Class XCcyIborIborSwapConventions


  • public final class XCcyIborIborSwapConventions
    extends java.lang.Object
    Market standard cross-currency Ibor-Ibor swap conventions.

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

    • Field Detail

      • EUR_EURIBOR_3M_USD_LIBOR_3M

        public static final XCcyIborIborSwapConvention EUR_EURIBOR_3M_USD_LIBOR_3M
        The 'EUR-EURIBOR-3M-USD-LIBOR-3M' swap convention.

        EUR EURIBOR 3M v USD LIBOR 3M. The spread is on the EUR leg.

      • GBP_LIBOR_3M_USD_LIBOR_3M

        public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_USD_LIBOR_3M
        The 'GBP-LIBOR-3M-USD-LIBOR-3M' swap convention.

        GBP LIBOR 3M v USD LIBOR 3M. The spread is on the GBP leg.

      • GBP_LIBOR_3M_EUR_EURIBOR_3M

        public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_EUR_EURIBOR_3M
        The 'GBP-LIBOR-3M-EUR-EURIBOR-3M' swap convention.

        GBP LIBOR 3M v EUR EURIBOR 3M. The spread is on the GBP leg.

      • GBP_LIBOR_3M_JPY_LIBOR_3M

        public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_JPY_LIBOR_3M
        The 'GBP-LIBOR-3M-JPY-LIBOR-3M' swap convention.

        GBP LIBOR 3M v JPY LIBOR 3M. The spread is on the GBP leg.