Create OvernightOvernightSwapConventions

modules/product/src/main/java/com/opengamma/strata/product/swap/type/OvernightOvernightSwapConvention.java

@@ -0,0 +1,211 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.swap.type;
+
+import java.time.LocalDate;
+import java.time.Period;
+
+import org.joda.convert.FromString;
+import org.joda.convert.ToString;
+
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.ReferenceDataNotFoundException;
+import com.opengamma.strata.basics.date.Tenor;
+import com.opengamma.strata.collect.ArgChecker;
+import com.opengamma.strata.collect.named.ExtendedEnum;
+import com.opengamma.strata.collect.named.Named;
+import com.opengamma.strata.product.TradeInfo;
+import com.opengamma.strata.product.common.BuySell;
+import com.opengamma.strata.product.swap.SwapTrade;
+
+/**
+ * A market convention for Overnight-Overnight swap trades.
+ * <p>
+ * This defines the market convention for an Overnight-Overnight single currency swap.
+ * The convention is formed by combining two swap leg conventions in the same currency.
+ * <p>
+ * To manually create a convention, see {@link ImmutableOvernightOvernightSwapConvention}.
+ * To register a specific convention, see {@code OvernightOvernightSwapConvention.ini}.
+ */
+public interface OvernightOvernightSwapConvention extends SingleCurrencySwapConvention, Named {
+
+  /**
+   * Obtains an instance from the specified unique name.
+   * 
+   * @param uniqueName  the unique name
+   * @return the convention
+   * @throws IllegalArgumentException if the name is not known
+   */
+  @FromString
+  public static OvernightOvernightSwapConvention of(String uniqueName) {
+    ArgChecker.notNull(uniqueName, "uniqueName");
+    return extendedEnum().lookup(uniqueName);
+  }
+
+  /**
+   * Gets the extended enum helper.
+   * <p>
+   * This helper allows instances of the convention to be looked up.
+   * It also provides the complete set of available instances.
+   * 
+   * @return the extended enum helper
+   */
+  public static ExtendedEnum<OvernightOvernightSwapConvention> extendedEnum() {
+    return OvernightOvernightSwapConventions.ENUM_LOOKUP;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the market convention of the spread leg.
+   * 
+   * @return the spread leg convention
+   */
+  public abstract OvernightRateSwapLegConvention getSpreadLeg();
+
+  /**
+   * Gets the market convention of the flat leg.
+   * 
+   * @return the flat leg convention
+   */
+  public abstract OvernightRateSwapLegConvention getFlatLeg();
+
+  //-------------------------------------------------------------------------
+  /**
+   * Creates a spot-starting trade based on this convention.
+   * <p>
+   * This returns a trade based on the specified tenor. For example, a tenor
+   * of 5 years creates a swap starting on the spot date and maturing 5 years later.
+   * <p>
+   * The notional is unsigned, with buy/sell determining the direction of the trade.
+   * If buying the swap, the rate of the flat leg is received from the counterparty,
+   * with the rate of the spread leg being paid. If selling the swap, the opposite occurs.
+   *
+   * @param tradeDate  the date of the trade
+   * @param tenor  the tenor of the swap
+   * @param buySell  the buy/sell flag
+   * @param notional  the notional amount
+   * @param spread  the spread, typically derived from the market
+   * @param refData  the reference data, used to resolve the trade dates
+   * @return the trade
+   * @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
+   */
+  @Override
+  public default SwapTrade createTrade(
+      LocalDate tradeDate,
+      Tenor tenor,
+      BuySell buySell,
+      double notional,
+      double spread,
+      ReferenceData refData) {
+
+    // override for Javadoc
+    return SingleCurrencySwapConvention.super.createTrade(tradeDate, tenor, buySell, notional, spread, refData);
+  }
+
+  /**
+   * Creates a forward-starting trade based on this convention.
+   * <p>
+   * This returns a trade based on the specified period and tenor. For example, a period of
+   * 3 months and a tenor of 5 years creates a swap starting three months after the spot date
+   * and maturing 5 years later.
+   * <p>
+   * The notional is unsigned, with buy/sell determining the direction of the trade.
+   * If buying the swap, the rate of the flat leg is received from the counterparty,
+   * with the rate of the spread leg being paid. If selling the swap, the opposite occurs.
+   *
+   * @param tradeDate  the date of the trade
+   * @param periodToStart  the period between the spot date and the start date
+   * @param tenor  the tenor of the swap
+   * @param buySell  the buy/sell flag
+   * @param notional  the notional amount
+   * @param spread  the spread, typically derived from the market
+   * @param refData  the reference data, used to resolve the trade dates
+   * @return the trade
+   * @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
+   */
+  @Override
+  public default SwapTrade createTrade(
+      LocalDate tradeDate,
+      Period periodToStart,
+      Tenor tenor,
+      BuySell buySell,
+      double notional,
+      double spread,
+      ReferenceData refData) {
+
+    // override for Javadoc
+    return SingleCurrencySwapConvention.super.createTrade(tradeDate, periodToStart, tenor, buySell, notional, spread, refData);
+  }
+
+  /**
+   * Creates a trade based on this convention.
+   * <p>
+   * This returns a trade based on the specified dates.
+   * <p>
+   * The notional is unsigned, with buy/sell determining the direction of the trade.
+   * If buying the swap, the rate of the flat leg is received from the counterparty,
+   * with the rate of the spread leg being paid. If selling the swap, the opposite occurs.
+   *
+   * @param tradeDate  the date of the trade
+   * @param startDate  the start date
+   * @param endDate  the end date
+   * @param buySell  the buy/sell flag
+   * @param notional  the notional amount
+   * @param spread  the spread, typically derived from the market
+   * @return the trade
+   */
+  @Override
+  public default SwapTrade toTrade(
+      LocalDate tradeDate,
+      LocalDate startDate,
+      LocalDate endDate,
+      BuySell buySell,
+      double notional,
+      double spread) {
+
+    // override for Javadoc
+    return SingleCurrencySwapConvention.super.toTrade(tradeDate, startDate, endDate, buySell, notional, spread);
+  }
+
+  /**
+   * Creates a trade based on this convention.
+   * <p>
+   * This returns a trade based on the specified dates.
+   * <p>
+   * The notional is unsigned, with buy/sell determining the direction of the trade.
+   * If buying the swap, the rate of the flat leg is received from the counterparty,
+   * with the rate of the spread leg being paid. If selling the swap, the opposite occurs.
+   *
+   * @param tradeInfo  additional information about the trade
+   * @param startDate  the start date
+   * @param endDate  the end date
+   * @param buySell  the buy/sell flag
+   * @param notional  the notional amount
+   * @param spread  the spread, typically derived from the market
+   * @return the trade
+   */
+  @Override
+  public abstract SwapTrade toTrade(
+      TradeInfo tradeInfo,
+      LocalDate startDate,
+      LocalDate endDate,
+      BuySell buySell,
+      double notional,
+      double spread);
+
+  //-------------------------------------------------------------------------
+  /**
+   * Gets the name that uniquely identifies this convention.
+   * <p>
+   * This name is used in serialization and can be parsed using {@link #of(String)}.
+   * 
+   * @return the unique name
+   */
+  @ToString
+  @Override
+  public abstract String getName();
+
+}

modules/product/src/main/java/com/opengamma/strata/product/swap/type/OvernightOvernightSwapConventions.java

@@ -0,0 +1,39 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.swap.type;
+
+import com.opengamma.strata.collect.named.ExtendedEnum;
+
+/**
+ * Market standard Overnight-Overnight swap conventions.
+ */
+public final class OvernightOvernightSwapConventions {
+
+  /**
+   * The extended enum lookup from name to instance.
+   */
+  static final ExtendedEnum<OvernightOvernightSwapConvention> ENUM_LOOKUP =
+      ExtendedEnum.of(OvernightOvernightSwapConvention.class);
+
+  //-------------------------------------------------------------------------
+  /**
+   * The 'USD-SOFR-3M-FED-FUND-3M' swap convention.
+   * <p>
+   * USD SOFR v USD Fed Fund 3M swap.
+   * <p>
+   * The spot date offset is 2 days.
+   */
+  public static final OvernightOvernightSwapConvention USD_FED_FUND_SOFR_3M =
+      OvernightOvernightSwapConvention.of(StandardOvernightOvernightSwapConventions.USD_FED_FUND_SOFR_3M.getName());
+
+  //-------------------------------------------------------------------------
+  /**
+   * Restricted constructor.
+   */
+  private OvernightOvernightSwapConventions() {
+  }
+
+}

modules/product/src/main/java/com/opengamma/strata/product/swap/type/StandardOvernightIborSwapConventions.java

@@ -5,8 +5,6 @@
  */
 package com.opengamma.strata.product.swap.type;
 
-import static com.opengamma.strata.basics.date.DayCounts.ACT_360;
-import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
 import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_3M;
 import static com.opengamma.strata.basics.index.IborIndices.USD_LIBOR_3M;
 import static com.opengamma.strata.basics.index.OvernightIndices.GBP_SONIA;
@@ -16,7 +14,6 @@
 import static com.opengamma.strata.product.swap.OvernightAccrualMethod.AVERAGED;
 import static com.opengamma.strata.product.swap.OvernightAccrualMethod.COMPOUNDED;
 
-import com.opengamma.strata.basics.date.DayCount;
 import com.opengamma.strata.basics.date.DaysAdjustment;
 import com.opengamma.strata.basics.date.HolidayCalendarId;
 import com.opengamma.strata.basics.index.IborIndex;
@@ -39,7 +36,7 @@ final class StandardOvernightIborSwapConventions {
    * The spot date offset is 2 days and the cut-off period is 2 days.
    */
   public static final OvernightIborSwapConvention USD_FED_FUND_AA_LIBOR_3M =
-      makeConvention("USD-FED-FUND-AA-LIBOR-3M", USD_FED_FUND, USD_LIBOR_3M, ACT_360, P3M, 0, 2, AVERAGED);
+      makeConvention("USD-FED-FUND-AA-LIBOR-3M", USD_FED_FUND, USD_LIBOR_3M, P3M, 0, 2, AVERAGED);
 
   /**
    * GBP Sonia compounded 1Y v LIBOR 3M .
@@ -48,15 +45,14 @@ final class StandardOvernightIborSwapConventions {
    * The spot date offset is 0 days and payment offset is 0 days.
    */
   public static final OvernightIborSwapConvention GBP_SONIA_OIS_1Y_LIBOR_3M =
-      makeConvention("GBP-SONIA-OIS-1Y-LIBOR-3M", GBP_SONIA, GBP_LIBOR_3M, ACT_365F, P12M, 0, 0, COMPOUNDED);
+      makeConvention("GBP-SONIA-OIS-1Y-LIBOR-3M", GBP_SONIA, GBP_LIBOR_3M, P12M, 0, 0, COMPOUNDED);
 
   //-------------------------------------------------------------------------
   // build conventions
   private static OvernightIborSwapConvention makeConvention(
       String name,
       OvernightIndex onIndex,
       IborIndex iborIndex,
-      DayCount dayCount,
       Frequency frequency,
       int paymentLag,
       int cutOffDays,

modules/product/src/main/java/com/opengamma/strata/product/swap/type/StandardOvernightOvernightSwapConventions.java

@@ -0,0 +1,57 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.swap.type;
+
+import static com.opengamma.strata.basics.index.OvernightIndices.USD_FED_FUND;
+import static com.opengamma.strata.basics.index.OvernightIndices.USD_SOFR;
+import static com.opengamma.strata.basics.schedule.Frequency.P3M;
+
+import com.opengamma.strata.basics.date.DaysAdjustment;
+import com.opengamma.strata.basics.date.HolidayCalendarId;
+import com.opengamma.strata.basics.index.OvernightIndex;
+import com.opengamma.strata.basics.schedule.Frequency;
+
+/**
+ * Market standard Overnight-Overnight swap conventions.
+ */
+final class StandardOvernightOvernightSwapConventions {
+
+  /**
+   * USD SOFR vs USD Fed Fund 3M swap.
+   * <p>
+   * The spot date offset is 2 days.
+   */
+  public static final OvernightOvernightSwapConvention USD_FED_FUND_SOFR_3M =
+      makeConvention("USD-SOFR-3M-FED-FUND-3M", USD_SOFR, USD_FED_FUND, P3M, 2, 2);
+
+  //-------------------------------------------------------------------------
+  // build conventions
+  private static OvernightOvernightSwapConvention makeConvention(
+      String name,
+      OvernightIndex spreadIndex,
+      OvernightIndex flatIndex,
+      Frequency frequency,
+      int paymentLag,
+      int spotLag) {
+
+    HolidayCalendarId calendar = spreadIndex.getFixingCalendar();
+    DaysAdjustment spotDateOffset = DaysAdjustment.ofBusinessDays(spotLag, calendar);
+    return ImmutableOvernightOvernightSwapConvention.of(
+        name,
+        OvernightRateSwapLegConvention.of(spreadIndex, frequency, paymentLag),
+        OvernightRateSwapLegConvention.of(flatIndex, frequency, paymentLag),
+        spotDateOffset);
+  }
+
+  //-------------------------------------------------------------------------
+
+  /**
+   * Restricted constructor.
+   */
+  private StandardOvernightOvernightSwapConventions() {
+  }
+
+}

modules/product/src/main/resources/META-INF/com/opengamma/strata/config/base/OvernightOvernightSwapConvention.ini

@@ -0,0 +1,15 @@
+# OvernightOvernightSwapConvention configuration
+
+# The providers are the classes that define the enum
+# The key is of the form 'provider.full.class.name'
+# The value is either
+#  'constants', the public static final constants from the class
+#  'lookup', the class implements NamedLookup with a no-args constructor
+#  'instance', the class has a static field named INSTANCE that is of type NamedLookup
+[providers]
+com.opengamma.strata.product.swap.type.StandardOvernightOvernightSwapConventions = constants
+
+# The set of alternate names
+# The key is the alternate name
+# The value is the standard name (loaded by a provider)
+[alternates]