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Add INR-OMIBOR overnight index #1619

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merged 1 commit into from Nov 27, 2017
Merged

Add INR-OMIBOR overnight index #1619

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5 changes: 5 additions & 0 deletions modules/basics/src/main/resources/com/opengamma/strata/config/base/FloatingRateNameData.ini
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Expand Up @@ -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
Expand Down Expand Up @@ -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
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1 change: 1 addition & 0 deletions modules/basics/src/main/resources/com/opengamma/strata/config/base/OvernightIndexData.csv
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Expand Up @@ -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
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14 changes: 14 additions & 0 deletions modules/basics/src/test/java/com/opengamma/strata/basics/index/OvernightIndexTest.java
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Expand Up @@ -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;
Expand Down Expand Up @@ -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");
Expand Down