("CAD LIBOR 3m")),
"CAD LIBOR 3m",
act360,
following,
Period.ofMonths(3),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0004M Index"), simpleNameSecurityId("CAD LIBOR 4m")),
"CAD LIBOR 4m",
act360,
following,
Period.ofMonths(4),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0005M Index"), simpleNameSecurityId("CAD LIBOR 5m")),
"CAD LIBOR 5m",
act360,
following,
Period.ofMonths(5),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0006M Index"), simpleNameSecurityId("CAD LIBOR 6m")),
"CAD LIBOR 6m",
act360,
following,
Period.ofMonths(6),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0007M Index"), simpleNameSecurityId("CAD LIBOR 7m")),
"CAD LIBOR 7m",
act360,
following,
Period.ofMonths(7),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0008M Index"), simpleNameSecurityId("CAD LIBOR 8m")),
"CAD LIBOR 8m",
act360,
following,
Period.ofMonths(8),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0009M Index"), simpleNameSecurityId("CAD LIBOR 9m")),
"CAD LIBOR 9m",
act360,
following,
Period.ofMonths(9),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0010M Index"), simpleNameSecurityId("CAD LIBOR 10m")),
"CAD LIBOR 10m",
act360,
following,
Period.ofMonths(10),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0011M Index"), simpleNameSecurityId("CAD LIBOR 11m")),
"CAD LIBOR 11m",
act360,
following,
Period.ofMonths(11),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CD0012M Index"), simpleNameSecurityId("CAD LIBOR 12m")),
"CAD LIBOR 12m",
act360,
following,
Period.ofMonths(12),
2,
false,
ca);
// TODO need to check that these are right for deposit rates
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR1T Curncy"), simpleNameSecurityId("CAD DEPOSIT 1d")),
"CAD DEPOSIT 1d",
act365,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR2T Curncy"), simpleNameSecurityId("CAD DEPOSIT 2d")),
"CAD DEPOSIT 2d",
act365,
following,
Period.ofDays(1),
0,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR3T Curncy"), simpleNameSecurityId("CAD DEPOSIT 3d")),
"CAD DEPOSIT 3d",
act365,
following,
Period.ofDays(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR1Z Curncy"), simpleNameSecurityId("CAD DEPOSIT 1w")),
"CAD DEPOSIT 1w",
act365,
following,
Period.ofDays(7),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR2Z Curncy"), simpleNameSecurityId("CAD DEPOSIT 2w")),
"CAD DEPOSIT 2w",
act365,
following,
Period.ofDays(14),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR3Z Curncy"), simpleNameSecurityId("CAD DEPOSIT 3w")),
"CAD DEPOSIT 3w",
act365,
following,
Period.ofDays(21),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRA Curncy"), simpleNameSecurityId("CAD DEPOSIT 1m")),
"CAD DEPOSIT 1m",
act365,
following,
Period.ofMonths(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRB Curncy"), simpleNameSecurityId("CAD DEPOSIT 2m")),
"CAD DEPOSIT 2m",
act365,
following,
Period.ofMonths(2),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRC Curncy"), simpleNameSecurityId("CAD DEPOSIT 3m")),
"CAD DEPOSIT 3m",
act365,
following,
Period.ofMonths(3),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRD Curncy"), simpleNameSecurityId("CAD DEPOSIT 4m")),
"CAD DEPOSIT 4m",
act365,
following,
Period.ofMonths(4),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRE Curncy"), simpleNameSecurityId("CAD DEPOSIT 5m")),
"CAD DEPOSIT 5m",
act365,
following,
Period.ofMonths(5),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRF Curncy"), simpleNameSecurityId("CAD DEPOSIT 6m")),
"CAD DEPOSIT 6m",
act365,
following,
Period.ofMonths(6),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRG Curncy"), simpleNameSecurityId("CAD DEPOSIT 7m")),
"CAD DEPOSIT 7m",
act365,
following,
Period.ofMonths(7),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRH Curncy"), simpleNameSecurityId("CAD DEPOSIT 8m")),
"CAD DEPOSIT 8m",
act365,
following,
Period.ofMonths(8),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRI Curncy"), simpleNameSecurityId("CAD DEPOSIT 9m")),
"CAD DEPOSIT 9m",
act365,
following,
Period.ofMonths(9),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRJ Curncy"), simpleNameSecurityId("CAD DEPOSIT 10m")),
"CAD DEPOSIT 10m",
act365,
following,
Period.ofMonths(10),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDRK Curncy"), simpleNameSecurityId("CAD DEPOSIT 11m")),
"CAD DEPOSIT 11m",
act365,
following,
Period.ofMonths(11),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR1 Curncy"), simpleNameSecurityId("CAD DEPOSIT 1y")),
"CAD DEPOSIT 1y",
act365,
following,
Period.ofYears(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR2 Curncy"), simpleNameSecurityId("CAD DEPOSIT 2y")),
"CAD DEPOSIT 2y",
act365,
following,
Period.ofYears(2),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR3 Curncy"), simpleNameSecurityId("CAD DEPOSIT 3y")),
"CAD DEPOSIT 3y",
act365,
following,
Period.ofYears(3),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR4 Curncy"), simpleNameSecurityId("CAD DEPOSIT 4y")),
"CAD DEPOSIT 4y",
act365,
following,
Period.ofYears(4),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDDR5 Curncy"), simpleNameSecurityId("CAD DEPOSIT 5y")),
"CAD DEPOSIT 5y",
act365,
following,
Period.ofYears(5),
2,
false,
ca);
// TODO check daycount
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR01 Index"),
bloombergTickerSecurityId("CDOR01 RBC Index"),
simpleNameSecurityId("CDOR 1m")),
"CDOR 1m",
act365,
following,
Period.ofMonths(1),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR02 Index"),
bloombergTickerSecurityId("CDOR02 RBC Index"),
simpleNameSecurityId("CDOR 2m")),
"CDOR 2m",
act365,
following,
Period.ofMonths(2),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR03 Index"),
bloombergTickerSecurityId("CDOR03 RBC Index"),
simpleNameSecurityId("CDOR 3m")),
"CDOR 3m",
act365,
following,
Period.ofMonths(3),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR06 Index"),
bloombergTickerSecurityId("CDOR06 RBC Index"),
simpleNameSecurityId("CDOR 6m")),
"CDOR 6m",
act365,
following,
Period.ofMonths(6),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CDOR12 Index"),
bloombergTickerSecurityId("CDOR12 RBC Index"),
simpleNameSecurityId("CDOR 12m")),
"CDOR 12m",
act365,
following,
Period.ofMonths(12),
2,
false,
ca);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("CAONREPO Index"),
simpleNameSecurityId("RBC OVERNIGHT REPO")),
"RBC OVERNIGHT REPO",
act365,
following,
Period.ofDays(1),
0,
false,
ca,
0);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_SWAP")),
"CAD_SWAP",
act365,
modified,
semiAnnual,
0,
ca,
act365,
modified,
quarterly,
0,
simpleNameSecurityId("CDOR 3m"),
ca,
true);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_1Y_SWAP")),
"CAD_1Y_SWAP",
act365,
modified,
annual,
0,
ca,
act365,
modified,
quarterly,
0,
simpleNameSecurityId("CDOR 3m"),
ca,
true);
// Overnight Index Swap Convention have additional flag, publicationLag
final Integer publicationLag = 1;
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_OIS_SWAP")),
"CAD_OIS_SWAP",
act365,
modified,
annual,
0,
ca,
act365,
modified,
annual,
0,
simpleNameSecurityId("RBC OVERNIGHT REPO"),
ca,
true,
publicationLag);
// TODO check the following details - copied from old CAD_FRA
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_3M_FRA")),
"CAD_3M_FRA",
act365,
following,
quarterly,
2,
ca,
act365,
following,
quarterly,
2,
simpleNameSecurityId("CDOR 3m"),
ca,
false);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("USD_6M_FRA")),
"USD_6M_FRA",
act365,
following,
semiAnnual,
2,
ca,
act365,
following,
semiAnnual,
2,
simpleNameSecurityId("CDOR 6m"),
ca,
false);
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("CAD_FRA")),
"CAD_FRA",
act365,
following,
quarterly,
2,
ca,
act365,
following,
quarterly,
2,
simpleNameSecurityId("CDOR 3m"),
ca,
false);
// TODO according to my information:
// "Floating leg compounded quarterly at CDOR Flat paid semi-annually or annually for 1y"
// Don't know how we're going to put that in
}
/**
* Parses the specified file to populate the master.
*
* @param in the input reader to read, not closed, not null
*/
public void parse(Reader in) {
String name = null;
try {
Map<String, ManageableRegion> regions = new HashMap<String, ManageableRegion>();
Map<UniqueId, Set<String>> subRegions = new HashMap<UniqueId, Set<String>>();
// open CSV file
@SuppressWarnings("resource")
CSVReader reader = new CSVReader(in);
List<String> columns = Arrays.asList(reader.readNext());
// identify columns
final int nameColumnIdx = columns.indexOf(NAME_COLUMN);
final int formalNameColumnIdx = columns.indexOf(FORMAL_NAME_COLUMN);
final int classificationColumnIdx = columns.indexOf(CLASSIFICATION_COLUMN);
final int sovereignityColumnIdx = columns.indexOf(SOVEREIGNITY_COLUMN);
final int countryColumnIdx = columns.indexOf(ISO_COUNTRY_2_COLUMN);
final int currencyColumnIdx = columns.indexOf(ISO_CURRENCY_3_COLUMN);
final int subRegionsColumnIdx = columns.indexOf(SUB_REGIONS_COLUMN);
// parse
String[] row = null;
while ((row = reader.readNext()) != null) {
name = row[nameColumnIdx].trim(); // the primary key
String fullName = StringUtils.trimToNull(row[formalNameColumnIdx]);
if (fullName == null) {
fullName = name;
}
RegionClassification classification =
RegionClassification.valueOf(row[classificationColumnIdx].trim());
String sovereignity = StringUtils.trimToNull(row[sovereignityColumnIdx]);
String countryISO = StringUtils.trimToNull(row[countryColumnIdx]);
String currencyISO = StringUtils.trimToNull(row[currencyColumnIdx]);
Set<String> rowSubRegions =
new HashSet<String>(Arrays.asList(row[subRegionsColumnIdx].split(";")));
rowSubRegions = trim(rowSubRegions);
ManageableRegion region = new ManageableRegion();
region.setClassification(classification);
region.setName(name);
region.setFullName(fullName);
if (countryISO != null) {
region.setCountry(Country.of(countryISO));
region.addExternalId(ExternalSchemes.financialRegionId(countryISO)); // TODO: looks odd
}
if (currencyISO != null) {
region.setCurrency(Currency.of(currencyISO));
}
if (sovereignity != null) {
ManageableRegion parent = regions.get(sovereignity);
if (parent == null) {
throw new OpenGammaRuntimeException(
"Cannot find parent '" + sovereignity + "' for '" + name + "'");
}
region.getParentRegionIds().add(parent.getUniqueId());
}
for (Entry<UniqueId, Set<String>> entry : subRegions.entrySet()) {
if (entry.getValue().remove(name)) {
region.getParentRegionIds().add(entry.getKey());
}
}
// store
RegionDocument doc = getRegionMaster().add(new RegionDocument(region));
if (rowSubRegions.size() > 0) {
subRegions.put(doc.getUniqueId(), rowSubRegions);
}
regions.put(name, region);
}
for (Set<String> set : subRegions.values()) {
if (set.size() > 0) {
throw new OpenGammaRuntimeException("Cannot find children: " + set);
}
}
} catch (Exception ex) {
String detail = (name != null ? " while processing " + name : "");
throw new OpenGammaRuntimeException(
"Cannot open region data file (or file I/O problem)" + detail, ex);
}
}
public static synchronized void addFixedIncomeInstrumentConventions(
final ConventionBundleMaster conventionMaster) {
ArgumentChecker.notNull(conventionMaster, "convention master");
final BusinessDayConvention following =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
final DayCount act360 = DayCountFactory.INSTANCE.getDayCount("Actual/360");
final ExternalId sg = ExternalSchemes.financialRegionId("TR");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
// TODO need to check that these are right for deposit rates
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR1T Curncy"), simpleNameSecurityId("TRY DEPOSIT 1d")),
"TRY DEPOSIT 1d",
act360,
following,
Period.ofDays(1),
0,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR2T Curncy"), simpleNameSecurityId("TRY DEPOSIT 2d")),
"TRY DEPOSIT 2d",
act360,
following,
Period.ofDays(1),
0,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR3T Curncy"), simpleNameSecurityId("TRY DEPOSIT 3d")),
"TRY DEPOSIT 3d",
act360,
following,
Period.ofDays(1),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR1Z Curncy"), simpleNameSecurityId("TRY DEPOSIT 1w")),
"TRY DEPOSIT 1w",
act360,
following,
Period.ofDays(7),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR2Z Curncy"), simpleNameSecurityId("TRY DEPOSIT 2w")),
"TRY DEPOSIT 2w",
act360,
following,
Period.ofDays(14),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR3Z Curncy"), simpleNameSecurityId("TRY DEPOSIT 3w")),
"TRY DEPOSIT 3w",
act360,
following,
Period.ofDays(21),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRA Curncy"), simpleNameSecurityId("TRY DEPOSIT 1m")),
"TRY DEPOSIT 1m",
act360,
following,
Period.ofMonths(1),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRB Curncy"), simpleNameSecurityId("TRY DEPOSIT 2m")),
"TRY DEPOSIT 2m",
act360,
following,
Period.ofMonths(2),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRC Curncy"), simpleNameSecurityId("TRY DEPOSIT 3m")),
"TRY DEPOSIT 3m",
act360,
following,
Period.ofMonths(3),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRD Curncy"), simpleNameSecurityId("TRY DEPOSIT 4m")),
"TRY DEPOSIT 4m",
act360,
following,
Period.ofMonths(4),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRE Curncy"), simpleNameSecurityId("TRY DEPOSIT 5m")),
"TRY DEPOSIT 5m",
act360,
following,
Period.ofMonths(5),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRF Curncy"), simpleNameSecurityId("TRY DEPOSIT 6m")),
"TRY DEPOSIT 6m",
act360,
following,
Period.ofMonths(6),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRG Curncy"), simpleNameSecurityId("TRY DEPOSIT 7m")),
"TRY DEPOSIT 7m",
act360,
following,
Period.ofMonths(7),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRH Curncy"), simpleNameSecurityId("TRY DEPOSIT 8m")),
"TRY DEPOSIT 8m",
act360,
following,
Period.ofMonths(8),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRI Curncy"), simpleNameSecurityId("TRY DEPOSIT 9m")),
"TRY DEPOSIT 9m",
act360,
following,
Period.ofMonths(9),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRJ Curncy"), simpleNameSecurityId("TRY DEPOSIT 10m")),
"TRY DEPOSIT 10m",
act360,
following,
Period.ofMonths(10),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDRK Curncy"), simpleNameSecurityId("TRY DEPOSIT 11m")),
"TRY DEPOSIT 11m",
act360,
following,
Period.ofMonths(11),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR1 Curncy"), simpleNameSecurityId("TRY DEPOSIT 1y")),
"TRY DEPOSIT 1y",
act360,
following,
Period.ofYears(1),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR2 Curncy"), simpleNameSecurityId("TRY DEPOSIT 2y")),
"TRY DEPOSIT 2y",
act360,
following,
Period.ofYears(2),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR3 Curncy"), simpleNameSecurityId("TRY DEPOSIT 3y")),
"TRY DEPOSIT 3y",
act360,
following,
Period.ofYears(3),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR4 Curncy"), simpleNameSecurityId("TRY DEPOSIT 4y")),
"TRY DEPOSIT 4y",
act360,
following,
Period.ofYears(4),
2,
false,
sg);
utils.addConventionBundle(
ExternalIdBundle.of(
bloombergTickerSecurityId("TYDR5 Curncy"), simpleNameSecurityId("TRY DEPOSIT 5y")),
"TRY DEPOSIT 5y",
act360,
following,
Period.ofYears(5),
2,
false,
sg);
}
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 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 ch = ExternalSchemes.financialRegionId("CH");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
// TODO check that it's actually libor that we need
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF00O/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR O/N")),
"CHF LIBOR O/N",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF00S/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR S/N")),
"CHF LIBOR S/N",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF00T/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR T/N")),
"CHF LIBOR T/N",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0001W Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 1w")),
"CHF LIBOR 1w",
act360,
following,
Period.ofDays(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0002W Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 2w")),
"CHF LIBOR 2w",
act360,
following,
Period.ofDays(14),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0001M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 1m")),
"CHF LIBOR 1m",
act360,
following,
Period.ofMonths(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0002M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 2m")),
"CHF LIBOR 2m",
act360,
following,
Period.ofMonths(2),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0003M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 3m")),
"CHF LIBOR 3m",
act360,
following,
Period.ofMonths(3),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0004M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 4m")),
"CHF LIBOR 4m",
act360,
following,
Period.ofMonths(4),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0005M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 5m")),
"CHF LIBOR 5m",
act360,
following,
Period.ofMonths(5),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0006M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 6m"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFLIBORP6M")),
"CHF LIBOR 6m",
act360,
following,
Period.ofMonths(6),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0007M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 7m")),
"CHF LIBOR 7m",
act360,
following,
Period.ofMonths(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0008M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 8m")),
"CHF LIBOR 8m",
act360,
following,
Period.ofMonths(8),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0009M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 9m")),
"CHF LIBOR 9m",
act360,
following,
Period.ofMonths(9),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0010M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 10m")),
"CHF LIBOR 10m",
act360,
following,
Period.ofMonths(10),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0011M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 11m")),
"CHF LIBOR 11m",
act360,
following,
Period.ofMonths(11),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SF0012M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 12m")),
"CHF LIBOR 12m",
act360,
following,
Period.ofMonths(12),
2,
false,
ch);
// TODO need to check that these are right for deposit rates
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR1T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 1d")),
"CHF DEPOSIT 1d",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR2T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 2d")),
"CHF DEPOSIT 2d",
act360,
following,
Period.ofDays(1),
1,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR3T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 3d")),
"CHF DEPOSIT 3d",
act360,
following,
Period.ofDays(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR1Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 1w")),
"CHF DEPOSIT 1w",
act360,
following,
Period.ofDays(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR2Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 2w")),
"CHF DEPOSIT 2w",
act360,
following,
Period.ofDays(14),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR3Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 3w")),
"CHF DEPOSIT 3w",
act360,
following,
Period.ofDays(21),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRA Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 1m")),
"CHF DEPOSIT 1m",
act360,
following,
Period.ofMonths(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRB Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 2m")),
"CHF DEPOSIT 2m",
act360,
following,
Period.ofMonths(2),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRC Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 3m")),
"CHF DEPOSIT 3m",
act360,
following,
Period.ofMonths(3),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRD Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 4m")),
"CHF DEPOSIT 4m",
act360,
following,
Period.ofMonths(4),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRE Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 5m")),
"CHF DEPOSIT 5m",
act360,
following,
Period.ofMonths(5),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRF Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 6m")),
"CHF DEPOSIT 6m",
act360,
following,
Period.ofMonths(6),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRG Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 7m")),
"CHF DEPOSIT 7m",
act360,
following,
Period.ofMonths(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRH Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 8m")),
"CHF DEPOSIT 8m",
act360,
following,
Period.ofMonths(8),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRI Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 9m")),
"CHF DEPOSIT 9m",
act360,
following,
Period.ofMonths(9),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRJ Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 10m")),
"CHF DEPOSIT 10m",
act360,
following,
Period.ofMonths(10),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDRK Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 11m")),
"CHF DEPOSIT 11m",
act360,
following,
Period.ofMonths(11),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR1 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 1y")),
"CHF DEPOSIT 1y",
act360,
following,
Period.ofYears(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR2 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 2y")),
"CHF DEPOSIT 2y",
act360,
following,
Period.ofYears(2),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR3 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 3y")),
"CHF DEPOSIT 3y",
act360,
following,
Period.ofYears(3),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR4 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 4y")),
"CHF DEPOSIT 4y",
act360,
following,
Period.ofYears(4),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("SFDR5 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF DEPOSIT 5y")),
"CHF DEPOSIT 5y",
act360,
following,
Period.ofYears(5),
2,
false,
ch);
// TODO check reference rate
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_SWAP")),
"CHF_SWAP",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
semiAnnual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 6m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_3M_SWAP")),
"CHF_3M_SWAP",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
quarterly,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 3m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_6M_SWAP")),
"CHF_6M_SWAP",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
semiAnnual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 6m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_3M_FRA")),
"CHF_3M_FRA",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
quarterly,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 3m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_6M_FRA")),
"CHF_6M_FRA",
thirty360,
modified,
annual,
2,
ch,
act360,
modified,
semiAnnual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF LIBOR 6m"),
ch,
true);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, IndexType.Libor + "_CHF_P3M")),
IndexType.Libor + "_CHF_P3M",
thirty360,
modified,
null,
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, IndexType.Libor + "_CHF_P6M")),
IndexType.Libor + "_CHF_P6M",
thirty360,
modified,
null,
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, IndexType.Euribor + "_CHF_P3M")),
IndexType.Euribor + "_CHF_P3M",
thirty360,
modified,
null,
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, IndexType.Euribor + "_CHF_P6M")),
IndexType.Euribor + "_CHF_P6M",
thirty360,
modified,
null,
2,
false,
ch);
// Overnight Index Swap Convention have additional flag, publicationLag
final Integer publicationLagON = 0; // TODO CASE PublicationLag CHF - Confirm 0
// CHF Overnight Index
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalSchemes.bloombergTickerSecurityId("TOISTOIS Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF TOISTOIS")),
"CHF TOIS TOIS",
act360,
following,
Period.ofDays(1),
2,
false,
ch,
publicationLagON);
// OIS
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_OIS_SWAP")),
"CHF_OIS_SWAP",
act360,
modified,
annual,
2,
ch,
act360,
modified,
annual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF TOISTOIS"),
ch,
true,
publicationLagON);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHF_IBOR_INDEX")),
"CHF_IBOR_INDEX",
act360,
following,
2,
false);
// Identifiers for external data
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP1D"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP1D")),
"CHFCASHP1D",
act360,
following,
Period.ofDays(1),
0,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP1M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP1M")),
"CHFCASHP1M",
act360,
modified,
Period.ofMonths(1),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP2M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP2M")),
"CHFCASHP2M",
act360,
modified,
Period.ofMonths(2),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP3M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP3M")),
"CHFCASHP3M",
act360,
modified,
Period.ofMonths(3),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP4M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP4M")),
"CHFCASHP4M",
act360,
modified,
Period.ofMonths(4),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP5M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP5M")),
"CHFCASHP5M",
act360,
modified,
Period.ofMonths(5),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP6M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP6M")),
"CHFCASHP6M",
act360,
modified,
Period.ofMonths(6),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP7M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP7M")),
"CHFCASHP7M",
act360,
modified,
Period.ofMonths(7),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP8M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP8M")),
"CHFCASHP8M",
act360,
modified,
Period.ofMonths(8),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP9M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP9M")),
"CHFCASHP9M",
act360,
modified,
Period.ofMonths(9),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP10M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP10M")),
"CHFCASHP10M",
act360,
modified,
Period.ofMonths(10),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP11M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP11M")),
"CHFCASHP11M",
act360,
modified,
Period.ofMonths(11),
2,
false,
ch);
utils.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "CHFCASHP12M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "CHFCASHP12M")),
"CHFCASHP12M",
act360,
modified,
Period.ofMonths(12),
2,
false,
ch);
}
