com.opengamma.strata.product.swap.type

Class XCcyIborIborSwapConventions

java.lang.Object

com.opengamma.strata.product.swap.type.XCcyIborIborSwapConventions

public final class XCcyIborIborSwapConventions
extends Object

Market standard cross-currency Ibor-Ibor swap conventions.

https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf

Field Summary

Fields

Modifier and Type	Field and Description
static XCcyIborIborSwapConvention	EUR_EURIBOR_3M_USD_LIBOR_3M The 'EUR-EURIBOR-3M-USD-LIBOR-3M' swap convention.
static XCcyIborIborSwapConvention	GBP_LIBOR_3M_EUR_EURIBOR_3M The 'GBP-LIBOR-3M-EUR-EURIBOR-3M' swap convention.
static XCcyIborIborSwapConvention	GBP_LIBOR_3M_JPY_LIBOR_3M The 'GBP-LIBOR-3M-JPY-LIBOR-3M' swap convention.
static XCcyIborIborSwapConvention	GBP_LIBOR_3M_USD_LIBOR_3M The 'GBP-LIBOR-3M-USD-LIBOR-3M' swap convention.

Method Summary

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

EUR_EURIBOR_3M_USD_LIBOR_3M

public static final XCcyIborIborSwapConvention EUR_EURIBOR_3M_USD_LIBOR_3M

The 'EUR-EURIBOR-3M-USD-LIBOR-3M' swap convention.

EUR EURIBOR 3M v USD LIBOR 3M. The spread is on the EUR leg.

GBP_LIBOR_3M_USD_LIBOR_3M

public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_USD_LIBOR_3M

The 'GBP-LIBOR-3M-USD-LIBOR-3M' swap convention.

GBP LIBOR 3M v USD LIBOR 3M. The spread is on the GBP leg.

GBP_LIBOR_3M_EUR_EURIBOR_3M

public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_EUR_EURIBOR_3M

The 'GBP-LIBOR-3M-EUR-EURIBOR-3M' swap convention.

GBP LIBOR 3M v EUR EURIBOR 3M. The spread is on the GBP leg.

GBP_LIBOR_3M_JPY_LIBOR_3M

public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_JPY_LIBOR_3M

The 'GBP-LIBOR-3M-JPY-LIBOR-3M' swap convention.

GBP LIBOR 3M v JPY LIBOR 3M. The spread is on the GBP leg.