From 82de3cf8a423a97c03009159307e149570a45d84 Mon Sep 17 00:00:00 2001 From: Stephen Colebourne Date: Mon, 27 Nov 2017 12:41:06 +0000 Subject: [PATCH] Add INR-OMIBOR overnight index Index referred to as 'Ovenight MIBOR' in definition MIBOR name also used for 2W, 1M and 3M, referred to as 'polled term MIBOR' Strata name is 'OMIBOR' as need unique names for Overnight & Ibor Published at 10:45 http://www.fimmda.org/modules/securitiesApproval/securitiesApproval.aspx?op=mibor --- .../strata/config/base/FloatingRateNameData.ini | 5 +++++ .../strata/config/base/OvernightIndexData.csv | 1 + .../strata/basics/index/OvernightIndexTest.java | 14 ++++++++++++++ 3 files changed, 20 insertions(+) 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 index 45f90e660b..5d449188d9 100644 --- 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 @@ -175,6 +175,10 @@ CAD-CORRA-OIS-COMPOUND = CAD-CORRA DKK-TNR = DKK-TNR DKK-DKKOIS-OIS-COMPOUND = DKK-TNR +INR-OMIBOR = INR-OMIBOR +INR-FBIL-MIBOR-OIS-COMPOUND = INR-OMIBOR +INR-MIBOR-OIS-COMPOUND = INR-OMIBOR + NOK-NOWA = NOK-NOWA NZD-NZIONA = NZD-NZIONA @@ -265,6 +269,7 @@ AUD = AUD-AONIA BRL = BRL-CDI CAD = CAD-CORRA DKK = DKK-TNR +INR = INR-OMIBOR NOK = NOK-NOWA NZD = NZD-NZIONA PLN = PLN-POLONIA 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 index a52cd2b613..74882604e5 100644 --- 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 @@ -11,6 +11,7 @@ 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 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 NZD-NZIONA,NZD,true,Act/365F,NZBD,0,0,Act/365F PLN-POLONIA,PLN,true,Act/365F,PLWA,0,0,Act/365F diff --git a/modules/basics/src/test/java/com/opengamma/strata/basics/index/OvernightIndexTest.java b/modules/basics/src/test/java/com/opengamma/strata/basics/index/OvernightIndexTest.java index 2809f02b83..9e76e1f510 100644 --- a/modules/basics/src/test/java/com/opengamma/strata/basics/index/OvernightIndexTest.java +++ b/modules/basics/src/test/java/com/opengamma/strata/basics/index/OvernightIndexTest.java @@ -10,6 +10,7 @@ import static com.opengamma.strata.basics.currency.Currency.CHF; import static com.opengamma.strata.basics.currency.Currency.DKK; import static com.opengamma.strata.basics.currency.Currency.GBP; +import static com.opengamma.strata.basics.currency.Currency.INR; 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; @@ -177,6 +178,19 @@ public void test_dkkOis() { assertEquals(test.toString(), "DKK-TNR"); } + public void test_inrOis() { + OvernightIndex test = OvernightIndex.of("INR-OMIBOR"); + assertEquals(test.getName(), "INR-OMIBOR"); + assertEquals(test.getCurrency(), INR); + assertEquals(test.isActive(), true); + assertEquals(test.getFixingCalendar(), HolidayCalendarId.of("INMU")); + assertEquals(test.getPublicationDateOffset(), 0); + assertEquals(test.getEffectiveDateOffset(), 0); + assertEquals(test.getDayCount(), ACT_365F); + assertEquals(test.getDefaultFixedLegDayCount(), ACT_365F); + assertEquals(test.toString(), "INR-OMIBOR"); + } + public void test_nzdOis() { OvernightIndex test = OvernightIndex.of("NZD-NZIONA"); assertEquals(test.getName(), "NZD-NZIONA");