| Package | Description |
|---|---|
| com.opengamma.strata.product.swap.type |
Conventions and templates to aid the construction of rate swaps.
|
| Modifier and Type | Interface and Description |
|---|---|
interface |
FloatRateSwapLegConvention
A market convention for the floating leg of rate swap trades based on an Ibor index or an Overnight index.
|
| Modifier and Type | Class and Description |
|---|---|
class |
FixedRateSwapLegConvention
A market convention for the fixed leg of rate swap trades.
|
class |
IborRateSwapLegConvention
A market convention for the floating leg of rate swap trades based on an Ibor index.
|
class |
InflationRateSwapLegConvention
A market convention for the floating leg of rate swap trades based on a price index.
|
class |
OvernightRateSwapLegConvention
A market convention for the floating leg of rate swap trades based on an Overnight index.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.