enums.proto

// DO NOT REMOVE COPYRIGHT NOTICES OR THIS HEADER.
//
// Contributor(s):
//
// The Original Software is OpenRedukti
// (https://github.com/redukti/OpenRedukti). The Initial Developer of the
// Original Software is REDUKTI LIMITED (http://redukti.com). Authors: Dibyendu
// Majumdar
//
// Copyright 2017-2019 REDUKTI LIMITED. All Rights Reserved.
//
// The contents of this file are subject to the the GNU General Public License
// Version 3 (https://www.gnu.org/licenses/gpl.txt).

syntax = "proto3";

package redukti;
option cc_enable_arenas = true;
option csharp_namespace = "Redukti.Types";
option java_package = "com.redukti.types";
option java_multiple_files = true;
option java_outer_classname = "EnumsProtos";

// These standard codes are meant to be
// used in service definitions
enum StandardResponseCode {
  SRC_OK = 0;
  SRC_ERROR = 1;
  SRC_UNKNOWN_REQUEST = 2;
  SRC_SERVICE_UNAVAILABLE = 3;
}

// Currencies - we use enums as more efficient
// communication formats
// Note that max value allowed is 31
enum Currency {
  CURRENCY_UNSPECIFIED = 0;
  USD = 1;
  GBP = 2;
  EUR = 3;
  JPY = 4;
  AUD = 5;
  CAD = 6;
  CHF = 7;
  CZK = 8;
  DKK = 9;
  HKD = 10;
  NOK = 11;
  NZD = 12;
  SEK = 13;
  SGD = 14;
  MXN = 15;
  ZAR = 16;
  HUF = 17;
  PLN = 18;
}

// Index names closely matching those
// used in FpML messages
// We should probably rename this
// to IsdaFloatingRateIndex as it only
// references floating rate indices
// (including Inflation indices)
enum IsdaIndex {
  ISDA_INDEX_UNSPECIFIED = 0;
  AUD_AONIA_OIS_COMPOUND = 1;
  AUD_BBR_BBSW = 2;
  AUD_LIBOR_BBA = 3;
  CAD_BA_CDOR = 4;
  CAD_CORRA_OIS_COMPOUND = 5;
  CAD_LIBOR_BBA = 6;
  CHF_LIBOR_BBA = 7;
  CHF_TOIS_OIS_COMPOUND = 8;
  CZK_PRIBOR_PRBO = 9;
  DKK_CIBOR_DKNA13 = 10;
  DKK_CIBOR2_DKNA13 = 11;
  EUR_EONIA_OIS_COMPOUND = 12;
  EUR_EURIBOR_Reuters = 13;
  EUR_EURIBOR_Telerate = 14;
  EUR_EXT_CPI = 15;
  EUR_LIBOR_BBA = 16;
  FRC_EXT_CPI = 17;
  GBP_LIBOR_BBA = 18;
  GBP_WMBA_SONIA_COMPOUND = 19;
  HKD_HIBOR_HIBOR = 20;
  HKD_HIBOR_HKAB = 21;
  HKD_HIBOR_ISDC = 22;
  HUF_BUBOR_Reuters = 23;
  JPY_LIBOR_BBA = 24;
  JPY_TONA_OIS_COMPOUND = 25;
  MXN_TIIE_Banxico = 26;
  MXN_USDMXNBASIS = 27;
  NOK_NIBOR_NIBR = 28;
  NZD_BBR_FRA = 29;
  NZD_BBR_Telerate = 30;
  PLN_WIBOR_WIBO = 31;
  SEK_STIBOR_SIDE = 32;
  SGD_SOR_Reuters = 33;
  SGD_SOR_VWAP = 34;
  UK_RPI = 35;
  USA_CPI_U = 36;
  USD_Federal_Funds_H_15 = 37;
  USD_Federal_Funds_H_15_OIS_COMPOUND = 38;
  USD_LIBOR_BBA = 39;
  ZAR_JIBAR_SAFEX = 40;
}

// Index family is used to define a group of
// indices
// TODO we should rename this to maybe CurveFamily
// as this should cover Bond and Repo
// curves too
// Note that max value alowed is 63 (6 bits)
enum IndexFamily {
  INDEX_FAMILY_UNSPECIFIED = 0;
  LIBOR = 1;
  FEDFUND = 2;
  EURIBOR = 3;
  SONIA = 4;
  AONIA = 5;
  BBSW = 6;
  CDOR = 7;
  CORRA = 8;
  TOIS = 9;
  PRIBOR = 10;
  CIBOR = 11;
  HIBOR = 12;
  BUBOR = 13;
  TONA = 14;
  NIBOR = 15;
  BKBM = 16;
  WIBOR = 17;
  STIBOR = 18;
  SOR = 19;
  JIBAR = 20;
  EONIA = 21;
  BBR = 22;
  BA = 23;
  USDMXNBASIS = 24;
  TIIE = 25;
  GOVT_BOND = 26;
  REPO_CURVE = 27;
}

// Day Count Fraction names based upon equivalent
// names used in FpML
enum DayCountFraction {
  DAY_COUNT_FRACTION_UNSPECIFIED = 0;
  ACT_360 = 1;
  ACT_365_FIXED = 2;
  THIRTY_360 = 3;
  THIRTYE_360 = 4;
  THIRTYE_360_ISDA = 5;
  ONE_ON_ONE = 6;
  ACT_ACT_ISDA = 7;
  ACT_ACT_ISMA = 8;
  BUS_252 = 9;
}

// Compounding methods as defined by FpML
enum CompoundingMethod {
  COMPOUNDING_METHOD_UNSPECIFIED = 0;
  COMPOUNDING_METHOD_NONE = 1;
  FLAT = 2;
  STRAIGHT = 3;
  SPREAD_EXCLUSIVE = 4;
}

// Names of business centers as defined by ISDA / FpML
enum BusinessCenter {
  BUSINESS_CENTER_UNSPECIFIED = 0;
  AUSY = 1;
  CATO = 2;
  CHZU = 3;
  CZPR = 4;
  EUTA = 5;
  GBLO = 6;
  USNY = 7;
  HKHK = 8;
  JPTO = 9;
  NOOS = 10;
  BRSP = 11;
}

// Business Day Convention specifies how a date will
// be adjusted if it falls on a holiday
// These are based upon definitions in FpML.
enum BusinessDayConvention {
  BUSINESS_DAY_CONVENTION_UNSPECIFIED = 0;
  // ISDA
  FOLLOWING = 1;
  // Choose the first business day after
  // the given holiday
  MODIFIED_FOLLOWING = 2;
  // Choose the first business day after
  // the given holiday unless it belongs
  // to a different month, in which case
  // choose the first business day before
  // the holiday.
  PRECEDING = 3;
  // Choose the first business day before
  // the given holiday. */
  // NON ISDA
  MODIFIED_PRECEDING = 4;
  // Choose the first business day before
  // the given holiday unless it belongs
  // to a different month, in which case
  // choose the first business day after
  // the holiday.
  UNADJUSTED = 5;
  // Do not adjust.
}

// WARNING - various things will break if the tenors
// are changed or reordered.
//
// IMPORTANT
//
// 1. Each tenor has a value that is consistent
//    with its sort order - i.e. ID < 2D < 3D < 1W
// 2. Secondly the conversion from other representations
//    to / from tenors is coded around this so changing
//    the tenors means changing the conversion code
// 3. OpenRedukti only handles tenors that are coded
//    here - so if a tenor is not defined here it cannot
//    be used.
//
// Note that max value allowed is 127 (7 bits)
enum Tenor {
  TENOR_UNSPECIFIED = 0;
  TENOR_1D = 1;
  TENOR_2D = 2;
  TENOR_3D = 3;
  TENOR_4D = 4;
  TENOR_5D = 5;
  TENOR_6D = 6;
  TENOR_1W = 7;
  TENOR_2W = 8;
  TENOR_3W = 9;
  TENOR_1M = 10;
  TENOR_2M = 11;
  TENOR_3M = 12;
  TENOR_4M = 13;
  TENOR_5M = 14;
  TENOR_6M = 15;
  TENOR_7M = 16;
  TENOR_8M = 17;
  TENOR_9M = 18;
  TENOR_10M = 19;
  TENOR_11M = 20;
  TENOR_12M = 21;
  TENOR_13M = 22;
  TENOR_14M = 23;
  TENOR_15M = 24;
  TENOR_16M = 25;
  TENOR_17M = 26;
  TENOR_18M = 27;
  TENOR_19M = 28;
  TENOR_20M = 29;
  TENOR_21M = 30;
  TENOR_22M = 31;
  TENOR_23M = 32;
  TENOR_2Y = 33;
  TENOR_3Y = 34;
  TENOR_4Y = 35;
  TENOR_5Y = 36;
  TENOR_6Y = 37;
  TENOR_7Y = 38;
  TENOR_8Y = 39;
  TENOR_9Y = 40;
  TENOR_10Y = 41;
  TENOR_11Y = 42;
  TENOR_12Y = 43;
  TENOR_13Y = 44;
  TENOR_14Y = 45;
  TENOR_15Y = 46;
  TENOR_16Y = 47;
  TENOR_17Y = 48;
  TENOR_18Y = 49;
  TENOR_19Y = 50;
  TENOR_20Y = 51;
  TENOR_21Y = 52;
  TENOR_22Y = 53;
  TENOR_23Y = 54;
  TENOR_24Y = 55;
  TENOR_25Y = 56;
  TENOR_26Y = 57;
  TENOR_27Y = 58;
  TENOR_28Y = 59;
  TENOR_29Y = 60;
  TENOR_30Y = 61;
  TENOR_31Y = 62;
  TENOR_32Y = 63;
  TENOR_33Y = 64;
  TENOR_34Y = 65;
  TENOR_35Y = 66;
  TENOR_36Y = 67;
  TENOR_37Y = 68;
  TENOR_38Y = 69;
  TENOR_39Y = 70;
  TENOR_40Y = 71;
  TENOR_41Y = 72;
  TENOR_42Y = 73;
  TENOR_43Y = 74;
  TENOR_44Y = 75;
  TENOR_45Y = 76;
  TENOR_46Y = 77;
  TENOR_47Y = 78;
  TENOR_48Y = 79;
  TENOR_49Y = 80;
  TENOR_50Y = 81;
  TENOR_51Y = 82;
  TENOR_52Y = 83;
  TENOR_53Y = 84;
  TENOR_54Y = 85;
  TENOR_55Y = 86;
  TENOR_56Y = 87;
  TENOR_57Y = 88;
  TENOR_58Y = 89;
  TENOR_59Y = 90;
  TENOR_60Y = 91;
  TENOR_61Y = 92;
  TENOR_62Y = 93;
  TENOR_63Y = 94;
  TENOR_64Y = 95;
  TENOR_65Y = 96;
  TENOR_1T = 97;
}

// Units used to describe time periods
enum PeriodUnit {
  PERIOD_UNIT_UNRECOGNIZED = 0;
  TERMS = 1;
  DAYS = 2;
  WEEKS = 3;
  MONTHS = 4;
  YEARS = 5;
}

// Roll convention for computing calculation
// periods; based upon FpML
enum RollConvention {
  ROLL_CONVENTION_DEFAULT = 0;
  ROLL_CONVENTION_NONE = 1;
  EOM = 2;
  IMM = 3;
  IMMAUD = 4;
  IMMCAD = 5;
  IMMNZD = 6;
}

// Rules for combining calendars
// These are based upon definitions
// in QuantLib
enum JointCalendarRule {
  // A date is a holiday
  // for the joint calendar
  // if it is a holiday
  // for any of the given
  // calendars
  JOIN_HOLIDAYS = 0;

  // A date is a business day
  // for the joint calendar
  // if it is a business day
  // for any of the given
  // calendars
  JOIN_BUSINESS_DAYS = 1;
}

// Interpolation methods used in curves
// for interpolating values between pillars
enum InterpolatorType {
  LINEAR = 0;
  LOG_LINEAR = 1;
  MONOTONE_CONVEX = 2;
  FLAT_RIGHT = 3;
  FLAT_LEFT = 4;
  CUBIC_SPLINE_NOT_A_KNOT = 5;
  CUBIC_SPLINE_NATURAL = 6;
  LOG_CUBIC_SPLINE_NATURAL = 7;
  CUBIC_SPLINE_CLAMPED = 8;
}

// Curves can be assigned to a logical
// group - useful if different curve
// definitions are needed for different purposes
enum CurveGroup {
  CURVE_GROUP_UNSPECIFIED = 0;
  CURVE_GROUP_A = 1;
  CURVE_GROUP_B = 2;
  CURVE_GROUP_C = 3;
  CURVE_GROUP_D = 4;
  CURVE_GROUP_E = 5;
  CURVE_GROUP_F = 6;
}

// CurveType identifies how the curve operates on its input
enum CurveType {
  // Curve uses an interpolator and a vector of
  // rates or discount factors
  CURVE_TYPE_INTERPOLATED = 0;
  // Curve uses parameters
  CURVE_TYPE_SVENSSON_PARAMETRIC = 1;
}

// The type of value used in a curve
enum IRRateType {
  ZERO_RATE = 0;
  DISCOUNT_FACTOR = 1;
  FORWARD_RATE = 2;
}

// The usage of a curve
enum PricingCurveType {
  PRICING_CURVE_TYPE_UNSPECIFIED = 0;
  PRICING_CURVE_TYPE_FORWARD = 1;
  PRICING_CURVE_TYPE_DISCOUNT = 2;
}

// Market data (curves) can be tagged
// with a category
enum MarketDataQualifier {
  // Normal market data observation
  MDQ_NORMAL = 0;
  // Closing observation - sets baseline for
  // mark to market
  MDQ_CLOSING = 1;
}

// This defines how the maturities for instruments
// in a curve should be calculated
enum MaturityGenerationRule {
  MATURITY_GENERATION_RULE_DERIVE_FROM_INSTRUMENTS = 0;
  MATURITY_GENERATION_RULE_FIXED_TENORS = 1;
  // For Svensson curves the curve is based on
  // 6 parameters rather than maturity pillars
  MATURITY_GENERATION_RULE_SVENSSON = 2;
}

enum ProductSubType {
  PRODUCT_SUB_TYPE_UNRECOGNIZED = 0;
  FRA_FRA = 1;
  IRSWAP_FIXEDFLOAT = 2;
  IRSWAP_BASIS = 3;
  IRSWAP_OIS = 4;
}

enum ResponseSubCode {
  kOk = 0;
  kBadArgument = 1;
  kError = 2;
  kNotImplemented = 3;
  kNotAvailable = 4;
  kInternalError = 5;
  kShuttingDown = 6;

  kBTS_LuaInitFailure = 1201;
  kBTS_BadInputCurves = 1202;
  kBTS_InstrumentError = 1203;
  kBTS_SolverFailure = 1204;
  kBTS_BadBusinessDate = 1205;
  kBTS_BadInterpolatedOn = 1206;
  kBTS_MissingFixedTenors = 1207;
  kBTS_BadMaturitiesSortOrder = 1208;
  kBTS_CurveDefinitionNotFound = 1209;
  kBTS_CashflowDefinitionFailed = 1210;
  kBTS_LuaScriptFailure = 1211;
  kBTS_LuaPricingRoutineNotFound = 1212;
  kBTS_DuplicateCurve = 1213;
  kBTS_ForwardCurveReferenceNotFound = 1214;
  kBTS_DiscountCurveReferenceNotFound = 1215;
  kBTS_CashflowGenerationFailed = 1216;
  kBTS_MissingCurveDefinitions = 1217;
  kBTS_MissingParCurves = 1218;
  kBTS_DefinitonsAndCurvesMismatch = 1219;
  kBTS_BadMaturityGenerationRule = 1220;

  kVAL_BadBusinessDate = 1231;
  kVAL_BadMaturityDate = 1232;
  kVAL_BadZeroRate = 1233;
  kVAL_CurveDefinitionNotRegistered = 1234;
  kVAL_MismatchedMaturitiesAndValues = 1235;
  kVAL_InsufficientMaturities = 1236;
  kVAL_BadFixingDate = 1237;
  kVAL_BadFixingValue = 1238;
  kVAL_UnsupportedIndexOrTenor = 1239;
  kVAL_MissingCashflow = 1240;
  kVAL_MissingPricingContext = 1241;
  kVAL_FixingDataUnavailable = 1242;
  kVAL_FixingNotFound = 1243;
  kVAL_MappedCurveNotFound = 1244;
  kVAL_UnsupportedCashflowType = 1245;
  kVAL_CurveGroupNotFound = 1246;
  kVAL_CashflowConversionFailed = 1247;
  kVAL_CurveMappingsForCurveGroupNotFound = 1248;
  kVAL_DetectedTooManyRiskFactorsInCashflow = 1249;
  kVAL_MissingParSensitivitiesForCurve = 1250;
  kVAL_ParSensitivitiesForCurveMismatchedMaturities = 1251;
  kVAL_ParSensitivitiesForCurveInstrumentsOutOfRange = 1252;
  kVAL_MissingMarketDataEpoch = 1253;

  kCFG_ScheduleGenerationFailed = 1260;
  kCFG_MissingTrade = 1261;
  kCFG_UnsupportedLegType = 1262;
  kCFG_BadInput = 1263;
  kCFG_UnsupportedTradeType = 1264;
  kCFG_SteppedCashflowsNotImplementedYet = 1265;
  kCFG_IndexConfigurationMissing = 1266;

  kSCH_FirstRegularStartDateInconsistent = 1300;
  kSCH_LastRegularEndDateInconsistent = 1301;
  kSCH_EffectiveDateRequired = 1302;
  kSCH_TerminateDateOrTermRequired = 1303;
  kSCH_TerminationDateRequired = 1304;
  kSCH_CalculationFrequencyRequired = 1305;
  kSCH_IncompatiblePaymentAndCalculationFrequencies = 1306;
  kSCH_PaymentFrequencyLessThanCalculationFrequency = 1307;
  kSCH_PaymentFrequencyNotMultipleOfCalculationFrequency = 1308;

  kCAL_RegisterCalendarFailed = 1401;

  kIDX_ValidFixingCalendarRequired = 1410;
  kIDX_ValidDayCountFractionRequired = 1411;
}