Class OvernightIborSwapConventions


  • public final class OvernightIborSwapConventions
    extends java.lang.Object
    Market standard Fixed-Overnight swap conventions.

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

    • Field Detail

      • USD_FED_FUND_AA_LIBOR_3M

        public static final OvernightIborSwapConvention USD_FED_FUND_AA_LIBOR_3M
        The 'USD-FED-FUND-AA-LIBOR-3M' swap convention.

        USD Fed Fund Arithmetic Average 3M v Libor 3M swap. Both legs use day count 'Act/360'. The spot date offset is 2 days, the rate cut-off period is 2 days.

      • GBP_SONIA_OIS_1Y_LIBOR_3M

        public static final OvernightIborSwapConvention GBP_SONIA_OIS_1Y_LIBOR_3M
        The 'GBP-SONIA-OIS-1Y-LIBOR-3M' swap convention.

        GBP Sonia compounded 1Y v LIBOR 3M . Both legs use day count 'Act/365F'. The spot date offset is 0 days and payment offset is 0 days.