/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.convention; import org.threeten.bp.Period; import com.opengamma.core.id.ExternalSchemes; import com.opengamma.financial.convention.businessday.BusinessDayConvention; import com.opengamma.financial.convention.businessday.BusinessDayConventions; import com.opengamma.financial.convention.daycount.DayCount; import com.opengamma.financial.convention.daycount.DayCounts; import com.opengamma.id.ExternalId; import com.opengamma.id.ExternalIdBundle; import com.opengamma.util.ArgumentChecker; /** * Contains information use to construct standard versions of HUF instruments */ public class HUConventions { /** Bloomberg month codes */ private static final char[] MONTH_CODES = new char[] {'A', 'B', 'C', 'D', 'E', 'F', 'G', 'H', 'I', 'J', 'K'}; /** Bubur name prefix */ private static final String HUF_BUBOR = "HUF BUBOR "; /** Deposit prefix */ private static final String HUF_DEPOSIT = "HUF_DEPOSIT "; /** Day count */ private static final DayCount DAY_COUNT = DayCounts.ACT_360; /** Business day convention */ private static final BusinessDayConvention FOLLOWING = BusinessDayConventions.FOLLOWING; /** Region */ private static final ExternalId HU = ExternalSchemes.financialRegionId("HU"); /** * Adds conventions for deposit and Bubor rates. * @param conventionMaster The convention master, not null */ public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) { ArgumentChecker.notNull(conventionMaster, "convention master"); final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster); for (int i = 1; i <= 12; i++) { final String buborName = HUF_BUBOR + i + "m"; final String depositName = HUF_DEPOSIT + i + "m"; final ExternalId bloombergBuborId = ExternalSchemes.bloombergTickerSecurityId("HFBUBR" + (i == 12 ? "1" : MONTH_CODES[i - 1]) + " Curncy"); final ExternalId simpleBuborId = InMemoryConventionBundleMaster.simpleNameSecurityId(buborName); final ExternalId bloombergDepositId = ExternalSchemes.bloombergTickerSecurityId("HFDR" + (i == 12 ? "1" : MONTH_CODES[i - 1]) + " Curncy"); final ExternalId simpleDepositId = InMemoryConventionBundleMaster.simpleNameSecurityId(depositName); utils.addConventionBundle(ExternalIdBundle.of(bloombergBuborId, simpleBuborId), buborName, DAY_COUNT, FOLLOWING, Period.ofMonths(i), 0, false, HU); utils.addConventionBundle(ExternalIdBundle.of(bloombergDepositId, simpleDepositId), depositName, DAY_COUNT, FOLLOWING, Period.ofMonths(i), 0, false, HU); } } }