com.opengamma.strata.product.swap.type

Class XCcyOvernightOvernightSwapConventions

java.lang.Object

com.opengamma.strata.product.swap.type.XCcyOvernightOvernightSwapConventions

public final class XCcyOvernightOvernightSwapConventions
extends Object

Market standard cross-currency overnight-overnight swap conventions.

Field Summary

Fields

Modifier and Type	Field and Description
static XCcyOvernightOvernightSwapConvention	EUR_ESTR_3M_USD_SOFR_3M The 'EUR-ESTR-3M-USD-SOFR-3M' swap convention.
static XCcyOvernightOvernightSwapConvention	GBP_SONIA_3M_EUR_ESTR_3M The 'GBP-SONIA-3M-EUR-ESTR-3M' swap convention.
static XCcyOvernightOvernightSwapConvention	GBP_SONIA_3M_USD_SOFR_3M The 'GBP-SONIA-3M-USD-SOFR-3M' swap convention.
static XCcyOvernightOvernightSwapConvention	JPY_TONA_3M_USD_SOFR_3M The 'JPY-TONA-3M-USD-SOFR-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_ESTR_3M_USD_SOFR_3M

public static final XCcyOvernightOvernightSwapConvention EUR_ESTR_3M_USD_SOFR_3M

The 'EUR-ESTR-3M-USD-SOFR-3M' swap convention.

EUR ESTR 3M v USD SOFR 3M. The spread is on the EUR leg.

GBP_SONIA_3M_USD_SOFR_3M

public static final XCcyOvernightOvernightSwapConvention GBP_SONIA_3M_USD_SOFR_3M

The 'GBP-SONIA-3M-USD-SOFR-3M' swap convention.

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

GBP_SONIA_3M_EUR_ESTR_3M

public static final XCcyOvernightOvernightSwapConvention GBP_SONIA_3M_EUR_ESTR_3M

The 'GBP-SONIA-3M-EUR-ESTR-3M' swap convention.

GBP SONIA 3M v EUR ESTR 3M. The spread is on the GBP leg.

JPY_TONA_3M_USD_SOFR_3M

public static final XCcyOvernightOvernightSwapConvention JPY_TONA_3M_USD_SOFR_3M

The 'JPY-TONA-3M-USD-SOFR-3M' swap convention.

JPY TONA 3M v USD SOFR 3M. The spread is on the JPY leg.