Package com.opengamma.strata.product.swap.type
Conventions and templates to aid the construction of rate swaps.
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Interface Summary Interface Description FixedFloatSwapConvention A market convention for Fixed-Float swap trades, covering Ibor and Overnight indices.FixedFloatSwapTemplate A template for creating Fixed-Float swap trades.FixedIborSwapConvention A market convention for Fixed-Ibor swap trades.FixedInflationSwapConvention A market convention for Inflation swap trades.FixedOvernightSwapConvention A market convention for Fixed-Overnight swap trades.FloatRateSwapLegConvention A market convention for the floating leg of rate swap trades based on an Ibor index or an Overnight index.IborIborSwapConvention A market convention for Ibor-Ibor swap trades.OvernightIborSwapConvention A market convention for Overnight-Ibor swap trades.SingleCurrencySwapConvention A market convention for swap trades.SwapLegConvention A market convention for swap legs.ThreeLegBasisSwapConvention A market convention for three leg basis swap trades.XCcyIborIborSwapConvention A market convention for cross-currency Ibor-Ibor swap trades without FX reset. -
Class Summary Class Description FixedIborSwapConventions Market standard Fixed-Ibor swap conventions.FixedIborSwapTemplate A template for creating Fixed-Ibor swap trades.FixedIborSwapTemplate.Builder The bean-builder forFixedIborSwapTemplate
.FixedIborSwapTemplate.Meta The meta-bean forFixedIborSwapTemplate
.FixedInflationSwapConventions Fixed-Inflation swap conventions.FixedInflationSwapTemplate An template for creating inflation swap trades.FixedInflationSwapTemplate.Builder The bean-builder forFixedInflationSwapTemplate
.FixedInflationSwapTemplate.Meta The meta-bean forFixedInflationSwapTemplate
.FixedOvernightSwapConventions Market standard Fixed-Overnight swap conventions.FixedOvernightSwapTemplate A template for creating Fixed-Overnight swap trades.FixedOvernightSwapTemplate.Builder The bean-builder forFixedOvernightSwapTemplate
.FixedOvernightSwapTemplate.Meta The meta-bean forFixedOvernightSwapTemplate
.FixedRateSwapLegConvention A market convention for the fixed leg of rate swap trades.FixedRateSwapLegConvention.Builder The bean-builder forFixedRateSwapLegConvention
.FixedRateSwapLegConvention.Meta The meta-bean forFixedRateSwapLegConvention
.IborIborSwapConventions Market standard Ibor-Ibor swap conventions.IborIborSwapTemplate A template for creating Ibor-Ibor swap trades.IborIborSwapTemplate.Builder The bean-builder forIborIborSwapTemplate
.IborIborSwapTemplate.Meta The meta-bean forIborIborSwapTemplate
.IborRateSwapLegConvention A market convention for the floating leg of rate swap trades based on an Ibor index.IborRateSwapLegConvention.Builder The bean-builder forIborRateSwapLegConvention
.IborRateSwapLegConvention.Meta The meta-bean forIborRateSwapLegConvention
.ImmutableFixedIborSwapConvention A market convention for Fixed-Ibor swap trades.ImmutableFixedIborSwapConvention.Builder The bean-builder forImmutableFixedIborSwapConvention
.ImmutableFixedIborSwapConvention.Meta The meta-bean forImmutableFixedIborSwapConvention
.ImmutableFixedInflationSwapConvention A market convention for Fixed-Inflation swap trades.ImmutableFixedInflationSwapConvention.Builder The bean-builder forImmutableFixedInflationSwapConvention
.ImmutableFixedInflationSwapConvention.Meta The meta-bean forImmutableFixedInflationSwapConvention
.ImmutableFixedOvernightSwapConvention A market convention for Fixed-Overnight swap trades.ImmutableFixedOvernightSwapConvention.Builder The bean-builder forImmutableFixedOvernightSwapConvention
.ImmutableFixedOvernightSwapConvention.Meta The meta-bean forImmutableFixedOvernightSwapConvention
.ImmutableIborIborSwapConvention A market convention for Ibor-Ibor swap trades.ImmutableIborIborSwapConvention.Builder The bean-builder forImmutableIborIborSwapConvention
.ImmutableIborIborSwapConvention.Meta The meta-bean forImmutableIborIborSwapConvention
.ImmutableOvernightIborSwapConvention A market convention for Fixed-Overnight swap trades.ImmutableOvernightIborSwapConvention.Builder The bean-builder forImmutableOvernightIborSwapConvention
.ImmutableOvernightIborSwapConvention.Meta The meta-bean forImmutableOvernightIborSwapConvention
.ImmutableThreeLegBasisSwapConvention A market convention for three leg basis swap trades.ImmutableThreeLegBasisSwapConvention.Builder The bean-builder forImmutableThreeLegBasisSwapConvention
.ImmutableThreeLegBasisSwapConvention.Meta The meta-bean forImmutableThreeLegBasisSwapConvention
.ImmutableXCcyIborIborSwapConvention A market convention for cross-currency Ibor-Ibor swap trades.ImmutableXCcyIborIborSwapConvention.Builder The bean-builder forImmutableXCcyIborIborSwapConvention
.ImmutableXCcyIborIborSwapConvention.Meta The meta-bean forImmutableXCcyIborIborSwapConvention
.InflationRateSwapLegConvention A market convention for the floating leg of rate swap trades based on a price index.InflationRateSwapLegConvention.Builder The bean-builder forInflationRateSwapLegConvention
.InflationRateSwapLegConvention.Meta The meta-bean forInflationRateSwapLegConvention
.OvernightIborSwapConventions Market standard Fixed-Overnight swap conventions.OvernightIborSwapTemplate A template for creating Overnight-Ibor swap trades.OvernightIborSwapTemplate.Builder The bean-builder forOvernightIborSwapTemplate
.OvernightIborSwapTemplate.Meta The meta-bean forOvernightIborSwapTemplate
.OvernightRateSwapLegConvention A market convention for the floating leg of rate swap trades based on an Overnight index.OvernightRateSwapLegConvention.Builder The bean-builder forOvernightRateSwapLegConvention
.OvernightRateSwapLegConvention.Meta The meta-bean forOvernightRateSwapLegConvention
.ThreeLegBasisSwapConventions Market standard three leg basis swap conventions.ThreeLegBasisSwapTemplate A template for creating Fixed-Ibor-Ibor swap trades.ThreeLegBasisSwapTemplate.Builder The bean-builder forThreeLegBasisSwapTemplate
.ThreeLegBasisSwapTemplate.Meta The meta-bean forThreeLegBasisSwapTemplate
.XCcyIborIborSwapConventions Market standard cross-currency Ibor-Ibor swap conventions.XCcyIborIborSwapTemplate A template for creating cross-currency Ibor-Ibor swap trades.XCcyIborIborSwapTemplate.Builder The bean-builder forXCcyIborIborSwapTemplate
.XCcyIborIborSwapTemplate.Meta The meta-bean forXCcyIborIborSwapTemplate
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