com.opengamma.strata.product.credit.type

Class CdsConventions

java.lang.Object

com.opengamma.strata.product.credit.type.CdsConventions

public final class CdsConventions
extends Object

Standardized credit default swap conventions.

Field Summary

Fields

Modifier and Type	Field and Description
static CdsConvention	EUR_GB_STANDARD EUR-dominated standardized credit default swap.
static CdsConvention	EUR_STANDARD EUR-dominated standardized credit default swap.
static CdsConvention	GBP_STANDARD GBP-dominated standardized credit default swap.
static CdsConvention	GBP_US_STANDARD GBP-dominated standardized credit default swap.
static CdsConvention	JPY_STANDARD JPY-dominated standardized credit default swap.
static CdsConvention	JPY_US_GB_STANDARD JPY-dominated standardized credit default swap.
static CdsConvention	USD_STANDARD USD-dominated standardized credit default swap.

Method Summary

Methods inherited from class java.lang.Object

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

Field Detail

USD_STANDARD

public static final CdsConvention USD_STANDARD

USD-dominated standardized credit default swap.

EUR_STANDARD

public static final CdsConvention EUR_STANDARD

EUR-dominated standardized credit default swap.

The payment dates are calculated with 'EUTA'.

EUR_GB_STANDARD

public static final CdsConvention EUR_GB_STANDARD

EUR-dominated standardized credit default swap.

The payment dates are calculated with 'EUTA' and 'GBLO'.

GBP_STANDARD

public static final CdsConvention GBP_STANDARD

GBP-dominated standardized credit default swap.

The payment dates are calculated with 'GBLO'.

GBP_US_STANDARD

public static final CdsConvention GBP_US_STANDARD

GBP-dominated standardized credit default swap.

The payment dates are calculated with 'GBLO' and 'USNY'.

JPY_STANDARD

public static final CdsConvention JPY_STANDARD

JPY-dominated standardized credit default swap.

The payment dates are calculated with 'JPTO'.

JPY_US_GB_STANDARD

public static final CdsConvention JPY_US_GB_STANDARD

JPY-dominated standardized credit default swap.

The payment dates are calculated with 'JPTO', 'USNY' and 'GBLO'.