com.opengamma.strata.product.swap.type

Class ThreeLegBasisSwapConventions

java.lang.Object

com.opengamma.strata.product.swap.type.ThreeLegBasisSwapConventions

public final class ThreeLegBasisSwapConventions
extends Object

Market standard three leg basis swap conventions.

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

Field Summary

Fields

Modifier and Type	Field and Description
static ThreeLegBasisSwapConvention	EUR_FIXED_1Y_EURIBOR_3M_EURIBOR_6M The 'EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M' 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_FIXED_1Y_EURIBOR_3M_EURIBOR_6M

public static final ThreeLegBasisSwapConvention EUR_FIXED_1Y_EURIBOR_3M_EURIBOR_6M

The 'EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M' swap convention.

EUR three leg basis swap of fixed, Euribor 3M and Euribor 6M. The fixed leg pays yearly with day count '30U/360'.