Class IborIborSwapConventions


  • public final class IborIborSwapConventions
    extends java.lang.Object
    Market standard Ibor-Ibor swap conventions.

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

    • Field Detail

      • USD_LIBOR_3M_LIBOR_6M

        public static final IborIborSwapConvention USD_LIBOR_3M_LIBOR_6M
        The 'USD-LIBOR-3M-LIBOR-6M' swap convention.

        USD standard LIBOR 3M vs LIBOR 6M swap. The LIBOR 3M leg pays semi-annually with 'Flat' compounding method.

      • USD_LIBOR_1M_LIBOR_3M

        public static final IborIborSwapConvention USD_LIBOR_1M_LIBOR_3M
        The 'USD-LIBOR-1M-LIBOR-3M' swap convention.

        USD standard LIBOR 1M vs LIBOR 3M swap. The LIBOR 1M leg pays quarterly with 'Flat' compounding method.

      • JPY_LIBOR_1M_LIBOR_6M

        public static final IborIborSwapConvention JPY_LIBOR_1M_LIBOR_6M
        The 'JPY-LIBOR-1M-LIBOR-6M' swap convention.

        JPY standard LIBOR 1M vs LIBOR 6M swap. The LIBOR 1M leg pays monthly, the LIBOR 6M leg pays semi-annually.

      • JPY_LIBOR_3M_LIBOR_6M

        public static final IborIborSwapConvention JPY_LIBOR_3M_LIBOR_6M
        The 'JPY-LIBOR-3M-LIBOR-6M' swap convention.

        JPY standard LIBOR 3M vs LIBOR 6M swap. The LIBOR 3M leg pays quarterly, the LIBOR 6M leg pays semi-annually.

      • JPY_LIBOR_6M_TIBOR_JAPAN_6M

        public static final IborIborSwapConvention JPY_LIBOR_6M_TIBOR_JAPAN_6M
        The 'JPY-LIBOR-6M-TIBOR-JAPAN-6M' swap convention.

        JPY standard LIBOR 6M vs TIBOR JAPAN 6M swap. The two legs pay semi-annually.

      • JPY_LIBOR_6M_TIBOR_EUROYEN_6M

        public static final IborIborSwapConvention JPY_LIBOR_6M_TIBOR_EUROYEN_6M
        The 'JPY-LIBOR-6M-TIBOR-EUROYEN-6M' swap convention.

        JPY standard LIBOR 6M vs TIBOR EUROYEN 6M swap. The two legs pay semi-annually.

      • JPY_TIBOR_JAPAN_1M_TIBOR_JAPAN_6M

        public static final IborIborSwapConvention JPY_TIBOR_JAPAN_1M_TIBOR_JAPAN_6M
        The 'JPY-TIBORJ-1M-TIBOR-JAPAN-6M' swap convention.

        JPY standard TIBOR JAPAN 1M vs TIBOR JAPAN 6M swap. The TIBOR 1M leg pays monthly, the TIBOR 6M leg pays semi-annually.

      • JPY_TIBOR_JAPAN_3M_TIBOR_JAPAN_6M

        public static final IborIborSwapConvention JPY_TIBOR_JAPAN_3M_TIBOR_JAPAN_6M
        The 'JPY-TIBOR-JAPAN-3M-TIBOR-JAPAN-6M' swap convention.

        JPY standard TIBOR JAPAN 3M vs TIBOR JAPAN 6M swap. The TIBOR 3M leg pays quarterly, the TIBOR 6M leg pays semi-annually.

      • JPY_TIBOR_EUROYEN_1M_TIBOR_EUROYEN_6M

        public static final IborIborSwapConvention JPY_TIBOR_EUROYEN_1M_TIBOR_EUROYEN_6M
        The 'JPY-TIBOR-EUROYEN-1M-TIBOR-EUROYEN-6M' swap convention.

        JPY standard TIBOR EUROYEN 1M vs TIBOR EUROYEN 6M swap. The TIBOR 1M leg pays monthly, the TIBOR 6M leg pays semi-annually.

      • JPY_TIBOR_EUROYEN_3M_TIBOR_EUROYEN_6M

        public static final IborIborSwapConvention JPY_TIBOR_EUROYEN_3M_TIBOR_EUROYEN_6M
        The 'JPY-TIBOR-EUROYEN-3M-TIBOR-EUROYEN-6M' swap convention.

        JPY standard TIBOR EUROYEN 3M vs TIBOR EUROYEN 6M swap. The TIBOR 3M leg pays quarterly, the TIBOR 6M leg pays semi-annually.