Class FixedOvernightSwapConventions


  • public final class FixedOvernightSwapConventions
    extends Object
    Market standard Fixed-Overnight swap conventions.

    https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf

    • Field Detail

      • USD_FIXED_TERM_FED_FUND_OIS

        public static final FixedOvernightSwapConvention USD_FIXED_TERM_FED_FUND_OIS
        The 'USD-FIXED-TERM-FED-FUND-OIS' swap convention.

        USD fixed vs Fed Fund OIS swap for terms less than or equal to one year. Both legs pay once at the end and use day count 'Act/360'. The spot date offset is 2 days and the payment date offset is 2 days.

      • USD_FIXED_1Y_FED_FUND_OIS

        public static final FixedOvernightSwapConvention USD_FIXED_1Y_FED_FUND_OIS
        The 'USD-FIXED-1Y-FED-FUND-OIS' swap convention.

        USD fixed vs Fed Fund OIS swap for terms greater than one year. Both legs pay annually and use day count 'Act/360'. The spot date offset is 2 days and the payment date offset is 2 days.

      • USD_FIXED_1Y_SOFR_OIS

        public static final FixedOvernightSwapConvention USD_FIXED_1Y_SOFR_OIS
        The 'USD-FIXED-1Y-SOFR-OIS' swap convention.

        USD fixed vs SOFR OIS swap for terms greater than one year. Both legs pay annually and use day count 'Act/360'. The spot date offset is 2 days and the payment date offset is 2 days.

      • CHF_FIXED_TERM_SARON_OIS

        public static final FixedOvernightSwapConvention CHF_FIXED_TERM_SARON_OIS
        The 'CHF-FIXED-TERM-SARON-OIS' swap convention.

        CHF fixed vs SARON OIS swap for terms less than or equal to one year. Both legs pay annually and use day count 'Act/360'. The spot date offset is 2 days and the payment date offset is 2 days.

      • CHF_FIXED_1Y_SARON_OIS

        public static final FixedOvernightSwapConvention CHF_FIXED_1Y_SARON_OIS
        The 'CHF-FIXED-1Y-SARON-OIS' swap convention.

        CHF fixed vs SARON OIS swap for terms greater than one year. Both legs pay annually and use day count 'Act/360'. The spot date offset is 2 days and the payment date offset is 2 days.

      • EUR_FIXED_TERM_EONIA_OIS

        public static final FixedOvernightSwapConvention EUR_FIXED_TERM_EONIA_OIS
        The 'EUR-FIXED-TERM-EONIA-OIS' swap convention.

        EUR fixed vs EONIA OIS swap for terms less than or equal to one year. Both legs pay once at the end and use day count 'Act/360'. The spot date offset is 2 days and the payment date offset is 1 day.

      • EUR_FIXED_1Y_EONIA_OIS

        public static final FixedOvernightSwapConvention EUR_FIXED_1Y_EONIA_OIS
        The 'EUR-FIXED-1Y-EONIA_OIS' swap convention.

        EUR fixed vs EONIA OIS swap for terms greater than one year. Both legs pay annually and use day count 'Act/360'. The spot date offset is 2 days and the payment date offset is 1 day.

      • GBP_FIXED_TERM_SONIA_OIS

        public static final FixedOvernightSwapConvention GBP_FIXED_TERM_SONIA_OIS
        The 'GBP-FIXED-TERM-SONIA-OIS' swap convention.

        GBP fixed vs SONIA OIS swap for terms less than or equal to one year. Both legs pay once at the end and use day count 'Act/365F'. The spot date offset is 0 days and there is no payment date offset.

      • GBP_FIXED_1Y_SONIA_OIS

        public static final FixedOvernightSwapConvention GBP_FIXED_1Y_SONIA_OIS
        The 'GBP-FIXED-1Y-SONIA-OIS' swap convention.

        GBP fixed vs SONIA OIS swap for terms greater than one year. Both legs pay annually and use day count 'Act/365F'. The spot date offset is 0 days and there is no payment date offset.

      • JPY_FIXED_TERM_TONAR_OIS

        public static final FixedOvernightSwapConvention JPY_FIXED_TERM_TONAR_OIS
        The 'JPY_FIXED_TERM_TONAR-OIS' swap convention.

        JPY fixed vs TONAR OIS swap for terms less than or equal to one year. Both legs pay once at the end and use day count 'Act/365F'. The spot date offset is 2 days and the payment date offset is 2 days.

      • JPY_FIXED_1Y_TONAR_OIS

        public static final FixedOvernightSwapConvention JPY_FIXED_1Y_TONAR_OIS
        The 'JPY-FIXED-1Y-TONAR-OIS' swap convention.

        JPY fixed vs TONAR OIS swap for terms greater than one year. Both legs pay annually and use day count 'Act/365F'. The spot date offset is 2 days and the payment date offset is 2 days.