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Prod-5497: Adding ESTR OIS conventions #2257

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Dec 1, 2020
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Prod-5497: Adding ESTR OIS conventions #2257

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22 changes: 21 additions & 1 deletion ...t/src/main/java/com/opengamma/strata/product/swap/type/FixedOvernightSwapConventions.java
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Original file line number Diff line number Diff line change
Expand Up @@ -84,14 +84,34 @@ public final class FixedOvernightSwapConventions {
FixedOvernightSwapConvention.of(StandardFixedOvernightSwapConventions.EUR_FIXED_TERM_EONIA_OIS.getName());

/**
* The 'EUR-FIXED-1Y-EONIA_OIS' swap convention.
* The 'EUR-FIXED-1Y-EONIA-OIS' swap convention.
* <p>
* EUR fixed vs EONIA OIS swap for terms greater than one year.
* Both legs pay annually and use day count 'Act/360'.
* The spot date offset is 2 days and the payment date offset is 1 day.
*/
public static final FixedOvernightSwapConvention EUR_FIXED_1Y_EONIA_OIS =
FixedOvernightSwapConvention.of(StandardFixedOvernightSwapConventions.EUR_FIXED_1Y_EONIA_OIS.getName());

/**
* The 'EUR-FIXED-TERM-ESTR-OIS' swap convention.
* <p>
* EUR fixed vs ESTR OIS swap for terms less than or equal to one year.
* Both legs pay once at the end and use day count 'Act/360'.
* The spot date offset is 2 days and the payment date offset is 2 days.
*/
public static final FixedOvernightSwapConvention EUR_FIXED_TERM_ESTR_OIS =
FixedOvernightSwapConvention.of(StandardFixedOvernightSwapConventions.EUR_FIXED_TERM_ESTR_OIS.getName());

/**
* The 'EUR-FIXED-1Y-ESTR-OIS' swap convention.
* <p>
* EUR fixed vs ESTR OIS swap for terms greater than one year.
* Both legs pay annually and use day count 'Act/360'.
* The spot date offset is 2 days and the payment date offset is 2 days.
*/
public static final FixedOvernightSwapConvention EUR_FIXED_1Y_ESTR_OIS =
FixedOvernightSwapConvention.of(StandardFixedOvernightSwapConventions.EUR_FIXED_1Y_ESTR_OIS.getName());

//-------------------------------------------------------------------------
/**
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18 changes: 18 additions & 0 deletions ...in/java/com/opengamma/strata/product/swap/type/StandardFixedOvernightSwapConventions.java
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Expand Up @@ -10,6 +10,7 @@
import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
import static com.opengamma.strata.basics.index.OvernightIndices.CHF_SARON;
import static com.opengamma.strata.basics.index.OvernightIndices.EUR_EONIA;
import static com.opengamma.strata.basics.index.OvernightIndices.EUR_ESTR;
import static com.opengamma.strata.basics.index.OvernightIndices.GBP_SONIA;
import static com.opengamma.strata.basics.index.OvernightIndices.JPY_TONAR;
import static com.opengamma.strata.basics.index.OvernightIndices.USD_FED_FUND;
Expand Down Expand Up @@ -98,6 +99,23 @@ final class StandardFixedOvernightSwapConventions {
*/
public static final FixedOvernightSwapConvention EUR_FIXED_1Y_EONIA_OIS =
makeConvention("EUR-FIXED-1Y-EONIA-OIS", EUR_EONIA, ACT_360, P12M, 1, 2);
/**
* EUR fixed vs ESTR OIS swap for terms less than or equal to one year.
* <p>
* Both legs pay once at the end and use day count 'Act/360'.
* The spot date offset is 2 days and the payment date offset is 2 days.
*/
public static final FixedOvernightSwapConvention EUR_FIXED_TERM_ESTR_OIS =
makeConvention("EUR-FIXED-TERM-ESTR-OIS", EUR_ESTR, ACT_360, TERM, 2, 2);

/**
* EUR fixed vs ESTR OIS swap for terms greater than one year.
* <p>
* Both legs pay annually and use day count 'Act/360'.
* The spot date offset is 2 days and the payment date offset is 2 days.
*/
public static final FixedOvernightSwapConvention EUR_FIXED_1Y_ESTR_OIS =
makeConvention("EUR-FIXED-1Y-ESTR-OIS", EUR_ESTR, ACT_360, P12M, 2, 2);

//-------------------------------------------------------------------------
/**
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11 changes: 11 additions & 0 deletions ...c/test/java/com/opengamma/strata/product/swap/type/FixedOvernightSwapConventionsTest.java
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Expand Up @@ -47,6 +47,8 @@ public static Object[][] data_spot_lag() {
{FixedOvernightSwapConventions.CHF_FIXED_1Y_SARON_OIS, 2},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_EONIA_OIS, 2},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_EONIA_OIS, 2},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_ESTR_OIS, 2},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_ESTR_OIS, 2},
{FixedOvernightSwapConventions.GBP_FIXED_TERM_SONIA_OIS, 0},
{FixedOvernightSwapConventions.GBP_FIXED_1Y_SONIA_OIS, 0},
{FixedOvernightSwapConventions.JPY_FIXED_TERM_TONAR_OIS, 2},
Expand All @@ -69,6 +71,8 @@ public static Object[][] data_period() {
{FixedOvernightSwapConventions.CHF_FIXED_1Y_SARON_OIS, Frequency.P12M},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_EONIA_OIS, Frequency.TERM},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_EONIA_OIS, Frequency.P12M},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_ESTR_OIS, Frequency.TERM},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_ESTR_OIS, Frequency.P12M},
{FixedOvernightSwapConventions.GBP_FIXED_TERM_SONIA_OIS, Frequency.TERM},
{FixedOvernightSwapConventions.GBP_FIXED_1Y_SONIA_OIS, Frequency.P12M},
{FixedOvernightSwapConventions.JPY_FIXED_TERM_TONAR_OIS, Frequency.TERM},
Expand Down Expand Up @@ -97,6 +101,8 @@ public static Object[][] data_day_count() {
{FixedOvernightSwapConventions.CHF_FIXED_1Y_SARON_OIS, DayCounts.ACT_360},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_EONIA_OIS, DayCounts.ACT_360},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_EONIA_OIS, DayCounts.ACT_360},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_ESTR_OIS, DayCounts.ACT_360},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_ESTR_OIS, DayCounts.ACT_360},
{FixedOvernightSwapConventions.GBP_FIXED_TERM_SONIA_OIS, DayCounts.ACT_365F},
{FixedOvernightSwapConventions.GBP_FIXED_1Y_SONIA_OIS, DayCounts.ACT_365F},
{FixedOvernightSwapConventions.JPY_FIXED_TERM_TONAR_OIS, DayCounts.ACT_365F},
Expand All @@ -119,6 +125,8 @@ public static Object[][] data_float_leg() {
{FixedOvernightSwapConventions.CHF_FIXED_1Y_SARON_OIS, OvernightIndices.CHF_SARON},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_EONIA_OIS, OvernightIndices.EUR_EONIA},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_EONIA_OIS, OvernightIndices.EUR_EONIA},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_ESTR_OIS, OvernightIndices.EUR_ESTR},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_ESTR_OIS, OvernightIndices.EUR_ESTR},
{FixedOvernightSwapConventions.GBP_FIXED_TERM_SONIA_OIS, OvernightIndices.GBP_SONIA},
{FixedOvernightSwapConventions.GBP_FIXED_1Y_SONIA_OIS, OvernightIndices.GBP_SONIA},
{FixedOvernightSwapConventions.JPY_FIXED_TERM_TONAR_OIS, OvernightIndices.JPY_TONAR},
Expand All @@ -141,6 +149,8 @@ public static Object[][] data_day_convention() {
{FixedOvernightSwapConventions.CHF_FIXED_1Y_SARON_OIS, BusinessDayConventions.MODIFIED_FOLLOWING},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_EONIA_OIS, BusinessDayConventions.MODIFIED_FOLLOWING},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_EONIA_OIS, BusinessDayConventions.MODIFIED_FOLLOWING},
{FixedOvernightSwapConventions.EUR_FIXED_TERM_ESTR_OIS, BusinessDayConventions.MODIFIED_FOLLOWING},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_ESTR_OIS, BusinessDayConventions.MODIFIED_FOLLOWING},
{FixedOvernightSwapConventions.GBP_FIXED_TERM_SONIA_OIS, BusinessDayConventions.MODIFIED_FOLLOWING},
{FixedOvernightSwapConventions.GBP_FIXED_1Y_SONIA_OIS, BusinessDayConventions.MODIFIED_FOLLOWING},
{FixedOvernightSwapConventions.JPY_FIXED_TERM_TONAR_OIS, BusinessDayConventions.MODIFIED_FOLLOWING},
Expand All @@ -160,6 +170,7 @@ public static Object[][] data_stub_on() {
{FixedOvernightSwapConventions.USD_FIXED_1Y_FED_FUND_OIS, Tenor.TENOR_18M},
{FixedOvernightSwapConventions.CHF_FIXED_1Y_SARON_OIS, Tenor.TENOR_18M},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_EONIA_OIS, Tenor.TENOR_18M},
{FixedOvernightSwapConventions.EUR_FIXED_1Y_ESTR_OIS, Tenor.TENOR_18M},
{FixedOvernightSwapConventions.GBP_FIXED_1Y_SONIA_OIS, Tenor.TENOR_18M},
{FixedOvernightSwapConventions.JPY_FIXED_1Y_TONAR_OIS, Tenor.TENOR_18M},
};
Expand Down