Class TermDepositConventions


  • public final class TermDepositConventions
    extends java.lang.Object
    Market standard term deposit conventions.

    The conventions form two groups, those typically used for deposits of one month and over and those for deposits of less than one month, which have "Short" in the name.

    The conventions also differ by spot date. Most currencies have a T+2 spot date, where the start date is two days after the trade date. There are special cases for trades that have a T+0 or T+1 convention. The name of each convention includes "T0", "T1" or "T2" two indicate the spot date.

    • Field Detail

      • GBP_DEPOSIT_T0

        public static final TermDepositConvention GBP_DEPOSIT_T0
        The 'GBP-Deposit-T0' term deposit convention with T+0 settlement date. This has the modified following business day convention and is typically used for deposits of one month and over.
      • GBP_SHORT_DEPOSIT_T0

        public static final TermDepositConvention GBP_SHORT_DEPOSIT_T0
        The 'GBP-ShortDeposit-T0' term deposit convention with T+0 settlement date. This has the following business day convention and is typically used for O/N and deposits up to one month.
      • GBP_SHORT_DEPOSIT_T1

        public static final TermDepositConvention GBP_SHORT_DEPOSIT_T1
        The 'GBP-ShortDeposit-T1' term deposit convention with T+1 settlement date. This has the following business day convention and is typically used for T/N.
      • EUR_DEPOSIT_T2

        public static final TermDepositConvention EUR_DEPOSIT_T2
        The 'EUR-Deposit-T2' term deposit convention with T+2 settlement date. This has the modified following business day convention and is typically used for deposits of one month and over.
      • EUR_SHORT_DEPOSIT_T0

        public static final TermDepositConvention EUR_SHORT_DEPOSIT_T0
        The 'EUR-ShortDeposit-T0' term deposit convention with T+0 settlement date. This has the following business day convention and is typically used for O/N.
      • EUR_SHORT_DEPOSIT_T1

        public static final TermDepositConvention EUR_SHORT_DEPOSIT_T1
        The 'EUR-ShortDeposit-T1' term deposit convention with T+1 settlement date This has the following business day convention and is typically used for T/N.
      • EUR_SHORT_DEPOSIT_T2

        public static final TermDepositConvention EUR_SHORT_DEPOSIT_T2
        The 'EUR-ShortDeposit-T2' term deposit convention with T+2 settlement date This has the following business day convention and is typically used for deposits up to one month.
      • USD_DEPOSIT_T2

        public static final TermDepositConvention USD_DEPOSIT_T2
        The 'USD-Deposit-T2' term deposit convention with T+2 settlement date. This has the modified following business day convention and is typically used for deposits of one month and over.
      • USD_SHORT_DEPOSIT_T0

        public static final TermDepositConvention USD_SHORT_DEPOSIT_T0
        The 'USD-ShortDeposit-T0' term deposit convention with T+0 settlement date. This has the following business day convention and is typically used for O/N.
      • USD_SHORT_DEPOSIT_T1

        public static final TermDepositConvention USD_SHORT_DEPOSIT_T1
        The 'USD-ShortDeposit-T1' term deposit convention with T+1 settlement date This has the following business day convention and is typically used for T/N.
      • USD_SHORT_DEPOSIT_T2

        public static final TermDepositConvention USD_SHORT_DEPOSIT_T2
        The 'USD-ShortDeposit-T2' term deposit convention with T+2 settlement date This has the following business day convention and is typically used for deposits up to one month.
      • CHF_DEPOSIT_T2

        public static final TermDepositConvention CHF_DEPOSIT_T2
        The 'CHF-Deposit-T2' term deposit convention with T+2 settlement date. This has the modified following business day convention and is typically used for deposits of one month and over.
      • CHF_SHORT_DEPOSIT_T0

        public static final TermDepositConvention CHF_SHORT_DEPOSIT_T0
        The 'CHF-ShortDeposit-T0' term deposit convention with T+0 settlement date. This has the following business day convention and is typically used for O/N.
      • CHF_SHORT_DEPOSIT_T1

        public static final TermDepositConvention CHF_SHORT_DEPOSIT_T1
        The 'CHF-ShortDeposit-T1' term deposit convention with T+1 settlement date This has the following business day convention and is typically used for T/N.
      • CHF_SHORT_DEPOSIT_T2

        public static final TermDepositConvention CHF_SHORT_DEPOSIT_T2
        The 'CHF-ShortDeposit-T2' term deposit convention with T+2 settlement date This has the following business day convention and is typically used for deposits up to one month.