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Enhance floating rate names #1549

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merged 2 commits into from Sep 1, 2017
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@jodastephen @brianweller89
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jodastephen commented Aug 30, 2017

Add missing FloatingRateIndex abstraction
Add default fixed leg day count
Add more flexible parsing methods
Link FloatingRateName and FloatingRateIndex better

@jodastephen jodastephen assigned brianweller89 Aug 30, 2017

@jodastephen jodastephen requested a review from brianweller89 Aug 30, 2017

@jodastephen
Enhance floating rate names 
Add missing `FloatingRateIndex` abstraction
Add default fixed leg day count
Add more flexible parsing methods
Link `FloatingRateName` and `FloatingRateIndex` better
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modules/basics/src/main/java/com/opengamma/strata/basics/index/IborIndexCsvLookup.java Outdated
Tenor tenor = Tenor.parse(row.getValue(TENOR_FIELD));
LocalTime time = LocalTime.parse(row.getValue(FIXING_TIME_FIELD), TIME_FORMAT);
ZoneId zoneId = ZoneId.of(row.getValue(FIXING_ZONE_FIELD));
DayCount fixedLegDayCount = row.findValue(FIXED_LEG_DAY_COUNT).map(s -> DayCount.of(s)).orElse(dayCount);

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brianweller89 Aug 30, 2017

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I wonder how safe this defaulting logic is for IBOR? More often than not the DCFS for fixed and float are different.

I don't think it's unreasonable that an explicit fixed DCF must be provided when defining an IBOR index
@jodastephen
Break backwards compatibility 
Force Ibor/Overnight definition files to specify the fixed leg day count
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@jodastephen jodastephen merged commit c6ed0d4 into master Sep 1, 2017
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security/snyk - modules/basics/pom.xml No new issues
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security/snyk - modules/calc/pom.xml No new issues
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security/snyk - modules/collect/pom.xml No new issues
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security/snyk - modules/data/pom.xml No new issues
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security/snyk - modules/market/pom.xml No new issues
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security/snyk - modules/measure/pom.xml No new issues
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security/snyk - modules/pom.xml No new issues
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security/snyk - modules/pricer/pom.xml No new issues
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@jodastephen jodastephen deleted the topic/floating-rate branch Sep 1, 2017

@jodastephen jodastephen added the Type:Enhancement label Sep 1, 2017

@jodastephen jodastephen added this to the v1.4 milestone Sep 18, 2017

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