Support Overnight-Overnight nodes in curves

Add conventions and templates Fixes #1911
OpenGamma · Apr 16, 2021 · d96fc6f · d96fc6f
1 parent d2c5222
commit d96fc6f
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Showing 9 changed files with 2,155 additions and 2 deletions.
diff --git a/modules/basics/src/main/java/com/opengamma/strata/basics/index/OvernightIndex.java b/modules/basics/src/main/java/com/opengamma/strata/basics/index/OvernightIndex.java
@@ -72,14 +72,14 @@ public static ExtendedEnum<OvernightIndex> extendedEnum() {
   public abstract int getPublicationDateOffset();
 
   /**
-   * Gets the number of days to add to the fixing date to obtain the effective date.
+   * Gets the number of business days to add to the fixing date to obtain the effective date.
    * <p>
    * In most cases, the settlement date and start of the implied deposit is on the fixing date.
    * In a few cases, the settlement date is the following business day.
    * This property is zero if settlement is on the fixing date, or one if it is the next day.
    * Maturity is always one business day after the settlement date.
    * 
-   * @return the effective date offset
+   * @return the effective date offset in business days
    */
   public abstract int getEffectiveDateOffset();
 

diff --git a/modules/loader/src/main/java/com/opengamma/strata/loader/csv/RatesCalibrationCsvLoader.java b/modules/loader/src/main/java/com/opengamma/strata/loader/csv/RatesCalibrationCsvLoader.java
@@ -57,6 +57,7 @@
 import com.opengamma.strata.market.curve.node.IborIborSwapCurveNode;
 import com.opengamma.strata.market.curve.node.OvernightFutureCurveNode;
 import com.opengamma.strata.market.curve.node.OvernightIborSwapCurveNode;
+import com.opengamma.strata.market.curve.node.OvernightOvernightSwapCurveNode;
 import com.opengamma.strata.market.curve.node.TermDepositCurveNode;
 import com.opengamma.strata.market.curve.node.ThreeLegBasisSwapCurveNode;
 import com.opengamma.strata.market.curve.node.XCcyIborIborSwapCurveNode;
@@ -83,6 +84,8 @@
 import com.opengamma.strata.product.swap.type.IborIborSwapTemplate;
 import com.opengamma.strata.product.swap.type.OvernightIborSwapConvention;
 import com.opengamma.strata.product.swap.type.OvernightIborSwapTemplate;
+import com.opengamma.strata.product.swap.type.OvernightOvernightSwapConvention;
+import com.opengamma.strata.product.swap.type.OvernightOvernightSwapTemplate;
 import com.opengamma.strata.product.swap.type.ThreeLegBasisSwapConvention;
 import com.opengamma.strata.product.swap.type.ThreeLegBasisSwapTemplate;
 import com.opengamma.strata.product.swap.type.XCcyIborIborSwapConvention;
@@ -453,6 +456,9 @@ private static CurveNode createCurveNode(
     if ("ONI".equalsIgnoreCase(typeStr) || "OvernightIborBasisSwap".equalsIgnoreCase(typeStr)) {
       return curveOvernightIborCurveNode(conventionStr, timeStr, label, quoteId, spread, date, order);
     }
+    if ("ONO".equalsIgnoreCase(typeStr) || "OvernightOvernightSwap".equalsIgnoreCase(typeStr)) {
+      return curveOvernightOvernightCurveNode(conventionStr, timeStr, label, quoteId, spread, date, order);
+    }
     if ("XCS".equalsIgnoreCase(typeStr) || "XCcyIborIborSwap".equalsIgnoreCase(typeStr)) {
       return curveXCcyIborIborCurveNode(conventionStr, timeStr, label, quoteId, spread, date, order);
     }
@@ -777,6 +783,33 @@ private static CurveNode curveOvernightIborCurveNode(
         .build();
   }
 
+  private static CurveNode curveOvernightOvernightCurveNode(
+      String conventionStr,
+      String timeStr,
+      String label,
+      QuoteId quoteId,
+      double spread,
+      CurveNodeDate date,
+      CurveNodeDateOrder order) {
+
+    Matcher matcher = SIMPLE_YM_TIME_REGEX.matcher(timeStr.toUpperCase(Locale.ENGLISH));
+    if (!matcher.matches()) {
+      throw new IllegalArgumentException(
+          Messages.format("Invalid time format for Overnight-Overnight swap: {}", timeStr));
+    }
+    Period periodToEnd = Period.parse("P" + matcher.group(1));
+    OvernightOvernightSwapConvention convention = OvernightOvernightSwapConvention.of(conventionStr);
+    OvernightOvernightSwapTemplate template = OvernightOvernightSwapTemplate.of(Tenor.of(periodToEnd), convention);
+    return OvernightOvernightSwapCurveNode.builder()
+        .template(template)
+        .rateId(quoteId)
+        .additionalSpread(spread)
+        .label(label)
+        .date(date)
+        .dateOrder(order)
+        .build();
+  }
+
   private static CurveNode curveFxSwapCurveNode(
       String conventionStr,
       String timeStr,