Add DKK-DESTR and SEK-SWESTR overnight indices (#2537)

OpenGamma · Dec 9, 2022 · 3ebfea7 · 3ebfea7
1 parent 1198a31
commit 3ebfea7
Show file tree

Hide file tree

Showing 2 changed files with 14 additions and 0 deletions.
diff --git a/...ics/src/main/resources/META-INF/com/opengamma/strata/config/base/FloatingRateNameData.ini b/...ics/src/main/resources/META-INF/com/opengamma/strata/config/base/FloatingRateNameData.ini
@@ -374,6 +374,12 @@ DKK-CITA-OIS-COMPOUND = DKK-TNR
 DKK-Tom Next = DKK-TNR
 DKK-Tom Next-OIS Compound = DKK-TNR
 
+# "DKK-DESTR"/"DKK-DESTR-OIS Compound" are the ISDA 2021 codes
+DKK-DESTR = DKK-DESTR
+DKK-DESTR-OIS = DKK-DESTR
+DKK-DESTR-OIS Compound = DKK-DESTR
+DKK-DESTR-OIS COMPOUND = DKK-DESTR
+
 # "HKD-HONIX-OIS-COMPOUND" is the FpML/ISDA code
 # "HKD-HONIA"/"HKD-HONIA-OIS Compound" are the ISDA 2021 codes
 HKD-HONIA = HKD-HONIA
@@ -444,6 +450,12 @@ SEK-STINA-COMPOUND = SEK-SIOR
 SEK-STINA-OIS-COMPOUND = SEK-SIOR
 SEK-STIBOR-OIS Compound = SEK-SIOR
 
+# "SEK-SWESTR"/"SEK-SWESTR-OIS Compound" are the ISDA 2021 codes
+SEK-SWESTR = SEK-SWESTR
+SEK-SWESTR-OIS = SEK-SWESTR
+SEK-SWESTR-OIS Compound = SEK-SWESTR
+SEK-SWESTR-OIS COMPOUND = SEK-SWESTR
+
 # "SGD-SONAR-OIS-VWAP-COMPOUND" is the FpML/ISDA code
 SGD-SONAR = SGD-SONAR
 SGD-SONAR-COMPOUND = SGD-SONAR

diff --git a/...asics/src/main/resources/META-INF/com/opengamma/strata/config/base/OvernightIndexData.csv b/...asics/src/main/resources/META-INF/com/opengamma/strata/config/base/OvernightIndexData.csv
@@ -31,6 +31,7 @@ CZK-CZEONIA,CZK,TRUE,Act/360,CZPR,1,0,Act/360
 
 # standard name
 DKK-TNR,DKK,TRUE,Act/360,DKCO,1,1,Act/360
+DKK-DESTR,DKK,TRUE,Act/360,DKCO,1,1,Act/360
 
 # standard name
 HKD-HONIA,HKD,TRUE,Act/365F,HKHK,0,0,Act/365F
@@ -68,6 +69,7 @@ SAR-OSAIBOR,SAR,TRUE,Act/365F,SARI,1,0,Act/365F
 
 # SIOR is same as STIBOR T/N,,,,,,,
 SEK-SIOR,SEK,TRUE,Act/360,SEST,0,1,Act/360
+SEK-SWESTR,SEK,TRUE,Act/360,SEST,0,1,Act/360
 
 # standard name
 SGD-SONAR,SGD,TRUE,Act/365F,SGSI,0,0,Act/365F