// -------------------------------------------------------------------------
@SuppressWarnings({"rawtypes", "unchecked"})
@Test
public void testSearchBonds() {
BondSecurity target =
new GovernmentBondSecurity(
"US TREASURY N/B",
"Government",
"US",
"Treasury",
Currency.USD,
YieldConventionFactory.INSTANCE.getYieldConvention("US Treasury equivalent"),
new Expiry(zdt(2011, 2, 1, 12, 0, 0, 0, ZoneOffset.UTC)),
"",
200,
SimpleFrequencyFactory.INSTANCE.getFrequency(SimpleFrequency.SEMI_ANNUAL_NAME),
DayCountFactory.INSTANCE.getDayCount("Actual/Actual"),
zdt(2011, 2, 1, 12, 0, 0, 0, ZoneOffset.UTC),
zdt(2011, 2, 1, 12, 0, 0, 0, ZoneOffset.UTC),
zdt(2011, 2, 1, 12, 0, 0, 0, ZoneOffset.UTC),
100d,
100000000,
5000,
1000,
100,
100);
target.setExternalIdBundle(ExternalIdBundle.of(ExternalId.of("A", "B")));
Collection targetColl = ImmutableList.<Security>of(target);
when(_underlying.getBondsWithIssuerName(eq("US TREASURY N/B"))).thenReturn(targetColl);
Response test = _resource.searchBonds("US TREASURY N/B");
assertEquals(Status.OK.getStatusCode(), test.getStatus());
assertEquals(FudgeListWrapper.of(targetColl), test.getEntity());
}
@BeforeMethod
public void configureService() {
MockFinancialSecuritySource securitySource = new MockFinancialSecuritySource();
ExternalId secId1 = ExternalId.of(ExternalScheme.of("d1"), "v1");
ExternalId secId2 = ExternalId.of(ExternalScheme.of("d2"), "v2");
MockSecurity sec1 = new MockSecurity("t1");
sec1.setExternalIdBundle(ExternalIdBundle.of(secId1));
sec1.setSecurityType("BOND");
securitySource.addSecurity(sec1);
MockSecurity sec2 = new MockSecurity("t2");
sec2.setExternalIdBundle(ExternalIdBundle.of(secId2));
securitySource.addSecurity(sec2);
BondSecurity bondSec =
new GovernmentBondSecurity(
"US TREASURY N/B",
"Government",
"US",
"Treasury",
Currency.USD,
YieldConventionFactory.INSTANCE.getYieldConvention("US Treasury equivalent"),
new Expiry(ZonedDateTime.of(2011, 2, 1, 12, 0, 0, 0, TimeZone.UTC)),
"",
200,
SimpleFrequencyFactory.INSTANCE.getFrequency(SimpleFrequency.SEMI_ANNUAL_NAME),
DayCountFactory.INSTANCE.getDayCount("Actual/Actual"),
ZonedDateTime.of(2011, 2, 1, 12, 0, 0, 0, TimeZone.UTC),
ZonedDateTime.of(2011, 2, 1, 12, 0, 0, 0, TimeZone.UTC),
ZonedDateTime.of(2011, 2, 1, 12, 0, 0, 0, TimeZone.UTC),
100,
100000000,
5000,
1000,
100,
100);
bondSec.setExternalIdBundle(ExternalIdBundle.of(ExternalId.of("A", "B")));
securitySource.addSecurity(bondSec);
getSecuritySourceService().setUnderlying(securitySource);
_uid1 = sec1.getUniqueId();
_uid2 = sec2.getUniqueId();
}
/**
* 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
}
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);
}
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 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 gb = RegionUtils.financialRegionId("GB");
// TODO looked at BSYM and the codes seem right but need to check
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP00O/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR O/N")),
"GBP LIBOR O/N",
act365,
following,
Period.ofDays(1),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP00T/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR T/N")),
"GBP LIBOR T/N",
act365,
following,
Period.ofDays(1),
1,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0001W Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 1w")),
"GBP LIBOR 1w",
act365,
following,
Period.ofDays(7),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0002W Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 2w")),
"GBP LIBOR 2w",
act365,
following,
Period.ofDays(14),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0001M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 1m")),
"GBP LIBOR 1m",
act365,
modified,
Period.ofMonths(1),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0002M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 2m")),
"GBP LIBOR 2m",
act365,
modified,
Period.ofMonths(2),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0003M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 3m"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPLIBORP3M")),
"GBP LIBOR 3m",
act365,
modified,
Period.ofMonths(3),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0004M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 4m")),
"GBP LIBOR 4m",
act365,
modified,
Period.ofMonths(4),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0005M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 5m")),
"GBP LIBOR 5m",
act365,
modified,
Period.ofMonths(5),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0006M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 6m"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPLIBORP6M")),
"GBP LIBOR 6m",
act365,
modified,
Period.ofMonths(6),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0007M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 7m")),
"GBP LIBOR 7m",
act365,
modified,
Period.ofMonths(7),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0008M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 8m")),
"GBP LIBOR 8m",
act365,
modified,
Period.ofMonths(8),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0009M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 9m")),
"GBP LIBOR 9m",
act365,
modified,
Period.ofMonths(9),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0010M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 10m")),
"GBP LIBOR 10m",
act365,
modified,
Period.ofMonths(10),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0011M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 11m")),
"GBP LIBOR 11m",
act365,
modified,
Period.ofMonths(11),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BP0012M Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 12m"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPLIBORP12M")),
"GBP LIBOR 12m",
act365,
modified,
Period.ofMonths(12),
0,
false,
gb);
// TODO need to check that these are right for deposit rates
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR1T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 1d")),
"GBP DEPOSIT 1d",
act365,
following,
Period.ofDays(1),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR2T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 2d")),
"GBP DEPOSIT 2d",
act365,
following,
Period.ofDays(1),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR3T Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 3d")),
"GBP DEPOSIT 3d",
act365,
following,
Period.ofDays(1),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR1Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 1w")),
"GBP DEPOSIT 1w",
act365,
following,
Period.ofDays(7),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR2Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 2w")),
"GBP DEPOSIT 2w",
act365,
following,
Period.ofDays(14),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR3Z Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 3w")),
"GBP DEPOSIT 3w",
act365,
following,
Period.ofDays(21),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRA Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 1m")),
"GBP DEPOSIT 1m",
act365,
following,
Period.ofMonths(1),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRB Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 2m")),
"GBP DEPOSIT 2m",
act365,
following,
Period.ofMonths(2),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRC Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 3m")),
"GBP DEPOSIT 3m",
act365,
following,
Period.ofMonths(3),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRD Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 4m")),
"GBP DEPOSIT 4m",
act365,
following,
Period.ofMonths(4),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRE Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 5m")),
"GBP DEPOSIT 5m",
act365,
following,
Period.ofMonths(5),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRF Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 6m")),
"GBP DEPOSIT 6m",
act365,
following,
Period.ofMonths(6),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRG Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 7m")),
"GBP DEPOSIT 7m",
act365,
following,
Period.ofMonths(7),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRH Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 8m")),
"GBP DEPOSIT 8m",
act365,
following,
Period.ofMonths(8),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRI Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 9m")),
"GBP DEPOSIT 9m",
act365,
following,
Period.ofMonths(9),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRJ Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 10m")),
"GBP DEPOSIT 10m",
act365,
following,
Period.ofMonths(10),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDRK Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 11m")),
"GBP DEPOSIT 11m",
act365,
following,
Period.ofMonths(11),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR1 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 1y")),
"GBP DEPOSIT 1y",
act365,
following,
Period.ofYears(1),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR2 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 2y")),
"GBP DEPOSIT 2y",
act365,
following,
Period.ofYears(2),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR3 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 3y")),
"GBP DEPOSIT 3y",
act365,
following,
Period.ofYears(3),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR4 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 4y")),
"GBP DEPOSIT 4y",
act365,
following,
Period.ofYears(4),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("BPDR5 Curncy"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP DEPOSIT 5y")),
"GBP DEPOSIT 5y",
act365,
following,
Period.ofYears(5),
2,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_SWAP")),
"GBP_SWAP",
act365,
modified,
semiAnnual,
0,
gb,
act365,
modified,
semiAnnual,
0,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 6m"),
gb,
true);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_3M_SWAP")),
"GBP_3M_SWAP",
act365,
modified,
annual,
0,
gb,
act365,
modified,
quarterly,
0,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 3m"),
gb,
true);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_6M_SWAP")),
"GBP_6M_SWAP",
act365,
modified,
semiAnnual,
0,
gb,
act365,
modified,
semiAnnual,
0,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 6m"),
gb,
true);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_3M_FRA")),
"GBP_3M_FRA",
act365,
modified,
annual,
0,
gb,
act365,
modified,
quarterly,
0,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 3m"),
gb,
true);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_6M_FRA")),
"GBP_6M_FRA",
act365,
modified,
semiAnnual,
0,
gb,
act365,
modified,
semiAnnual,
0,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 6m"),
gb,
true);
//
// conventionMaster.addConventionBundle(ExternalIdBundle.of(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_1Y_SWAP")), "GBP_1Y_SWAP", act365, modified, quarterly, 0, gb,
// act365, modified, quarterly, 0,
// ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP LIBOR 3m"), gb, true);
// Overnight Index Swap Convention have additional flag, publicationLag
final Integer publicationLagON = 0;
// SONIA
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
SecurityUtils.bloombergTickerSecurityId("SONIO/N Index"),
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP SONIO/N")),
"GBP SONIO/N",
act365,
following,
Period.ofDays(1),
0,
false,
gb,
publicationLagON);
// OIS - SONIA
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_OIS_SWAP")),
"GBP_OIS_SWAP",
act365,
modified,
annual,
2,
gb,
act365,
modified,
annual,
2,
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP SONIO/N"),
gb,
true,
publicationLagON);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_OIS_CASH")),
"GBP_OIS_CASH",
act365,
following,
null,
0,
false,
gb,
publicationLagON);
// TODO sort out the swap names so that they are consistent
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBP_IBOR_INDEX")),
"GBP_IBOR_INDEX",
act365,
modified,
0,
false);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP1D"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP1D")),
"GBPCASHP1D",
act365,
following,
Period.ofDays(1),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP1M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP1M")),
"GBPCASHP1M",
act365,
modified,
Period.ofMonths(1),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP2M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP2M")),
"GBPCASHP2M",
act365,
modified,
Period.ofMonths(2),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP3M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP3M")),
"GBPCASHP3M",
act365,
modified,
Period.ofMonths(3),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP4M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP4M")),
"GBPCASHP4M",
act365,
modified,
Period.ofMonths(4),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP5M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP5M")),
"GBPCASHP5M",
act365,
modified,
Period.ofMonths(5),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP6M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP6M")),
"GBPCASHP6M",
act365,
modified,
Period.ofMonths(6),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP7M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP7M")),
"GBPCASHP7M",
act365,
modified,
Period.ofMonths(7),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP8M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP8M")),
"GBPCASHP8M",
act365,
modified,
Period.ofMonths(8),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP9M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP9M")),
"GBPCASHP9M",
act365,
modified,
Period.ofMonths(9),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP10M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP10M")),
"GBPCASHP10M",
act365,
modified,
Period.ofMonths(10),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP11M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP11M")),
"GBPCASHP11M",
act365,
modified,
Period.ofMonths(11),
0,
false,
gb);
conventionMaster.addConventionBundle(
ExternalIdBundle.of(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "GBPCASHP12M"),
ExternalId.of(InMemoryConventionBundleMaster.OG_SYNTHETIC_TICKER, "GBPCASHP12M")),
"GBPCASHP12M",
act365,
modified,
Period.ofMonths(12),
0,
false,
gb);
}
