Class ImmutableFixedOvernightSwapConvention

  • All Implemented Interfaces:
    Named, FixedOvernightSwapConvention, SingleCurrencySwapConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class ImmutableFixedOvernightSwapConvention
    extends Object
    implements FixedOvernightSwapConvention, org.joda.beans.ImmutableBean, Serializable
    A market convention for Fixed-Overnight swap trades.

    This defines the market convention for a Fixed-Overnight single currency swap. This is often known as an OIS swap, although Fed Fund swaps are also covered. The convention is formed by combining two swap leg conventions in the same currency.

    The convention is defined by four key dates.

    • Trade date, the date that the trade is agreed
    • Spot date, the base for date calculations, typically 2 business days after the trade date
    • Start date, the date on which the interest calculation starts, often the same as the spot date
    • End date, the date on which the interest calculation ends, typically a number of years after the start date
    See Also:
    Serialized Form