Add conventions for CNY and COP (#1693)

* Add conventions for CNY and COP Also FX convention for CLP * Fix business days
OpenGamma · Jun 6, 2018 · 7c9fbf8 · 7c9fbf8
1 parent a1b2924
commit 7c9fbf8
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diff --git a/modules/basics/src/main/resources/com/opengamma/strata/config/base/FloatingRateNameData.ini b/modules/basics/src/main/resources/com/opengamma/strata/config/base/FloatingRateNameData.ini
@@ -64,6 +64,9 @@ CAD-CDOR = CAD-CDOR
 CAD-BA-CDOR = CAD-CDOR
 CAD-BA-CDOR-Bloomberg = CAD-CDOR
 
+CNY-REPO = CNY-REPO
+CNY-CNREPOFIX=CFXS-Reuters = CNY-REPO
+
 CZK-PRIBOR = CZK-PRIBOR
 CZK-PRIBOR-PRBO = CZK-PRIBOR
 CZK-PRIBOR-Reference Banks = CZK-PRIBOR
@@ -179,6 +182,9 @@ BRL-CDI = BRL-CDI
 CAD-CORRA = CAD-CORRA
 CAD-CORRA-OIS-COMPOUND = CAD-CORRA
 
+COP-OIBR = COP-OIBR
+COP-IBR-OIS-COMPOUND = COP-OIBR
+
 DKK-TNR = DKK-TNR
 DKK-DKKOIS-OIS-COMPOUND = DKK-TNR
 
@@ -257,6 +263,7 @@ USD = USD-LIBOR
 
 AUD = AUD-BBSW
 CAD = CAD-CDOR
+CNY = CNY-REPO
 CZK = CZK-PRIBOR
 DKK = DKK-CIBOR
 HKD = HKD-HIBOR
@@ -281,6 +288,7 @@ USD = USD-FED-FUND
 AUD = AUD-AONIA
 BRL = BRL-CDI
 CAD = CAD-CORRA
+COP = COP-OIBR
 DKK = DKK-TNR
 INR = INR-OMIBOR
 NOK = NOK-NOWA

diff --git a/modules/basics/src/main/resources/com/opengamma/strata/config/base/FxIndexData.csv b/modules/basics/src/main/resources/com/opengamma/strata/config/base/FxIndexData.csv
@@ -9,3 +9,13 @@ USD/CHF-WM,USD,CHF,USNY,2,USNY+CHZU
 EUR/USD-WM,EUR,USD,USNY,2,USNY+EUTA
 GBP/USD-WM,GBP,USD,USNY,2,USNY+GBLO
 USD/JPY-WM,USD,JPY,USNY,2,USNY+JPTO
+,,,,,,
+# These follow the names in the official document
+# All references refer to both the descriptive and the code name, so both are included
+# Our name replaces all punctuation with dashes
+# https://www.isda.org/a/V8FDE/Annex-A-Definitions-Dated-November-19-2017-FINAL.pdf
+USD/CLP-DOLAR-OBS-CLP10,USD,CLP,CLSA,1,CLSA
+USD/CNY-SAEC-CNY01,USD,CNY,CNBE,2,CNBE
+USD/COP-TRM-COP02,USD,CLP,CLSA,0,CLSA
+USD/INR-RBIB-INR01,USD,INR,INMU,2,INMU
+USD/KRW-KFTC18-KRW02,USD,KRW,KRSE,2,KRSE
diff --git a/modules/basics/src/main/resources/com/opengamma/strata/config/base/IborIndexData.csv b/modules/basics/src/main/resources/com/opengamma/strata/config/base/IborIndexData.csv
@@ -125,6 +125,8 @@ CAD-CDOR-3M,CAD,true,Act/365F,CATO,0,CATO,CATO,3M,ModifiedFollowing,10:15,Americ
 CAD-CDOR-6M,CAD,true,Act/365F,CATO,0,CATO,CATO,6M,ModifiedFollowing,10:15,America/Toronto,Act/365F
 CAD-CDOR-12M,CAD,true,Act/365F,CATO,0,CATO,CATO,12M,ModifiedFollowing,10:15,America/Toronto,Act/365F
 ,,,,,,,,,,,
+CNY-REPO-1W,CNY,true,Act/365F,CNBE,0,CNBE,CNBE,1W,Following,11:30,Asia/Shanghai,Act/365F
+,,,,,,,,,,,
 CZK-PRIBOR-1W,CZK,true,Act/360,CZPR,2,CZPR,CZPR,1W,Following,11:00,Europe/Prague,ACT/360
 CZK-PRIBOR-2W,CZK,true,Act/360,CZPR,2,CZPR,CZPR,2W,Following,11:00,Europe/Prague,ACT/360
 CZK-PRIBOR-1M,CZK,true,Act/360,CZPR,2,CZPR,CZPR,1M,ModifiedFollowing,11:00,Europe/Prague,ACT/360

diff --git a/modules/basics/src/main/resources/com/opengamma/strata/config/base/OvernightIndexData.csv b/modules/basics/src/main/resources/com/opengamma/strata/config/base/OvernightIndexData.csv
@@ -10,6 +10,7 @@ USD-FED-FUND,USD,true,Act/360,USNY,1,0,Act/360
 AUD-AONIA,AUD,true,Act/365F,AUSY,0,0,Act/365F
 BRL-CDI,BRL,true,Bus/252 BRBD,BRBD,1,0,Bus/252 BRBD
 CAD-CORRA,CAD,true,Act/365F,CATO,1,0,Act/365F
+COP-OIBR,COP,true,Act/360,COBO,0,0,Act/360
 DKK-TNR,DKK,true,Act/360,DKCO,1,1,Act/360
 INR-OMIBOR,INR,true,Act/365F,INMU,0,0,Act/365F
 NOK-NOWA,NOK,true,Act/Act Year,NOOS,0,0,Act/360

diff --git a/modules/basics/src/test/java/com/opengamma/strata/basics/index/FxIndexTest.java b/modules/basics/src/test/java/com/opengamma/strata/basics/index/FxIndexTest.java
@@ -121,6 +121,11 @@ public void test_dates() {
     assertEquals(test.calculateFixingFromMaturity(date(2014, 10, 19), REF_DATA), date(2014, 10, 17));
   }
 
+  public void test_cny() {
+    FxIndex test = FxIndex.of("USD/CNY-SAEC-CNY01");
+    assertEquals(test.getName(), "USD/CNY-SAEC-CNY01");
+  }
+
   //-------------------------------------------------------------------------
   public void test_equals() {
     ImmutableFxIndex a = ImmutableFxIndex.builder()