Add MYR-KLIBOR to floating rate and index data (#2441)

* Add MYR-KLIBOR to floating rate and index data * add some tests * changed fixing day to 0 * fix tests after fixing days change Co-authored-by: Alexis Skitini <skitini@users.noreply.github.com>
OpenGamma · Apr 14, 2022 · 51ad570 · 51ad570
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diff --git a/...ics/src/main/resources/META-INF/com/opengamma/strata/config/base/FloatingRateNameData.ini b/...ics/src/main/resources/META-INF/com/opengamma/strata/config/base/FloatingRateNameData.ini
@@ -149,6 +149,13 @@ MXN-TIIE-Banxico = MXN-TIIE
 MXN-TIIE-Banxico-Bloomberg = MXN-TIIE
 MXN-TIIE-Banxico-Reference Banks = MXN-TIIE
 
+# "MYR-KLIBOR" is the ISDA 2021 code
+MYR-KLIBOR = MYR-KLIBOR
+MYR-KLIBOR-BNM = MYR-KLIBOR
+MYR-KLIBOR-Reference Banks = MYR-KLIBOR
+MYR-Quarterly Swap Rate-11:00-TRADITION = MYR-KLIBOR
+MYR-Quarterly Swap Rate-TRADITION-Reference Banks = MYR-KLIBOR
+
 # "NOK-NIBOR" is the ISDA 2021 code
 NOK-NIBOR = NOK-NIBOR
 NOK-NIBOR-NIBR = NOK-NIBOR
@@ -538,6 +545,7 @@ HKD = HKD-HIBOR
 HUF = HUF-BUBOR
 KRW = KRW-CD
 MXN = MXN-TIIE
+MYR = MYR-KLIBOR
 NOK = NOK-NIBOR
 NZD = NZD-BKBM
 PLN = PLN-WIBOR

diff --git a/...les/basics/src/main/resources/META-INF/com/opengamma/strata/config/base/IborIndexData.csv b/...les/basics/src/main/resources/META-INF/com/opengamma/strata/config/base/IborIndexData.csv
@@ -225,6 +225,10 @@ MXN-TIIE-4W,MXN,TRUE,Act/360,MXMC,1,MXMC,MXMC,4W,Following,14:00,America/Mexico_
 MXN-TIIE-13W,MXN,TRUE,Act/360,MXMC,1,MXMC,MXMC,13W,Following,14:00,America/Mexico_City,Act/360
 MXN-TIIE-26W,MXN,TRUE,Act/360,MXMC,1,MXMC,MXMC,26W,Following,14:00,America/Mexico_City,Act/360
 ,,,,,,,,,,,,
+MYR-KLIBOR-1M,MYR,TRUE,Act/365F,MYKL,0,MYKL,MYKL,1M,ModifiedFollowing,11:00,Asia/Kuala_Lumpur,Act/365F
+MYR-KLIBOR-3M,MYR,TRUE,Act/365F,MYKL,0,MYKL,MYKL,3M,ModifiedFollowing,11:00,Asia/Kuala_Lumpur,Act/365F
+MYR-KLIBOR-6M,MYR,TRUE,Act/365F,MYKL,0,MYKL,MYKL,6M,ModifiedFollowing,11:00,Asia/Kuala_Lumpur,Act/365F
+,,,,,,,,,,,,
 NOK-NIBOR-1W,NOK,TRUE,Act/360,NOOS,2,NOOS,NOOS,1W,Following,12:00,Europe/Oslo,30U/360
 NOK-NIBOR-2W,NOK,FALSE,Act/360,NOOS,2,NOOS,NOOS,2W,Following,12:00,Europe/Oslo,30U/360
 NOK-NIBOR-1M,NOK,TRUE,Act/360,NOOS,2,NOOS,NOOS,1M,ModifiedFollowing,12:00,Europe/Oslo,30U/360

diff --git a/modules/basics/src/test/java/com/opengamma/strata/basics/index/FloatingRateNamesTest.java b/modules/basics/src/test/java/com/opengamma/strata/basics/index/FloatingRateNamesTest.java
@@ -107,6 +107,7 @@ public static Object[][] data_name_type() {
         {"HUF-BUBOR-Reuters", "HUF-BUBOR", FloatingRateType.IBOR},
         {"KRW-CD-KSDA-Bloomberg", "KRW-CD", FloatingRateType.IBOR},
         {"MXN-TIIE-Banxico", "MXN-TIIE", FloatingRateType.IBOR},
+        {"MYR-KLIBOR-BNM", "MYR-KLIBOR", FloatingRateType.IBOR},
         {"NOK-NIBOR-OIBOR", "NOK-NIBOR", FloatingRateType.IBOR},
         {"NZD-BBR-FRA", "NZD-BKBM", FloatingRateType.IBOR},
         {"PLN-WIBOR-WIBO", "PLN-WIBOR", FloatingRateType.IBOR},

diff --git a/modules/basics/src/test/java/com/opengamma/strata/basics/index/IborIndexTest.java b/modules/basics/src/test/java/com/opengamma/strata/basics/index/IborIndexTest.java
@@ -15,6 +15,7 @@
 import static com.opengamma.strata.basics.currency.Currency.JPY;
 import static com.opengamma.strata.basics.currency.Currency.KRW;
 import static com.opengamma.strata.basics.currency.Currency.MXN;
+import static com.opengamma.strata.basics.currency.Currency.MYR;
 import static com.opengamma.strata.basics.currency.Currency.NZD;
 import static com.opengamma.strata.basics.currency.Currency.PLN;
 import static com.opengamma.strata.basics.currency.Currency.SEK;
@@ -582,6 +583,26 @@ public void test_mxn_tiie() {
     assertThat(test.toString()).isEqualTo("MXN-TIIE-4W");
   }
 
+  @Test
+  public void test_myr_klibor() {
+    HolidayCalendarId cal = HolidayCalendarId.of("MYKL");
+    IborIndex test = IborIndex.of("MYR-KLIBOR-3M");
+    assertThat(test.getCurrency()).isEqualTo(MYR);
+    assertThat(test.getName()).isEqualTo("MYR-KLIBOR-3M");
+    assertThat(test.getTenor()).isEqualTo(TENOR_3M);
+    assertThat(test.getFixingCalendar()).isEqualTo(cal);
+    assertThat(test.getFixingDateOffset())
+        .isEqualTo(DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(PRECEDING, cal)));
+    assertThat(test.getEffectiveDateOffset())
+        .isEqualTo(DaysAdjustment.ofCalendarDays(0, BusinessDayAdjustment.of(FOLLOWING, cal)));
+    assertThat(test.getMaturityDateOffset())
+        .isEqualTo(TenorAdjustment.of(
+            TENOR_3M, PeriodAdditionConventions.NONE, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, cal)));
+    assertThat(test.getDayCount()).isEqualTo(ACT_365F);
+    assertThat(test.getDefaultFixedLegDayCount()).isEqualTo(ACT_365F);
+    assertThat(test.toString()).isEqualTo("MYR-KLIBOR-3M");
+  }
+
   @Test
   public void test_nzd_bkbm() {
     IborIndex test = IborIndex.of("NZD-BKBM-3M");