com.opengamma.examples.simulated.convention.SyntheticAUConventions.java Source code

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Here is the source code for com.opengamma.examples.simulated.convention.SyntheticAUConventions.java

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/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.examples.simulated.convention;

import static com.opengamma.core.id.ExternalSchemes.syntheticSecurityId;
import static com.opengamma.financial.convention.InMemoryConventionBundleMaster.simpleNameSecurityId;

import org.apache.commons.lang.Validate;
import org.threeten.bp.Period;

import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.financial.analytics.ircurve.IndexType;
import com.opengamma.financial.convention.ConventionBundleMasterUtils;
import com.opengamma.financial.convention.InMemoryConventionBundleMaster;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.financial.convention.frequency.Frequency;
import com.opengamma.financial.convention.frequency.SimpleFrequencyFactory;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;

/**
 *
 */
public class SyntheticAUConventions {

    public static synchronized void addFixedIncomeInstrumentConventions(
            final InMemoryConventionBundleMaster 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 semiAnnual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.SEMI_ANNUAL_NAME);
        final Frequency quarterly = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
        final Frequency annual = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.ANNUAL_NAME);

        //TODO holiday associated with AUD swaps is Sydney
        final ExternalId au = ExternalSchemes.financialRegionId("AU");
        final Integer overnightPublicationLag = 0;

        final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP1D")), "AUDCASHP1D", act365,
                following, Period.ofDays(1), 0, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP1M")), "AUDCASHP1M", act365,
                modified, Period.ofMonths(1), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP2M")), "AUDCASHP2M", act365,
                modified, Period.ofMonths(2), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP3M")), "AUDCASHP3M", act365,
                modified, Period.ofMonths(3), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP4M")), "AUDCASHP4M", act365,
                modified, Period.ofMonths(4), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP5M")), "AUDCASHP5M", act365,
                modified, Period.ofMonths(5), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP6M")), "AUDCASHP6M", act365,
                modified, Period.ofMonths(6), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP7M")), "AUDCASHP7M", act365,
                modified, Period.ofMonths(7), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP8M")), "AUDCASHP8M", act365,
                modified, Period.ofMonths(8), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP9M")), "AUDCASHP9M", act365,
                modified, Period.ofMonths(9), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP10M")), "AUDCASHP10M", act365,
                modified, Period.ofMonths(10), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP11M")), "AUDCASHP11M", act365,
                modified, Period.ofMonths(1), 2, false, au);
        utils.addConventionBundle(ExternalIdBundle.of(syntheticSecurityId("AUDCASHP12M")), "AUDCASHP12M", act365,
                modified, Period.ofMonths(12), 2, false, au);

        utils.addConventionBundle(
                ExternalIdBundle.of(syntheticSecurityId("AUDLIBORP3M"), simpleNameSecurityId("AUD LIBOR 3m")),
                "AUD LIBOR 3m", act365, following, Period.ofMonths(3), 2, false, au);
        utils.addConventionBundle(
                ExternalIdBundle.of(syntheticSecurityId("AUDLIBORP6M"), simpleNameSecurityId("AUD LIBOR 6m")),
                "AUD LIBOR 6m", act365, following, Period.ofMonths(6), 2, false, au);
        utils.addConventionBundle(
                ExternalIdBundle.of(syntheticSecurityId("AUDLIBORP12M"), simpleNameSecurityId("AUD LIBOR 12m")),
                "AUD LIBOR 12m", act365, following, Period.ofMonths(12), 2, false, au);
        utils.addConventionBundle(
                ExternalIdBundle.of(syntheticSecurityId("AUDON"), simpleNameSecurityId("RBA OVERNIGHT CASH RATE")),
                "RBA OVERNIGHT CASH RATE", act365, following, Period.ofDays(1), 0, false, au,
                overnightPublicationLag);

        final DayCount swapFixedDayCount = act365;
        final BusinessDayConvention swapFixedBusinessDay = modified;

        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("AUD_SWAP")), "AUD_SWAP", act365,
                modified, semiAnnual, 0, au, act365, modified, semiAnnual, 0,
                simpleNameSecurityId(IndexType.BBSW + "_AUD_P6M"), au, true);
        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("AUD_3M_SWAP")), "AUD_3M_SWAP",
                swapFixedDayCount, swapFixedBusinessDay, quarterly, 0, au, act365, modified, quarterly, 0,
                simpleNameSecurityId(IndexType.BBSW + "_AUD_P3M"), au, true);
        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("AUD_6M_SWAP")), "AUD_6M_SWAP",
                swapFixedDayCount, swapFixedBusinessDay, semiAnnual, 0, au, act365, modified, semiAnnual, 0,
                simpleNameSecurityId(IndexType.BBSW + "_AUD_P6M"), au, true);
        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("AUD_OIS_SWAP")), "AUD_OIS_SWAP", act365,
                modified, annual, 0, au, act365, modified, annual, 0,
                simpleNameSecurityId("RBA OVERNIGHT CASH RATE"), au, true, overnightPublicationLag);
        utils.addConventionBundle(
                ExternalIdBundle.of(syntheticSecurityId("AUDBBP3M"),
                        simpleNameSecurityId(IndexType.BBSW + "_AUD_P3M")),
                "AUD Bank Bill 3m", act365, modified, Period.ofMonths(3), 0, true, au); // "AUD Bank Bill 3m"
        utils.addConventionBundle(
                ExternalIdBundle.of(syntheticSecurityId("AUDBBP6M"),
                        simpleNameSecurityId(IndexType.BBSW + "_AUD_P6M")),
                "AUD Bank Bill 6m", act365, modified, Period.ofMonths(6), 0, true, au); // "AUD Bank Bill 6m"
    }

}