com.opengamma.financial.convention.JPConventions.java Source code

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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.financial.convention;

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

import javax.time.calendar.Period;

import org.apache.commons.lang.Validate;

import com.opengamma.core.id.ExternalSchemes;
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 JPConventions {

    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 jp = ExternalSchemes.financialRegionId("JP");

        final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);

        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY00O/N Index"),
                        simpleNameSecurityId("JPY LIBOR O/N")),
                "JPY LIBOR O/N", act360, following, Period.ofDays(1), 0, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY00S/N Index"),
                        simpleNameSecurityId("JPY LIBOR S/N")),
                "JPY LIBOR S/N", act360, following, Period.ofDays(1), 0, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY00T/N Index"),
                        simpleNameSecurityId("JPY LIBOR T/N")),
                "JPY LIBOR T/N", act360, following, Period.ofDays(1), 0, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0001W Index"),
                        simpleNameSecurityId("JPY LIBOR 1w")),
                "JPY LIBOR 1w", act360, following, Period.ofDays(1), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0002W Index"),
                        simpleNameSecurityId("JPY LIBOR 2w")),
                "JPY LIBOR 2w", act360, following, Period.ofDays(1), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0001M Index"),
                        simpleNameSecurityId("JPY LIBOR 1m")),
                "JPY LIBOR 1m", act360, following, Period.ofMonths(1), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0002M Index"),
                        simpleNameSecurityId("JPY LIBOR 2m")),
                "JPY LIBOR 2m", act360, following, Period.ofMonths(2), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0003M Index"),
                        simpleNameSecurityId("JPY LIBOR 3m")),
                "JPY LIBOR 3m", act360, following, Period.ofMonths(3), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0004M Index"),
                        simpleNameSecurityId("JPY LIBOR 4m")),
                "JPY LIBOR 4m", act360, following, Period.ofMonths(4), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0005M Index"),
                        simpleNameSecurityId("JPY LIBOR 5m")),
                "JPY LIBOR 5m", act360, following, Period.ofMonths(5), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0006M Index"),
                        simpleNameSecurityId("JPY LIBOR 6m")),
                "JPY LIBOR 6m", act360, following, Period.ofMonths(6), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0007M Index"),
                        simpleNameSecurityId("JPY LIBOR 7m")),
                "JPY LIBOR 7m", act360, following, Period.ofMonths(7), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0008M Index"),
                        simpleNameSecurityId("JPY LIBOR 8m")),
                "JPY LIBOR 8m", act360, following, Period.ofMonths(8), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0009M Index"),
                        simpleNameSecurityId("JPY LIBOR 9m")),
                "JPY LIBOR 9m", act360, following, Period.ofMonths(9), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0010M Index"),
                        simpleNameSecurityId("JPY LIBOR 10m")),
                "JPY LIBOR 10m", act360, following, Period.ofMonths(10), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0011M Index"),
                        simpleNameSecurityId("JPY LIBOR 11m")),
                "JPY LIBOR 11m", act360, following, Period.ofMonths(11), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JY0012M Index"),
                        simpleNameSecurityId("JPY LIBOR 12m")),
                "JPY LIBOR 12m", act360, following, Period.ofMonths(12), 2, false, jp);

        //TODO need to check that these are right for deposit rates
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR1T Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 1d")),
                "JPY DEPOSIT 1d", act360, following, Period.ofDays(1), 0, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR2T Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 2d")),
                "JPY DEPOSIT 2d", act360, following, Period.ofDays(1), 0, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR3T Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 3d")),
                "JPY DEPOSIT 3d", act360, following, Period.ofDays(1), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR1Z Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 1w")),
                "JPY DEPOSIT 1w", act360, following, Period.ofDays(7), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR2Z Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 2w")),
                "JPY DEPOSIT 2w", act360, following, Period.ofDays(14), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR3Z Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 3w")),
                "JPY DEPOSIT 3w", act360, following, Period.ofDays(21), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRA Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 1m")),
                "JPY DEPOSIT 1m", act360, following, Period.ofMonths(1), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRB Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 2m")),
                "JPY DEPOSIT 2m", act360, following, Period.ofMonths(2), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRC Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 3m")),
                "JPY DEPOSIT 3m", act360, following, Period.ofMonths(3), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRD Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 4m")),
                "JPY DEPOSIT 4m", act360, following, Period.ofMonths(4), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRE Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 5m")),
                "JPY DEPOSIT 5m", act360, following, Period.ofMonths(5), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRF Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 6m")),
                "JPY DEPOSIT 6m", act360, following, Period.ofMonths(6), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRG Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 7m")),
                "JPY DEPOSIT 7m", act360, following, Period.ofMonths(7), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRH Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 8m")),
                "JPY DEPOSIT 8m", act360, following, Period.ofMonths(8), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRI Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 9m")),
                "JPY DEPOSIT 9m", act360, following, Period.ofMonths(9), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRJ Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 10m")),
                "JPY DEPOSIT 10m", act360, following, Period.ofMonths(10), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDRK Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 11m")),
                "JPY DEPOSIT 11m", act360, following, Period.ofMonths(11), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR1 Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 1y")),
                "JPY DEPOSIT 1y", act360, following, Period.ofYears(1), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR2 Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 2y")),
                "JPY DEPOSIT 2y", act360, following, Period.ofYears(2), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR3 Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 3y")),
                "JPY DEPOSIT 3y", act360, following, Period.ofYears(3), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR4 Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 4y")),
                "JPY DEPOSIT 4y", act360, following, Period.ofYears(4), 2, false, jp);
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("JYDR5 Curncy"),
                        simpleNameSecurityId("JPY DEPOSIT 5y")),
                "JPY DEPOSIT 5y", act360, following, Period.ofYears(5), 2, false, jp);

        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_SWAP")), "JPY_SWAP", act365,
                modified, semiAnnual, 2, jp, act360, modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"),
                jp, true);

        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_3M_SWAP")), "JPY_3M_SWAP", act365,
                modified, semiAnnual, 2, jp, act360, modified, quarterly, 2, simpleNameSecurityId("JPY LIBOR 3m"),
                jp, true);
        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_6M_SWAP")), "JPY_6M_SWAP", act365,
                modified, semiAnnual, 2, jp, act360, modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"),
                jp, true);

        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_3M_FRA")), "JPY_3M_FRA", act365,
                modified, semiAnnual, 2, jp, act360, modified, quarterly, 2, simpleNameSecurityId("JPY LIBOR 3m"),
                jp, true);
        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_6M_FRA")), "JPY_6M_FRA", act365,
                modified, semiAnnual, 2, jp, act360, modified, semiAnnual, 2, simpleNameSecurityId("JPY LIBOR 6m"),
                jp, true);

        // Overnight Index Swap Convention have additional flag, publicationLag
        final Integer publicationLag = 0;
        // TONAR
        utils.addConventionBundle(
                ExternalIdBundle.of(bloombergTickerSecurityId("MUTSCALM Index"), simpleNameSecurityId("JPY TONAR")),
                "JPY TONAR", act365, following, Period.ofDays(1), 2, false, jp, publicationLag);
        // OIS - TONAR
        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_OIS_SWAP")), "JPY_OIS_SWAP", act365,
                modified, annual, 2, jp, act365, modified, annual, 2, simpleNameSecurityId("JPY TONAR"), jp, true,
                publicationLag);

        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_OIS_CASH")), "JPY_OIS_CASH", act365,
                following, null, 2, false, null);

        //TODO check this
        utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("JPY_IBOR_INDEX")), "JPY_IBOR_INDEX",
                act360, following, 2, false);
    }
}