Package com.opengamma.strata.product.swap.type

Conventions and templates to aid the construction of rate swaps.

See: Description

Interface Summary

Interface	Description
FixedFloatSwapConvention	A market convention for Fixed-Float swap trades, covering Ibor and Overnight indices.
FixedFloatSwapTemplate	A template for creating Fixed-Float swap trades.
FixedIborSwapConvention	A market convention for Fixed-Ibor swap trades.
FixedInflationSwapConvention	A market convention for Inflation swap trades.
FixedOvernightSwapConvention	A market convention for Fixed-Overnight swap trades.
FloatRateSwapLegConvention	A market convention for the floating leg of rate swap trades based on an Ibor index or an Overnight index.
IborIborSwapConvention	A market convention for Ibor-Ibor swap trades.
OvernightIborSwapConvention	A market convention for Overnight-Ibor swap trades.
SingleCurrencySwapConvention	A market convention for swap trades.
SwapLegConvention	A market convention for swap legs.
ThreeLegBasisSwapConvention	A market convention for three leg basis swap trades.
XCcyIborIborSwapConvention	A market convention for cross-currency Ibor-Ibor swap trades without FX reset.
XCcyOvernightOvernightSwapConvention	A market convention for cross-currency overnight-overnight swap trades without FX reset.

Class Summary

Class	Description
FixedIborSwapConventions	Market standard Fixed-Ibor swap conventions.
FixedIborSwapTemplate	A template for creating Fixed-Ibor swap trades.
FixedIborSwapTemplate.Builder	The bean-builder for FixedIborSwapTemplate.
FixedIborSwapTemplate.Meta	The meta-bean for FixedIborSwapTemplate.
FixedInflationSwapConventions	Fixed-Inflation swap conventions.
FixedInflationSwapTemplate	An template for creating inflation swap trades.
FixedInflationSwapTemplate.Builder	The bean-builder for FixedInflationSwapTemplate.
FixedInflationSwapTemplate.Meta	The meta-bean for FixedInflationSwapTemplate.
FixedOvernightSwapConventions	Market standard Fixed-Overnight swap conventions.
FixedOvernightSwapTemplate	A template for creating Fixed-Overnight swap trades.
FixedOvernightSwapTemplate.Builder	The bean-builder for FixedOvernightSwapTemplate.
FixedOvernightSwapTemplate.Meta	The meta-bean for FixedOvernightSwapTemplate.
FixedRateSwapLegConvention	A market convention for the fixed leg of rate swap trades.
FixedRateSwapLegConvention.Builder	The bean-builder for FixedRateSwapLegConvention.
FixedRateSwapLegConvention.Meta	The meta-bean for FixedRateSwapLegConvention.
IborIborSwapConventions	Market standard Ibor-Ibor swap conventions.
IborIborSwapTemplate	A template for creating Ibor-Ibor swap trades.
IborIborSwapTemplate.Builder	The bean-builder for IborIborSwapTemplate.
IborIborSwapTemplate.Meta	The meta-bean for IborIborSwapTemplate.
IborRateSwapLegConvention	A market convention for the floating leg of rate swap trades based on an Ibor index.
IborRateSwapLegConvention.Builder	The bean-builder for IborRateSwapLegConvention.
IborRateSwapLegConvention.Meta	The meta-bean for IborRateSwapLegConvention.
ImmutableFixedIborSwapConvention	A market convention for Fixed-Ibor swap trades.
ImmutableFixedIborSwapConvention.Builder	The bean-builder for ImmutableFixedIborSwapConvention.
ImmutableFixedIborSwapConvention.Meta	The meta-bean for ImmutableFixedIborSwapConvention.
ImmutableFixedInflationSwapConvention	A market convention for Fixed-Inflation swap trades.
ImmutableFixedInflationSwapConvention.Builder	The bean-builder for ImmutableFixedInflationSwapConvention.
ImmutableFixedInflationSwapConvention.Meta	The meta-bean for ImmutableFixedInflationSwapConvention.
ImmutableFixedOvernightSwapConvention	A market convention for Fixed-Overnight swap trades.
ImmutableFixedOvernightSwapConvention.Builder	The bean-builder for ImmutableFixedOvernightSwapConvention.
ImmutableFixedOvernightSwapConvention.Meta	The meta-bean for ImmutableFixedOvernightSwapConvention.
ImmutableIborIborSwapConvention	A market convention for Ibor-Ibor swap trades.
ImmutableIborIborSwapConvention.Builder	The bean-builder for ImmutableIborIborSwapConvention.
ImmutableIborIborSwapConvention.Meta	The meta-bean for ImmutableIborIborSwapConvention.
ImmutableOvernightIborSwapConvention	A market convention for Fixed-Overnight swap trades.
ImmutableOvernightIborSwapConvention.Builder	The bean-builder for ImmutableOvernightIborSwapConvention.
ImmutableOvernightIborSwapConvention.Meta	The meta-bean for ImmutableOvernightIborSwapConvention.
ImmutableThreeLegBasisSwapConvention	A market convention for three leg basis swap trades.
ImmutableThreeLegBasisSwapConvention.Builder	The bean-builder for ImmutableThreeLegBasisSwapConvention.
ImmutableThreeLegBasisSwapConvention.Meta	The meta-bean for ImmutableThreeLegBasisSwapConvention.
ImmutableXCcyIborIborSwapConvention	A market convention for cross-currency Ibor-Ibor swap trades.
ImmutableXCcyIborIborSwapConvention.Builder	The bean-builder for ImmutableXCcyIborIborSwapConvention.
ImmutableXCcyIborIborSwapConvention.Meta	The meta-bean for ImmutableXCcyIborIborSwapConvention.
ImmutableXCcyOvernightOvernightSwapConvention	A market convention for cross-currency overnight-overnight swap trades.
ImmutableXCcyOvernightOvernightSwapConvention.Builder	The bean-builder for ImmutableXCcyOvernightOvernightSwapConvention.
ImmutableXCcyOvernightOvernightSwapConvention.Meta	The meta-bean for ImmutableXCcyOvernightOvernightSwapConvention.
InflationRateSwapLegConvention	A market convention for the floating leg of rate swap trades based on a price index.
InflationRateSwapLegConvention.Builder	The bean-builder for InflationRateSwapLegConvention.
InflationRateSwapLegConvention.Meta	The meta-bean for InflationRateSwapLegConvention.
OvernightIborSwapConventions	Market standard Fixed-Overnight swap conventions.
OvernightIborSwapTemplate	A template for creating Overnight-Ibor swap trades.
OvernightIborSwapTemplate.Builder	The bean-builder for OvernightIborSwapTemplate.
OvernightIborSwapTemplate.Meta	The meta-bean for OvernightIborSwapTemplate.
OvernightRateSwapLegConvention	A market convention for the floating leg of rate swap trades based on an Overnight index.
OvernightRateSwapLegConvention.Builder	The bean-builder for OvernightRateSwapLegConvention.
OvernightRateSwapLegConvention.Meta	The meta-bean for OvernightRateSwapLegConvention.
ThreeLegBasisSwapConventions	Market standard three leg basis swap conventions.
ThreeLegBasisSwapTemplate	A template for creating Fixed-Ibor-Ibor swap trades.
ThreeLegBasisSwapTemplate.Builder	The bean-builder for ThreeLegBasisSwapTemplate.
ThreeLegBasisSwapTemplate.Meta	The meta-bean for ThreeLegBasisSwapTemplate.
XCcyIborIborSwapConventions	Market standard cross-currency Ibor-Ibor swap conventions.
XCcyIborIborSwapTemplate	A template for creating cross-currency Ibor-Ibor swap trades.
XCcyIborIborSwapTemplate.Builder	The bean-builder for XCcyIborIborSwapTemplate.
XCcyIborIborSwapTemplate.Meta	The meta-bean for XCcyIborIborSwapTemplate.
XCcyOvernightOvernightSwapConventions	Market standard cross-currency overnight-overnight swap conventions.
XCcyOvernightOvernightSwapTemplate	A template for creating cross-currency overnight-overnight swap trades.
XCcyOvernightOvernightSwapTemplate.Builder	The bean-builder for XCcyOvernightOvernightSwapTemplate.
XCcyOvernightOvernightSwapTemplate.Meta	The meta-bean for XCcyOvernightOvernightSwapTemplate.

Package com.opengamma.strata.product.swap.type Description

Conventions and templates to aid the construction of rate swaps.