public final class OvernightIndices extends Object
Each constant returns a standard definition of the specified index.
If a floating rate has a constant here, then it is fully supported by Strata with example holiday calendar data.
| Modifier and Type | Field and Description |
|---|---|
static OvernightIndex |
AUD_AONIA
The AONIA index for AUD.
|
static OvernightIndex |
BRL_CDI
The CDI index for BRL.
|
static OvernightIndex |
CAD_CORRA
The CORRA index for CAD.
|
static OvernightIndex |
CHF_SARON
The SARON index for CHF.
|
static OvernightIndex |
CHF_TOIS
Deprecated.
Not published as of 2017-12-29
|
static OvernightIndex |
DKK_TNR
The TN index for DKK.
|
static OvernightIndex |
EUR_EONIA
The EONIA index for EUR.
|
static OvernightIndex |
EUR_ESTER
Deprecated.
Use EUR_ESTR instead
|
static OvernightIndex |
EUR_ESTR
The ESTR index for EUR.
|
static OvernightIndex |
GBP_SONIA
The SONIA index for GBP.
|
static OvernightIndex |
JPY_TONAR
The TONAR index for JPY.
|
static OvernightIndex |
NOK_NOWA
The NOWA index for NOK.
|
static OvernightIndex |
NZD_NZIONA
The NZIONA index for NZD.
|
static OvernightIndex |
PLN_POLONIA
The PLONIA index for PLN.
|
static OvernightIndex |
SEK_SIOR
The SIOR index for SEK.
|
static OvernightIndex |
THB_THOR
The THOR index for THB.
|
static OvernightIndex |
USD_AMERIBOR
The AMERIBOR index for USD.
|
static OvernightIndex |
USD_FED_FUND
The Fed Fund index for USD.
|
static OvernightIndex |
USD_SOFR
The SOFR index for USD.
|
static OvernightIndex |
ZAR_SABOR
The SABOR index for ZAR.
|
public static final OvernightIndex GBP_SONIA
The Sterling Overnight Index Average (SONIA) index.
public static final OvernightIndex CHF_SARON
The Swiss Average Overnight Rate (SARON) index.
@Deprecated public static final OvernightIndex CHF_TOIS
The Tomorrow/Next Overnight Indexed Swaps (TOIS) index, which is a "Tomorrow/Next" index.
public static final OvernightIndex EUR_EONIA
The Euro OverNight Index Average (EONIA) index.
public static final OvernightIndex EUR_ESTR
The Euro Short-Term Rate (€STR) index. This was first published on 2019-10-02.
@Deprecated public static final OvernightIndex EUR_ESTER
The index was renamed.
public static final OvernightIndex JPY_TONAR
The Tokyo Overnight Average Rate (TONAR) index.
public static final OvernightIndex USD_FED_FUND
The Federal Funds Rate index.
public static final OvernightIndex USD_SOFR
The Secured Overnight Financing Rate (SOFR) index.
public static final OvernightIndex USD_AMERIBOR
The AMERIBOR index.
public static final OvernightIndex AUD_AONIA
AONIA is an "Overnight" index.
public static final OvernightIndex BRL_CDI
The "Brazil Certificates of Interbank Deposit" index.
public static final OvernightIndex CAD_CORRA
The "Canadian Overnight Repo Rate Average" index.
public static final OvernightIndex DKK_TNR
The "Tomorrow/Next-renten" index.
public static final OvernightIndex NOK_NOWA
The "Norwegian Overnight Weighted Average" index.
public static final OvernightIndex NZD_NZIONA
The "New Zealand Overnight" index.
public static final OvernightIndex PLN_POLONIA
The "Polish Overnight" index.
public static final OvernightIndex SEK_SIOR
The "STIBOR T/N" index.
public static final OvernightIndex THB_THOR
The "Thai Overnight Repurchase Rate" index.
public static final OvernightIndex ZAR_SABOR
The "South African Benchmark Overnight Rate" index.
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.