Package com.opengamma.strata.basics.index

Class OvernightIndices

  • public final class OvernightIndices
extends Object
    Constants and implementations for standard Overnight rate indices.

    Each constant returns a standard definition of the specified index.

    If a floating rate has a constant here, then it is fully supported by Strata with example holiday calendar data.

    • Field Detail

      • GBP_SONIA

        public static final OvernightIndex GBP_SONIA
        The SONIA index for GBP.

        The Sterling Overnight Index Average (SONIA) index.

      • CHF_SARON

        public static final OvernightIndex CHF_SARON
        The SARON index for CHF.

        The Swiss Average Overnight Rate (SARON) index.

      • CHF_TOIS

        @Deprecated
public static final OvernightIndex CHF_TOIS
        Deprecated.
        Not published as of 2017-12-29
        The TOIS index for CHF.

        The Tomorrow/Next Overnight Indexed Swaps (TOIS) index, which is a "Tomorrow/Next" index.

      • EUR_EONIA

        public static final OvernightIndex EUR_EONIA
        The EONIA index for EUR.

        The Euro OverNight Index Average (EONIA) index.

      • EUR_ESTR

        public static final OvernightIndex EUR_ESTR
        The ESTR index for EUR.

        The Euro Short-Term Rate (€STR) index. This was first published on 2019-10-02.

      • EUR_ESTER

        @Deprecated
public static final OvernightIndex EUR_ESTER
        Deprecated.
        Use EUR_ESTR instead
        The ESTR index for EUR, under the old ESTER name.

        The index was renamed.

      • JPY_TONAR

        public static final OvernightIndex JPY_TONAR
        The TONAR index for JPY.

        The Tokyo Overnight Average Rate (TONAR) index.

      • USD_FED_FUND

        public static final OvernightIndex USD_FED_FUND
        The Fed Fund index for USD.

        The Federal Funds Rate index.

      • USD_SOFR

        public static final OvernightIndex USD_SOFR
        The SOFR index for USD.

        The Secured Overnight Financing Rate (SOFR) index.

      • USD_AMERIBOR

        public static final OvernightIndex USD_AMERIBOR
        The AMERIBOR index for USD.

        The AMERIBOR index.

      • AUD_AONIA

        public static final OvernightIndex AUD_AONIA
        The AONIA index for AUD.

        AONIA is an "Overnight" index.

      • BRL_CDI

        public static final OvernightIndex BRL_CDI
        The CDI index for BRL.

        The "Brazil Certificates of Interbank Deposit" index.

      • CAD_CORRA

        public static final OvernightIndex CAD_CORRA
        The CORRA index for CAD.

        The "Canadian Overnight Repo Rate Average" index.

      • DKK_TNR

        public static final OvernightIndex DKK_TNR
        The TN index for DKK.

        The "Tomorrow/Next-renten" index.

      • NOK_NOWA

        public static final OvernightIndex NOK_NOWA
        The NOWA index for NOK.

        The "Norwegian Overnight Weighted Average" index.

      • NZD_NZIONA

        public static final OvernightIndex NZD_NZIONA
        The NZIONA index for NZD.

        The "New Zealand Overnight" index.

      • PLN_POLONIA

        public static final OvernightIndex PLN_POLONIA
        The PLONIA index for PLN.

        The "Polish Overnight" index.

      • SEK_SIOR

        public static final OvernightIndex SEK_SIOR
        The SIOR index for SEK.

        The "STIBOR T/N" index.

      • ZAR_SABOR

        public static final OvernightIndex ZAR_SABOR
        The SABOR index for ZAR.

        The "South African Benchmark Overnight Rate" index.