Standard Reference Data

Strata provides a set of standard reference data, including holidays, indices and conventions.

Holiday calendars

Each holiday calendar represents a consistent set of weekends and holidays. In most cases they refer to a specific location, however some calendars are location independent.

The intention of providing these calendars is to allow the system to be easily evaluated. When using this library in production, OpenGamma strongly recommends replacing the data provided with data from an external vendor of holiday information.

The holiday dates are based on original research and typically cover 1950 to 2099. Future and past dates are an extrapolations of the known holiday dates.

Name Holidays Weekends ISDA reference
AUSY Sydney (Australia) holidays Saturday/Sunday  
BRBD Brazil holidays Saturday/Sunday  
CATO Toronto (Canada) holidays Saturday/Sunday  
CHZU Zurich (Switzerland) holidays Saturday/Sunday  
CZPR Prague (Czech Republic) holidays Saturday/Sunday  
DKCO Copenhagen (Denmark) holidays Saturday/Sunday  
EUTA TARGET interbank payment (Europe) holidays Saturday/Sunday section 1.8 (2006)
FRPA Paris (France) holidays Saturday/Sunday  
GBLO London (UK) holidays Saturday/Sunday  
HUBU Budapest (Hungary) holidays Saturday/Sunday  
JPTO Tokyo (Japan) holidays Saturday/Sunday  
MXMC Mexico City (Mexico) holidays Saturday/Sunday  
NOOS Oslo (Norway) holidays Saturday/Sunday  
NYFD Federal Reserve Bank of New York holidays Saturday/Sunday section 1.9 (2006)
NYSE New York Stock Exchange holidays Saturday/Sunday section 1.10 (2006)
PLWA Warsaw (Poland) holidays Saturday/Sunday  
SEST Stockholm (Sweden) holidays Saturday/Sunday  
USGS United States Government Securities Saturday/Sunday section 1.11 (2006)
USNY New York (USA) holidays Saturday/Sunday  
ZAJO Johannesburg (South Africa) holidays Saturday/Sunday  
NoHolidays No holiday dates No weekends  
Sat/Sun No holiday dates Saturday/Sunday  
Fri/Sat No holiday dates Friday/Saturday  
Thu/Fri No holiday dates Thursday/Friday  

Holiday calendars have a constant in HolidayCalendarIds. The identifier can also be created dynamically using HolidayCalendarId.of(name).

Indices

Strata includes constants and definitions for many common indices. These represent the correct convention to our best knowledge at the time of coding.

Overnight Indices:

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
DKK-TNR TNR index for CHF Act/360
EUR-EONIA EONIA index for EUR Act/360
GBP-SONIA SONIA index for GBP Act/365F
NOK-NOWA NOWA index for NOK Act/Act Year
PLN-POLONIA POLONIA index for PLN Act/365F
SEK-SIOR SIOR index for SEK Act/360
JPY-TONAR TONAR index for JPY Act/365F
USD-FED-FUND Fed-Fund index for USD Act/360

Ibor Indices:

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
HUF-BUBOR-XX 1W,2W,1M,2M,3M,6M,9M,12M BUBOR index for HUF Act/360
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
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
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.