Class CdsConventions


  • public final class CdsConventions
    extends java.lang.Object
    Standardized credit default swap conventions.
    • Field Detail

      • USD_STANDARD

        public static final CdsConvention USD_STANDARD
        USD-dominated standardized credit default swap.
      • EUR_STANDARD

        public static final CdsConvention EUR_STANDARD
        EUR-dominated standardized credit default swap.

        The payment dates are calculated with 'EUTA'.

      • EUR_GB_STANDARD

        public static final CdsConvention EUR_GB_STANDARD
        EUR-dominated standardized credit default swap.

        The payment dates are calculated with 'EUTA' and 'GBLO'.

      • GBP_STANDARD

        public static final CdsConvention GBP_STANDARD
        GBP-dominated standardized credit default swap.

        The payment dates are calculated with 'GBLO'.

      • GBP_US_STANDARD

        public static final CdsConvention GBP_US_STANDARD
        GBP-dominated standardized credit default swap.

        The payment dates are calculated with 'GBLO' and 'USNY'.

      • JPY_STANDARD

        public static final CdsConvention JPY_STANDARD
        JPY-dominated standardized credit default swap.

        The payment dates are calculated with 'JPTO'.

      • JPY_US_GB_STANDARD

        public static final CdsConvention JPY_US_GB_STANDARD
        JPY-dominated standardized credit default swap.

        The payment dates are calculated with 'JPTO', 'USNY' and 'GBLO'.