/**
* 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.core.id.ExternalSchemes.icapSecurityId;
import static com.opengamma.core.id.ExternalSchemes.tullettPrebonSecurityId;
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.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;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.DateUtils;
/**
* Standard conventions for EUR.
*/
public class EUConventions {
/**
* Adds conventions for deposit, Libor and Euribor fixings, swaps, FRAs and IR futures.
* @param conventionMaster The convention master, not null
*/
public static synchronized void addFixedIncomeInstrumentConventions(final ConventionBundleMaster conventionMaster) {
ArgumentChecker.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 thirty360 = DayCountFactory.INSTANCE.getDayCount("30/360");
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);
//TODO holiday associated with EUR swaps is TARGET
final ExternalId eu = ExternalSchemes.financialRegionId("EU");
final ConventionBundleMasterUtils utils = new ConventionBundleMasterUtils(conventionMaster);
//EURO LIBOR
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU00O/N Index"), simpleNameSecurityId("EUR LIBOR O/N"),
tullettPrebonSecurityId("ASLIBEULONL")),
"EUR LIBOR O/N", act360, following, Period.ofDays(1), 0, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU00T/N Index"), simpleNameSecurityId("EUR LIBOR T/N")),
"EUR LIBOR T/N", act360, following, Period.ofDays(1), 1, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0001W Index"), simpleNameSecurityId("EUR LIBOR 1w"),
tullettPrebonSecurityId("ASLIBEUL1WL")),
"EUR LIBOR 1w", act360, following, Period.ofDays(7), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0002W Index"), simpleNameSecurityId("EUR LIBOR 2w"),
tullettPrebonSecurityId("ASLIBEUL2WL")),
"EUR LIBOR 2w", act360, following, Period.ofDays(14), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0001M Index"), simpleNameSecurityId("EUR LIBOR 1m"),
tullettPrebonSecurityId("ASLIBEUL01L")),
"EUR LIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0002M Index"), simpleNameSecurityId("EUR LIBOR 2m"),
tullettPrebonSecurityId("ASLIBEUL02L")),
"EUR LIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0003M Index"), simpleNameSecurityId("EUR LIBOR 3m"),
tullettPrebonSecurityId("ASLIBEUL03L")),
"EUR LIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0004M Index"), simpleNameSecurityId("EUR LIBOR 4m"),
tullettPrebonSecurityId("ASLIBEUL04L")),
"EUR LIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0005M Index"), simpleNameSecurityId("EUR LIBOR 5m"),
tullettPrebonSecurityId("ASLIBEUL05L")),
"EUR LIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0006M Index"), simpleNameSecurityId("EUR LIBOR 6m"),
tullettPrebonSecurityId("ASLIBEUL06L")),
"EUR LIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0007M Index"), simpleNameSecurityId("EUR LIBOR 7m"),
tullettPrebonSecurityId("ASLIBEUL07L")),
"EUR LIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0008M Index"), simpleNameSecurityId("EUR LIBOR 8m"),
tullettPrebonSecurityId("ASLIBEUL08L")),
"EUR LIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0009M Index"), simpleNameSecurityId("EUR LIBOR 9m"),
tullettPrebonSecurityId("ASLIBEUL09L")),
"EUR LIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0010M Index"), simpleNameSecurityId("EUR LIBOR 10m"),
tullettPrebonSecurityId("ASLIBEUL10L")),
"EUR LIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0011M Index"), simpleNameSecurityId("EUR LIBOR 11m"),
tullettPrebonSecurityId("ASLIBEUL11L")),
"EUR LIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EU0012M Index"), simpleNameSecurityId("EUR LIBOR 12m"),
tullettPrebonSecurityId("ASLIBEUL12L")),
"EUR LIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);
// EURIBOR
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR001W Index"), simpleNameSecurityId("EURIBOR 1w"),
tullettPrebonSecurityId("ASLIBEUR1WL")),
"EURIBOR 1w", act360, following, Period.ofDays(7), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR002W Index"), simpleNameSecurityId("EURIBOR 2w"),
tullettPrebonSecurityId("ASLIBEUR2WL")),
"EURIBOR 2w", act360, following, Period.ofDays(14), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR003W Index"), simpleNameSecurityId("EURIBOR 3w"),
tullettPrebonSecurityId("ASLIBEUR3WL")),
"EURIBOR 3w", act360, following, Period.ofDays(21), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR001M Index"), simpleNameSecurityId("EURIBOR 1m"),
tullettPrebonSecurityId("ASLIBEUR01L")),
"EURIBOR 1m", act360, modified, Period.ofMonths(1), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR002M Index"), simpleNameSecurityId("EURIBOR 2m"),
tullettPrebonSecurityId("ASLIBEUR02L")),
"EURIBOR 2m", act360, modified, Period.ofMonths(2), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR003M Index"), ExternalSchemes.ricSecurityId("EURIBOR3MD="),
simpleNameSecurityId("EURIBOR 3m"), tullettPrebonSecurityId("ASLIBEUR03L")),
"EURIBOR 3m", act360, modified, Period.ofMonths(3), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR004M Index"), simpleNameSecurityId("EURIBOR 4m"),
tullettPrebonSecurityId("ASLIBEUR04L")),
"EURIBOR 4m", act360, modified, Period.ofMonths(4), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR005M Index"), simpleNameSecurityId("EURIBOR 5m"),
tullettPrebonSecurityId("ASLIBEUR05L")),
"EURIBOR 5m", act360, modified, Period.ofMonths(5), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR006M Index"), ExternalSchemes.ricSecurityId("EURIBOR6MD="),
simpleNameSecurityId("EURIBOR 6m"), tullettPrebonSecurityId("ASLIBEUR06L")),
"EURIBOR 6m", act360, modified, Period.ofMonths(6), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR007M Index"), simpleNameSecurityId("EURIBOR 7m"),
tullettPrebonSecurityId("ASLIBEUR07L")),
"EURIBOR 7m", act360, modified, Period.ofMonths(7), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR008M Index"), simpleNameSecurityId("EURIBOR 8m"),
tullettPrebonSecurityId("ASLIBEUR08L")),
"EURIBOR 8m", act360, modified, Period.ofMonths(8), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR009M Index"), simpleNameSecurityId("EURIBOR 9m"),
tullettPrebonSecurityId("ASLIBEUR09L")),
"EURIBOR 9m", act360, modified, Period.ofMonths(9), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR010M Index"), simpleNameSecurityId("EURIBOR 10m"),
tullettPrebonSecurityId("ASLIBEUR10L")),
"EURIBOR 10m", act360, modified, Period.ofMonths(10), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR011M Index"), simpleNameSecurityId("EURIBOR 11m"),
tullettPrebonSecurityId("ASLIBEUR11L")),
"EURIBOR 11m", act360, modified, Period.ofMonths(11), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUR012M Index"), simpleNameSecurityId("EURIBOR 12m"),
tullettPrebonSecurityId("ASLIBEUR12L")),
"EURIBOR 12m", act360, modified, Period.ofMonths(12), 2, false, eu);
// Deposit
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1T Curncy"), simpleNameSecurityId("EUR DEPOSIT 1d")),
"EUR DEPOSIT 1d", act360, following, Period.ofDays(1), 0, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2T Curncy"), simpleNameSecurityId("EUR DEPOSIT 2d")),
"EUR DEPOSIT 2d", act360, following, Period.ofDays(1), 1, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3T Curncy"), simpleNameSecurityId("EUR DEPOSIT 3d")),
"EUR DEPOSIT 3d", act360, following, Period.ofDays(1), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 1w"),
icapSecurityId("EUR_1W"), tullettPrebonSecurityId("MNDEPEURSPT01W")), "EUR DEPOSIT 1w", act360, following, Period.ofDays(7), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 2w"),
icapSecurityId("EUR_2W"), tullettPrebonSecurityId("MNDEPEURSPT02W")), "EUR DEPOSIT 2w", act360, following, Period.ofDays(14), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3Z Curncy"), simpleNameSecurityId("EUR DEPOSIT 3w"),
icapSecurityId("EUR_3W"), tullettPrebonSecurityId("MNDEPEURSPT03W")), "EUR DEPOSIT 3w", act360, following, Period.ofDays(21), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRA Curncy"), simpleNameSecurityId("EUR DEPOSIT 1m"),
icapSecurityId("EUR_1M"), tullettPrebonSecurityId("MNDEPEURSPT01M")), "EUR DEPOSIT 1m", act360, following, Period.ofMonths(1), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRB Curncy"), simpleNameSecurityId("EUR DEPOSIT 2m"),
icapSecurityId("EUR_2M"), tullettPrebonSecurityId("MNDEPEURSPT02M")), "EUR DEPOSIT 2m", act360, following, Period.ofMonths(2), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRC Curncy"), simpleNameSecurityId("EUR DEPOSIT 3m"),
icapSecurityId("EUR_3M"), tullettPrebonSecurityId("MNDEPEURSPT03M")), "EUR DEPOSIT 3m", act360, following, Period.ofMonths(3), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRD Curncy"), simpleNameSecurityId("EUR DEPOSIT 4m"),
icapSecurityId("EUR_4M"), tullettPrebonSecurityId("MNDEPEURSPT04M")), "EUR DEPOSIT 4m", act360, following, Period.ofMonths(4), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRE Curncy"), simpleNameSecurityId("EUR DEPOSIT 5m"),
icapSecurityId("EUR_5M"), tullettPrebonSecurityId("MNDEPEURSPT05M")), "EUR DEPOSIT 5m", act360, following, Period.ofMonths(5), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRF Curncy"), simpleNameSecurityId("EUR DEPOSIT 6m"),
icapSecurityId("EUR_6M"), tullettPrebonSecurityId("MNDEPEURSPT06M")), "EUR DEPOSIT 6m", act360, following, Period.ofMonths(6), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRG Curncy"), simpleNameSecurityId("EUR DEPOSIT 7m"),
icapSecurityId("EUR_7M"), tullettPrebonSecurityId("MNDEPEURSPT07M")), "EUR DEPOSIT 7m", act360, following, Period.ofMonths(7), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRH Curncy"), simpleNameSecurityId("EUR DEPOSIT 8m"),
icapSecurityId("EUR_8M"), tullettPrebonSecurityId("MNDEPEURSPT08M")), "EUR DEPOSIT 8m", act360, following, Period.ofMonths(8), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRI Curncy"), simpleNameSecurityId("EUR DEPOSIT 9m"),
icapSecurityId("EUR_9M"), tullettPrebonSecurityId("MNDEPEURSPT09M")), "EUR DEPOSIT 9m", act360, following, Period.ofMonths(9), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRJ Curncy"), simpleNameSecurityId("EUR DEPOSIT 10m"),
icapSecurityId("EUR_10M"), tullettPrebonSecurityId("MNDEPEURSPT10M")), "EUR DEPOSIT 10m", act360, following, Period.ofMonths(10), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDRK Curncy"), simpleNameSecurityId("EUR DEPOSIT 11m"),
icapSecurityId("EUR_11M"), tullettPrebonSecurityId("MNDEPEURSPT11M")), "EUR DEPOSIT 11m", act360, following, Period.ofMonths(11), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR1 Curncy"), simpleNameSecurityId("EUR DEPOSIT 1y"),
icapSecurityId("EUR_12M"), tullettPrebonSecurityId("MNDEPEURSPT12M")), "EUR DEPOSIT 1y", act360, following, Period.ofYears(1), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR2 Curncy"), simpleNameSecurityId("EUR DEPOSIT 2y")),
"EUR DEPOSIT 2y", act360, following, Period.ofYears(2), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR3 Curncy"), simpleNameSecurityId("EUR DEPOSIT 3y")),
"EUR DEPOSIT 3y", act360, following, Period.ofYears(3), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR4 Curncy"), simpleNameSecurityId("EUR DEPOSIT 4y")),
"EUR DEPOSIT 4y", act360, following, Period.ofYears(4), 2, false, eu);
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EUDR5 Curncy"), simpleNameSecurityId("EUR DEPOSIT 5y")),
"EUR DEPOSIT 5y", act360, following, Period.ofYears(5), 2, false, eu);
final DayCount swapFixedDayCount = thirty360;
final BusinessDayConvention swapFixedBusinessDay = modified;
final Frequency swapFixedPaymentFrequency = annual;
final DayCount euriborDayCount = act360;
final int publicationLagON = 0;
// EURIBOR
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_IBOR_INDEX")), "EUR_IBOR_INDEX", euriborDayCount, modified, 2, true);
// FRA
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_3M_FRA")), "EUR_3M_FRA", thirty360, modified, quarterly, 2, eu, act360,
modified, quarterly, 2, simpleNameSecurityId("EURIBOR 3m"), eu, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_6M_FRA")), "EUR_6M_FRA", thirty360, modified, annual, 2, eu, act360, modified,
semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"), eu, true);
// IRS
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_SWAP")), "EUR_SWAP", swapFixedDayCount, swapFixedBusinessDay,
swapFixedPaymentFrequency, 2, eu, euriborDayCount, modified, semiAnnual, 2, simpleNameSecurityId("EUR LIBOR 6m"), eu, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_3M_SWAP")), "EUR_3M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
swapFixedPaymentFrequency, 2, eu, act360, modified, quarterly, 2, simpleNameSecurityId("EURIBOR 3m"), eu, true);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_6M_SWAP")), "EUR_6M_SWAP", swapFixedDayCount, swapFixedBusinessDay,
swapFixedPaymentFrequency, 2, eu, act360, modified, semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"), eu, true);
// IR FUTURES
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_IR_FUTURE")), "EUR_IR_FUTURE", euriborDayCount, modified, Period.ofMonths(3),
2, true, null);
// EONIA
utils.addConventionBundle(ExternalIdBundle.of(bloombergTickerSecurityId("EONIA Index"), simpleNameSecurityId("EUR EONIA")),
"EUR EONIA", act360, modified, Period.ofDays(1), 0, false, eu, publicationLagON);
// OIS - EONIA
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_OIS_SWAP")), "EUR_OIS_SWAP", act360, modified, annual, 2, eu, act360, modified,
annual, 2, simpleNameSecurityId("EUR EONIA"), eu, true, publicationLagON);
// TODO: Add all ISDA fixing
final int[] isdaFixTenor = new int[] {2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30};
// ISDA fixing Euribor 10.00 Frankfurt
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("EUR_ISDAFIX_EURIBOR10_1Y"), ExternalSchemes.ricSecurityId("EURSFIXA1Y="),
bloombergTickerSecurityId("EIISDA01 Index")), "EUR_ISDAFIX_EURIBOR10_1Y", swapFixedDayCount, swapFixedBusinessDay, swapFixedPaymentFrequency, 2, eu, act360, modified,
quarterly, 2, simpleNameSecurityId("EURIBOR 3m"), eu, true, Period.ofYears(1));
for (final int element : isdaFixTenor) {
final String tenorString = element + "Y";
final String tenorStringBbg = String.format("%02d", element);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_ISDAFIX_EURIBOR10_" + tenorString),
ExternalSchemes.ricSecurityId("EURSFIXA" + tenorString + "="), bloombergTickerSecurityId("EIISDA" + tenorStringBbg + " Index")), "EUR_ISDAFIX_EURIBOR10_" + tenorString,
swapFixedDayCount, swapFixedBusinessDay, swapFixedPaymentFrequency, 2, eu, act360, modified, semiAnnual, 2, simpleNameSecurityId("EURIBOR 6m"),
eu, true, Period.ofYears(element));
}
// ISDA fixing Euro Libor 10.00 London
utils.addConventionBundle(
ExternalIdBundle.of(simpleNameSecurityId("EUR_ISDAFIX_EUROLIBOR10_1Y"), ExternalSchemes.ricSecurityId("EURSFIXB1Y="),
bloombergTickerSecurityId("ELISDA01 Index")), "EUR_ISDAFIX_EUROLIBOR10_1Y", swapFixedDayCount, swapFixedBusinessDay, swapFixedPaymentFrequency, 2, eu, act360, modified,
quarterly, 2, simpleNameSecurityId("EUR LIBOR 3m"), eu, true);
for (final int element : isdaFixTenor) {
final String tenorString = element + "Y";
final String tenorStringBbg = String.format("%02d", element);
utils.addConventionBundle(ExternalIdBundle.of(simpleNameSecurityId("EUR_ISDAFIX_EUROLIBOR10_" + tenorString),
ExternalSchemes.ricSecurityId("EURSFIXB" + tenorString + "="), bloombergTickerSecurityId("ELISDA" + tenorStringBbg + " Index")), "EUR_ISDAFIX_EUROLIBOR10_" + tenorString,
swapFixedDayCount, swapFixedBusinessDay, swapFixedPaymentFrequency, 2, eu, act360, modified, semiAnnual, 2, simpleNameSecurityId("EUR LIBOR 6m"),
eu, true);
}
}
}