Class FixedInflationSwapConventions


  • public final class FixedInflationSwapConventions
    extends java.lang.Object
    Fixed-Inflation swap conventions.
    • Field Detail

      • GBP_FIXED_ZC_GB_HCIP

        public static final FixedInflationSwapConvention GBP_FIXED_ZC_GB_HCIP
        GBP vanilla fixed vs UK HCIP swap. Both legs are zero-coupon; the fixed rate is compounded.
      • GBP_FIXED_ZC_GB_RPI

        public static final FixedInflationSwapConvention GBP_FIXED_ZC_GB_RPI
        GBP vanilla fixed vs UK RPI swap. Both legs are zero-coupon; the fixed rate is compounded.
      • GBP_FIXED_ZC_GB_RPIX

        public static final FixedInflationSwapConvention GBP_FIXED_ZC_GB_RPIX
        GBP vanilla fixed vs UK RPIX swap. Both legs are zero-coupon; the fixed rate is compounded.
      • CHF_FIXED_ZC_CH_CPI

        public static final FixedInflationSwapConvention CHF_FIXED_ZC_CH_CPI
        CHF vanilla fixed vs Switzerland CPI swap. Both legs are zero-coupon; the fixed rate is compounded.
      • EUR_FIXED_ZC_EU_AI_CPI

        public static final FixedInflationSwapConvention EUR_FIXED_ZC_EU_AI_CPI
        Euro vanilla fixed vs Europe CPI swap. Both legs are zero-coupon; the fixed rate is compounded.
      • EUR_FIXED_ZC_EU_EXT_CPI

        public static final FixedInflationSwapConvention EUR_FIXED_ZC_EU_EXT_CPI
        Euro vanilla fixed vs Europe (Excluding Tobacco) CPI swap. Both legs are zero-coupon; the fixed rate is compounded.
      • JPY_FIXED_ZC_JP_CPI

        public static final FixedInflationSwapConvention JPY_FIXED_ZC_JP_CPI
        JPY vanilla fixed vs Japan (Excluding Fresh Food) CPI swap. Both legs are zero-coupon; the fixed rate is compounded.
      • USD_FIXED_ZC_US_CPI

        public static final FixedInflationSwapConvention USD_FIXED_ZC_US_CPI
        USD(NY) vanilla fixed vs US Urban consumers CPI swap. Both legs are zero-coupon; the fixed rate is compounded.
      • EUR_FIXED_ZC_FR_CPI

        public static final FixedInflationSwapConvention EUR_FIXED_ZC_FR_CPI
        Euro vanilla fixed vs France CPI swap. Both legs are zero-coupon; the fixed rate is compounded.