Package com.opengamma.strata.product.swap.type

Class FixedIborSwapConventions

  • public final class FixedIborSwapConventions
extends Object
    Market standard Fixed-Ibor swap conventions.

    https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf

    • Field Detail

      • USD_FIXED_6M_LIBOR_3M

        public static final FixedIborSwapConvention USD_FIXED_6M_LIBOR_3M
        The 'USD-FIXED-6M-LIBOR-3M' swap convention.

        USD(NY) vanilla fixed vs LIBOR 3M swap. The fixed leg pays every 6 months with day count '30U/360'.

      • USD_FIXED_1Y_LIBOR_3M

        public static final FixedIborSwapConvention USD_FIXED_1Y_LIBOR_3M
        The 'USD-FIXED-1Y-LIBOR-3M' swap convention.

        USD(London) vanilla fixed vs LIBOR 3M swap. The fixed leg pays yearly with day count 'Act/360'.

      • EUR_FIXED_1Y_EURIBOR_3M

        public static final FixedIborSwapConvention EUR_FIXED_1Y_EURIBOR_3M
        The 'EUR-FIXED-1Y-EURIBOR-3M' swap convention.

        EUR(1Y) vanilla fixed vs Euribor 3M swap. The fixed leg pays yearly with day count '30U/360'.

      • EUR_FIXED_1Y_EURIBOR_6M

        public static final FixedIborSwapConvention EUR_FIXED_1Y_EURIBOR_6M
        The 'EUR-FIXED-1Y-EURIBOR-6M' swap convention.

        EUR(>1Y) vanilla fixed vs Euribor 6M swap. The fixed leg pays yearly with day count '30U/360'.

      • EUR_FIXED_1Y_LIBOR_3M

        public static final FixedIborSwapConvention EUR_FIXED_1Y_LIBOR_3M
        The 'EUR-FIXED-1Y-LIBOR-3M' swap convention.

        EUR(1Y) vanilla fixed vs LIBOR 3M swap. The fixed leg pays yearly with day count '30U/360'.

      • EUR_FIXED_1Y_LIBOR_6M

        public static final FixedIborSwapConvention EUR_FIXED_1Y_LIBOR_6M
        The 'EUR-FIXED-1Y-LIBOR-6M' swap convention.

        EUR(>1Y) vanilla fixed vs LIBOR 6M swap. The fixed leg pays yearly with day count '30U/360'.

      • GBP_FIXED_1Y_LIBOR_3M

        public static final FixedIborSwapConvention GBP_FIXED_1Y_LIBOR_3M
        The 'GBP-FIXED-1Y-LIBOR-3M' swap convention.

        GBP(1Y) vanilla fixed vs LIBOR 3M swap. The fixed leg pays yearly with day count 'Act/365F'.

      • GBP_FIXED_6M_LIBOR_6M

        public static final FixedIborSwapConvention GBP_FIXED_6M_LIBOR_6M
        The 'GBP-FIXED-6M-LIBOR-6M' swap convention.

        GBP(>1Y) vanilla fixed vs LIBOR 6M swap. The fixed leg pays every 6 months with day count 'Act/365F'.

      • GBP_FIXED_3M_LIBOR_3M

        public static final FixedIborSwapConvention GBP_FIXED_3M_LIBOR_3M
        The 'GBP-FIXED-3M-LIBOR-3M' swap convention.

        GBP(>1Y) vanilla fixed vs LIBOR 3M swap. The fixed leg pays every 3 months with day count 'Act/365F'.

      • CHF_FIXED_1Y_LIBOR_3M

        public static final FixedIborSwapConvention CHF_FIXED_1Y_LIBOR_3M
        The 'CHF-FIXED-1Y-LIBOR-3M' swap convention.

        CHF(1Y) vanilla fixed vs LIBOR 3M swap. The fixed leg pays yearly with day count '30U/360'.

      • CHF_FIXED_1Y_LIBOR_6M

        public static final FixedIborSwapConvention CHF_FIXED_1Y_LIBOR_6M
        The 'CHF-FIXED-1Y-LIBOR-6M' swap convention.

        CHF(>1Y) vanilla fixed vs LIBOR 6M swap. The fixed leg pays yearly with day count '30U/360'.

      • JPY_FIXED_6M_TIBORJ_3M

        public static final FixedIborSwapConvention JPY_FIXED_6M_TIBORJ_3M
        The 'JPY-FIXED-6M-TIBOR-JAPAN-3M' swap convention.

        JPY(Tibor) vanilla fixed vs Tibor 3M swap. The fixed leg pays every 6 months with day count 'Act/365F'.

      • JPY_FIXED_6M_LIBOR_6M

        public static final FixedIborSwapConvention JPY_FIXED_6M_LIBOR_6M
        The 'JPY-FIXED-6M-LIBOR-6M' swap convention.

        JPY(LIBOR) vanilla fixed vs LIBOR 6M swap. The fixed leg pays every 6 months with day count 'Act/365F'.