Indices

Strata provides information about the standard market conventions for various indices. These represent the correct convention to our best knowledge at the time of coding.

Strata defines an index as “an agreed mechanism for determining certain financial indicators, such as exchange rates or interest rates”. Most common indices are published each working day.

Overnight Indices:

An Overnight index is used to represent the rate where money is deposited for one night. Usually this is from today to tomorrow, but it can be from tomorrow to the day after, known as “tom/next”.

Name Description Day Count
AUD-AONIA AONIA index for AUD Act/365F
BRL-CDI CDI index for BRL Bus/252 BRBD
CAD-CORRA CORRA index for CAD Act/365F
CHF-TOIS TOIS index for CHF Act/360
CHF-SARON SARON index for CHF Act/360
DKK-TNR TNR index for CHF Act/360
EUR-EONIA EONIA index for EUR Act/360
GBP-SONIA SONIA index for GBP Act/365F
INR-OMIBOR * OMIBOR index for INR Act/365F
NOK-NOWA NOWA index for NOK Act/Act Year
NZD-NZIONA NZIONA index for AUD Act/365F
PLN-POLONIA POLONIA index for PLN Act/365F
SEK-SIOR SIOR index for SEK Act/360
SGD-SONAR * SONAR index for SGD Act/365F
JPY-TONAR TONAR index for JPY Act/365F
USD-FED-FUND Fed-Fund index for USD Act/360

Overnight indices have a constant in OvernightIndices. The identifier can also be obtained dynamically using OvernightIndex.of(name).

  • Indices marked with a star do not have a constant in OvernightIndices, nor do they have holiday calendar data available.

Ibor Indices:

An Ibor index is used to represent the rate where money is deposited for a period longer than one day. The deposit period is known as the tenor, and a rate is published for a number of different tenors.

Name Tenors Description Day Count
AUD-BBSW-XX 1M,2M,3M,4M,5M,6M BBSW index for AUD Act/365F
CAD-CDOR-XX 1M,2M,3M,6M,12M CDOR index for CAD Act/365F
CHF-LIBOR-XX 1W,1M,2M,3M,6M,12M LIBOR index for CHF Act/360
CZK-PRIBOR-XX 1W,2W,1M,2M,3M,6M,12M PRIBOR index for CZK Act/360
DKK-CIBOR-XX 1W,2W,1M,2M,3M,6M,9M,12M CIBOR index for DKK Act/360
EUR-LIBOR-XX 1W,1M,2M,3M,6M,12M LIBOR index for EUR Act/360
EUR-EURIBOR-XX 1W,2W,1M,2M,3M,6M,9M,12M EURIBOR index for EUR Act/360
GBP-LIBOR-XX 1W,1M,2M,3M,6M,12M LIBOR index for GBP Act/365F
HKD-HIBOR-XX * 1W,2W,1M,2M,3M,6M,12M HIBOR index for HKD Act/365F
HUF-BUBOR-XX 1W,2W,1M,2M,3M,6M,9M,12M BUBOR index for HUF Act/360
KRW-CD-XX * 13W CD index for KRW Act/365F
MXN-TIIE-XX 4W,13W,26W TIIE index for MXN Act/360
JPY-LIBOR-XX 1W,1M,2M,3M,6M,12M LIBOR index for JPY Act/360
JPY-TIBOR-JAPAN-XX 1W,1M,2M,3M,6M,12M TIBOR index for JPY Act/365F
JPY-TIBOR-EUROYEN-XX 1W,1M,2M,3M,6M,12M TIBOR index for JPY Act/360
NOK-NIBOR-XX 1W,1M,2M,3M,6M NIBOR index for NOK Act/360
NZD-BKBM-XX 1M,2M,3M,4M,5M,6M BKBM index for NZD Act/365F
PLN-WIBOR-XX 1W,1M,3M,6M,12M WIBOR index for PLN Act/365F
SEK-STIBOR-XX 1W,1M,2M,3M,6M STIBOR index for SEK Act/360
SGD-SIBOR-XX * 1M,3M,6M,12M SIBOR index for SGD Act/365F
SGD-SOR-XX * 1M,3M,6M SOR index for SGD Act/365F
USD-LIBOR-XX 1W,1M,2M,3M,6M,12M LIBOR index for USD Act/360
ZAR-JIBAR-XX 1M,3M,6M,9M,12M JIBAR index for ZAR Act/365F

To get the name of the index, replace “XX” with one of the tenors. For example, “GBP-LIBOR-3M” is a valid index name.

Ibor indices have a constant in IborIndices. The identifier can also be obtained dynamically using IborIndex.of(name).

  • Indices marked with a star do not have a constant in IborIndices, nor do they have holiday calendar data available.

Prices Indices (for inflation):

A Price index is used to represent the rate at which prices rise in an economy. The difference between two values represents inflation.

Name Country Description
GB-HICP GB Non-revised Harmonised Index of Consumer Prices
GB-RPI GB Non-revised Retail Price Index All Items
GB-RPIX GB Non-revised Retail Price Index Excluding Mortgage Interest Payments
CH-CPI CH Non-revised Consumer Price Index
EU-AI-CPI EU Non-revised Harmonised Index of Consumer Prices All Items
EU-EXT-CPI EU Non-revised Harmonised Index of Consumer Prices Excluding Tobacco
JP-CPI-EXF EU Non-revised Consumer Price Index Nationwide General Excluding Fresh Food
US-CPI-U EU Non-revised index of Consumer Prices for All Urban Consumers before seasonal adjustment
FR-EXT-CPI EU Non-revised Harmonised Index of Consumer Prices Excluding Tobacco

Price indices have a constant in PriceIndices. The identifier can also be obtained dynamically using PriceIndex.of(name).