com.opengamma.strata.product.swap.type

Class OvernightIborSwapConventions

java.lang.Object

com.opengamma.strata.product.swap.type.OvernightIborSwapConventions

public final class OvernightIborSwapConventions
extends Object

Market standard Fixed-Overnight swap conventions.

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

Field Summary

Fields

Modifier and Type	Field and Description
static OvernightIborSwapConvention	GBP_SONIA_OIS_1Y_LIBOR_3M The 'GBP-SONIA-OIS-1Y-LIBOR-3M' swap convention.
static OvernightIborSwapConvention	USD_FED_FUND_AA_LIBOR_3M The 'USD-FED-FUND-AA-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

USD_FED_FUND_AA_LIBOR_3M

public static final OvernightIborSwapConvention USD_FED_FUND_AA_LIBOR_3M

The 'USD-FED-FUND-AA-LIBOR-3M' swap convention.

USD Fed Fund Arithmetic Average 3M v Libor 3M swap. Both legs use day count 'Act/360'. The spot date offset is 2 days, the rate cut-off period is 2 days.

GBP_SONIA_OIS_1Y_LIBOR_3M

public static final OvernightIborSwapConvention GBP_SONIA_OIS_1Y_LIBOR_3M

The 'GBP-SONIA-OIS-1Y-LIBOR-3M' swap convention.

GBP Sonia compounded 1Y v LIBOR 3M . Both legs use day count 'Act/365F'. The spot date offset is 0 days and payment offset is 0 days.