Hi team,
I am looking to create a new FixedIborSwapConvention “AUD-FIXED-6M-BBSW-6M” to price AUD swaps and model risk.
public static final FixedIborSwapConvention AUD_FIXED_6M_BBSW_6M =
ImmutableFixedIborSwapConvention.of(
“AUD-FIXED-6M-BBSW-6M”,
FixedRateSwapLegConvention.of(AUD, ACT_365_ACTUAL, P6M, BusinessDayAdjustment.of(MODIFIED_FOLLOWING, GBLO_AUSY)),
IborRateSwapLegConvention.of(IborIndices.AUD_BBSW_6M));
I’ve realised that this class is final and therefore when running my code I get the error name not found.
After looking through some examples on this forum, I see that I am able to load this new FixedIborSwapConvention via a csv file in the ClassPath src/main/resources/META-INF/com/opengamma/strata/config/base/FixedIborSwapConventionData.csv
|Name| Currency| Day Count| Fixed Leg Frequency| Fixed Leg Business Day Convention| Index| Index Day Count| Index Frequency| Index Business Day Convention| Floating Leg Spread|
|AUD-FIXED-6M-BBSW-6M|AUD| ACT/365F| P6M| MODIFIED_FOLLOWING| BBSW-6M| ACT/365F| P6M| MODIFIED_FOLLOWING|0|
However, when running the code, my calibrations.csv file is still unable to find the newly defined convention.
Error parsing curve definition CSV file ‘calibrations-aud.csv’: FixedIborSwapConvention name not found: AUD-FIXED-6M-BBSW-6M
Files i’m using below:
~calibrations-aud.csv
|Curve Name|Label|Symbology|Ticker|Field Name|Type|Convention|Time|
| AUD-CURVE|AUD-BBSW-3M|OG-Ticker|AUD-BBSW-3M|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|3M|
| AUD-CURVE|AUD-BBSW-6M|OG-Ticker|AUD-BBSW-6M|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|6M|
| AUD-CURVE|AUD-IRS6M-1Y|OG-Ticker|AUD-IRS6M-1Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|1Y|
| AUD-CURVE|AUD-IRS6M-2Y|OG-Ticker|AUD-IRS6M-2Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|2Y|
| AUD-CURVE|AUD-IRS6M-3Y|OG-Ticker|AUD-IRS6M-3Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|3Y|
| AUD-CURVE|AUD-IRS6M-4Y|OG-Ticker|AUD-IRS6M-4Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|4Y|
| AUD-CURVE|AUD-IRS6M-5Y|OG-Ticker|AUD-IRS6M-5Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|5Y|
| AUD-CURVE|AUD-IRS6M-6Y|OG-Ticker|AUD-IRS6M-6Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|6Y|
| AUD-CURVE|AUD-IRS6M-7Y|OG-Ticker|AUD-IRS6M-7Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|7Y|
| AUD-CURVE|AUD-IRS6M-8Y|OG-Ticker|AUD-IRS6M-8Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|8Y|
| AUD-CURVE|AUD-IRS6M-9Y|OG-Ticker|AUD-IRS6M-9Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|9Y|
| AUD-CURVE|AUD-IRS6M-10Y|OG-Ticker|AUD-IRS6M-10Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|10Y|
| AUD-CURVE|AUD-IRS6M-12Y|OG-Ticker|AUD-IRS6M-12Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|12Y|
| AUD-CURVE|AUD-IRS6M-15Y|OG-Ticker|AUD-IRS6M-15Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|15Y|
| AUD-CURVE|AUD-IRS6M-20Y|OG-Ticker|AUD-IRS6M-20Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|20Y|
| AUD-CURVE|AUD-IRS6M-25Y|OG-Ticker|AUD-IRS6M-25Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|25Y|
| AUD-CURVE|AUD-IRS6M-30Y|OG-Ticker|AUD-IRS6M-30Y|MarketValue|IRS|AUD-FIXED-6M-BBSW-6M|30Y|
~groups-aud.csv
|Group Name|Curve Type|Reference|Curve Name|
|AUD-DSCON-BBSW6M|Discount|AUD|AUD-CURVE|
~settings-aud.csv
|Curve Name|Value Type|Day Count|Interpolator|Left Extrapolator|Right Extrapolator|
|AUD-CURVE|Zero|Act/365F|LogNaturalSplineDiscountFactor|Interpolator|LogLinear|
Is my FixedIborSwapConventionData.csv incorrect/saved in the wrong folder/ add another csv?
Do I need to reference this FixedIborSwapConventionData.csv or is this add automatically?
Can you please help me with this issue to reference my new FixedIborSwapConvention
Thanks vm