Class FraConventions


  • public final class FraConventions
    extends java.lang.Object
    Market standard FRA conventions.

    FRA conventions are based on the details held within the IborIndex. As such, there is a factory method rather than constants for the conventions.

    https://developers.opengamma.com/quantitative-research/Interest-Rate-Instruments-and-Market-Conventions.pdf

    • Method Summary

      All Methods Static Methods Concrete Methods 
      Modifier and Type Method Description
      static FraConvention of​(IborIndex index)
      Obtains a convention based on the specified index.
      • Methods inherited from class java.lang.Object

        clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    • Method Detail

      • of

        public static FraConvention of​(IborIndex index)
        Obtains a convention based on the specified index.

        This uses the index name to find the matching convention. By default, this will always return a convention, however configuration may be added to restrict the conventions that are registered.

        Parameters:
        index - the index, from which the index name is used to find the matching convention
        Returns:
        the convention
        Throws:
        java.lang.IllegalArgumentException - if no convention is registered for the index