/**
* Copyright (C) 2012 - 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 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.financial.convention.frequency.Frequency;
import com.opengamma.financial.convention.frequency.SimpleFrequencyFactory;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
/**
*
*/
public class TWConventions {
private static final char BBG_DAY_CODE = 'T';
private static final char BBG_WEEK_CODE = 'Z';
private static final char[] BBG_MONTH_CODES = new char[] {'A', 'B', 'C', 'D', 'E', 'F', 'G', 'H', 'I', 'J', 'K'};
private static final BusinessDayConvention FOLLOWING = BusinessDayConventions.FOLLOWING;
private static final DayCount ACT_365 = DayCounts.ACT_365;
private static final ExternalId TW = ExternalSchemes.financialRegionId("TW");
private static final Frequency QUARTERLY = SimpleFrequencyFactory.INSTANCE.getFrequency(Frequency.QUARTERLY_NAME);
public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
for (int i = 1; i < 4; i++) {
final String name = "TWD Deposit " + i + "d";
final ExternalId bbgId = bloombergTickerSecurityId("NTDR" + i + BBG_DAY_CODE + " Curncy");
final ExternalId simpleId = simpleNameSecurityId(name);
utils.addConventionBundle(ExternalIdBundle.of(bbgId, simpleId), name, ACT_365, FOLLOWING, Period.ofDays(i), 0, false, TW);
}
for (int i = 1; i < 4; i++) {
final String name = "TWD Deposit " + i + "w";
final ExternalId bbgId = bloombergTickerSecurityId("NTDR" + i + BBG_WEEK_CODE + " Curncy");
final ExternalId simpleId = simpleNameSecurityId(name);
utils.addConventionBundle(ExternalIdBundle.of(bbgId, simpleId), name, ACT_365, FOLLOWING, Period.ofDays(i * 7), 0, false, TW);
}
for (int i = 1; i < 12; i++) {
final String name = "TWD Deposit " + i + "m";
final ExternalId bbgId = bloombergTickerSecurityId("NTDR" + BBG_MONTH_CODES[i - 1] + " Curncy");
final ExternalId simpleId = simpleNameSecurityId(name);
utils.addConventionBundle(ExternalIdBundle.of(bbgId, simpleId), name, ACT_365, FOLLOWING, Period.ofMonths(i), 0, false, TW);
}
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("TWD_3M_SWAP")), "TWD_3M_SWAP", ACT_365, FOLLOWING,
QUARTERLY, 2, TW, ACT_365, FOLLOWING, QUARTERLY, 2, simpleNameSecurityId("TWD Deposit 3m"), TW, true);
}
}