Class ThreeLegBasisSwapConventions

  • public final class ThreeLegBasisSwapConventions
    extends java.lang.Object
    Market standard three leg basis swap conventions.

    • Method Summary

      • Methods inherited from class java.lang.Object

        clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    • Field Detail


        public static final ThreeLegBasisSwapConvention EUR_FIXED_1Y_EURIBOR_3M_EURIBOR_6M
        The 'EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M' swap convention.

        EUR three leg basis swap of fixed, Euribor 3M and Euribor 6M. The fixed leg pays yearly with day count '30U/360'.