public static Set<ValueRequirement> buildRequirements(
final InterpolatedYieldCurveSpecification specification,
final FunctionCompilationContext context) {
final Set<ValueRequirement> result = new HashSet<ValueRequirement>();
for (final FixedIncomeStripWithIdentifier strip : specification.getStrips()) {
result.add(
new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, strip.getSecurity()));
}
final ConventionBundleSource conventionBundleSource =
OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionBundle conventionBundle =
conventionBundleSource.getConventionBundle(
Identifier.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
specification.getCurrency().getCode() + "_SWAP"));
final ConventionBundle referenceRateConvention =
conventionBundleSource.getConventionBundle(
IdentifierBundle.of(conventionBundle.getSwapFloatingLegInitialRate()));
final Identifier initialRefRateId =
SecurityUtils.bloombergTickerSecurityId(
referenceRateConvention.getIdentifiers().getIdentifier(SecurityUtils.BLOOMBERG_TICKER));
result.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, initialRefRateId));
return Collections.unmodifiableSet(result);
}
// -------------------------------------------------------------------------
@Override
protected ManageableSecurity createSecurity(FudgeMsg fieldData) {
String expiryDate = fieldData.getString(FIELD_FUT_LAST_TRADE_DT);
String futureTradingHours = fieldData.getString(FIELD_FUT_TRADING_HRS);
String micExchangeCode = fieldData.getString(FIELD_ID_MIC_PRIM_EXCH);
String currencyStr = fieldData.getString(FIELD_CRNCY);
String underlyingTicker = fieldData.getString(FIELD_UNDL_SPOT_TICKER);
String name = fieldData.getString(FIELD_FUT_LONG_NAME);
String bbgUnique = fieldData.getString(FIELD_ID_BBG_UNIQUE);
String marketSector = fieldData.getString(FIELD_MARKET_SECTOR_DES);
String unitAmount = fieldData.getString(FIELD_FUT_VAL_PT);
if (!isValidField(bbgUnique)) {
s_logger.warn("bbgUnique is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(expiryDate)) {
s_logger.warn("expiry date is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(futureTradingHours)) {
s_logger.warn("futures trading hours is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(micExchangeCode)) {
s_logger.warn("settlement exchange is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(currencyStr)) {
s_logger.info("currency is null, cannot construct EquityFutureSecurity");
return null;
}
ExternalId underlying = null;
if (underlyingTicker != null) {
underlying = SecurityUtils.bloombergTickerSecurityId(underlyingTicker + " " + marketSector);
}
Currency currency = Currency.parse(currencyStr);
Expiry expiry = decodeExpiry(expiryDate, futureTradingHours);
if (expiry == null) {
return null;
}
// FIXME: Case - treatment of Settlement Date
s_logger.warn(
"Creating EquityFutureSecurity - settlementDate set equal to expiryDate. Missing lag.");
ZonedDateTime settlementDate = expiry.getExpiry();
EquityFutureSecurity security =
new EquityFutureSecurity(
expiry,
micExchangeCode,
micExchangeCode,
currency,
Double.valueOf(unitAmount),
settlementDate,
underlying);
if (isValidField(name)) {
security.setName(BloombergDataUtils.removeDuplicateWhiteSpace(name, " "));
}
// set identifiers
parseIdentifiers(fieldData, security);
return security;
}
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);
}