Class IborIborSwapConventions
- java.lang.Object
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- com.opengamma.strata.product.swap.type.IborIborSwapConventions
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public final class IborIborSwapConventions extends Object
Market standard Ibor-Ibor swap conventions.https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf
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Field Summary
Fields Modifier and Type Field Description static IborIborSwapConvention
JPY_LIBOR_1M_LIBOR_6M
The 'JPY-LIBOR-1M-LIBOR-6M' swap convention.static IborIborSwapConvention
JPY_LIBOR_3M_LIBOR_6M
The 'JPY-LIBOR-3M-LIBOR-6M' swap convention.static IborIborSwapConvention
JPY_LIBOR_6M_TIBOR_EUROYEN_6M
The 'JPY-LIBOR-6M-TIBOR-EUROYEN-6M' swap convention.static IborIborSwapConvention
JPY_LIBOR_6M_TIBOR_JAPAN_6M
The 'JPY-LIBOR-6M-TIBOR-JAPAN-6M' swap convention.static IborIborSwapConvention
JPY_TIBOR_EUROYEN_1M_TIBOR_EUROYEN_6M
The 'JPY-TIBOR-EUROYEN-1M-TIBOR-EUROYEN-6M' swap convention.static IborIborSwapConvention
JPY_TIBOR_EUROYEN_3M_TIBOR_EUROYEN_6M
The 'JPY-TIBOR-EUROYEN-3M-TIBOR-EUROYEN-6M' swap convention.static IborIborSwapConvention
JPY_TIBOR_JAPAN_1M_TIBOR_JAPAN_6M
The 'JPY-TIBORJ-1M-TIBOR-JAPAN-6M' swap convention.static IborIborSwapConvention
JPY_TIBOR_JAPAN_3M_TIBOR_JAPAN_6M
The 'JPY-TIBOR-JAPAN-3M-TIBOR-JAPAN-6M' swap convention.static IborIborSwapConvention
USD_LIBOR_1M_LIBOR_3M
The 'USD-LIBOR-1M-LIBOR-3M' swap convention.static IborIborSwapConvention
USD_LIBOR_3M_LIBOR_6M
The 'USD-LIBOR-3M-LIBOR-6M' swap convention.
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Field Detail
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USD_LIBOR_3M_LIBOR_6M
public static final IborIborSwapConvention USD_LIBOR_3M_LIBOR_6M
The 'USD-LIBOR-3M-LIBOR-6M' swap convention.USD standard LIBOR 3M vs LIBOR 6M swap. The LIBOR 3M leg pays semi-annually with 'Flat' compounding method.
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USD_LIBOR_1M_LIBOR_3M
public static final IborIborSwapConvention USD_LIBOR_1M_LIBOR_3M
The 'USD-LIBOR-1M-LIBOR-3M' swap convention.USD standard LIBOR 1M vs LIBOR 3M swap. The LIBOR 1M leg pays quarterly with 'Flat' compounding method.
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JPY_LIBOR_1M_LIBOR_6M
public static final IborIborSwapConvention JPY_LIBOR_1M_LIBOR_6M
The 'JPY-LIBOR-1M-LIBOR-6M' swap convention.JPY standard LIBOR 1M vs LIBOR 6M swap. The LIBOR 1M leg pays monthly, the LIBOR 6M leg pays semi-annually.
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JPY_LIBOR_3M_LIBOR_6M
public static final IborIborSwapConvention JPY_LIBOR_3M_LIBOR_6M
The 'JPY-LIBOR-3M-LIBOR-6M' swap convention.JPY standard LIBOR 3M vs LIBOR 6M swap. The LIBOR 3M leg pays quarterly, the LIBOR 6M leg pays semi-annually.
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JPY_LIBOR_6M_TIBOR_JAPAN_6M
public static final IborIborSwapConvention JPY_LIBOR_6M_TIBOR_JAPAN_6M
The 'JPY-LIBOR-6M-TIBOR-JAPAN-6M' swap convention.JPY standard LIBOR 6M vs TIBOR JAPAN 6M swap. The two legs pay semi-annually.
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JPY_LIBOR_6M_TIBOR_EUROYEN_6M
public static final IborIborSwapConvention JPY_LIBOR_6M_TIBOR_EUROYEN_6M
The 'JPY-LIBOR-6M-TIBOR-EUROYEN-6M' swap convention.JPY standard LIBOR 6M vs TIBOR EUROYEN 6M swap. The two legs pay semi-annually.
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JPY_TIBOR_JAPAN_1M_TIBOR_JAPAN_6M
public static final IborIborSwapConvention JPY_TIBOR_JAPAN_1M_TIBOR_JAPAN_6M
The 'JPY-TIBORJ-1M-TIBOR-JAPAN-6M' swap convention.JPY standard TIBOR JAPAN 1M vs TIBOR JAPAN 6M swap. The TIBOR 1M leg pays monthly, the TIBOR 6M leg pays semi-annually.
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JPY_TIBOR_JAPAN_3M_TIBOR_JAPAN_6M
public static final IborIborSwapConvention JPY_TIBOR_JAPAN_3M_TIBOR_JAPAN_6M
The 'JPY-TIBOR-JAPAN-3M-TIBOR-JAPAN-6M' swap convention.JPY standard TIBOR JAPAN 3M vs TIBOR JAPAN 6M swap. The TIBOR 3M leg pays quarterly, the TIBOR 6M leg pays semi-annually.
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JPY_TIBOR_EUROYEN_1M_TIBOR_EUROYEN_6M
public static final IborIborSwapConvention JPY_TIBOR_EUROYEN_1M_TIBOR_EUROYEN_6M
The 'JPY-TIBOR-EUROYEN-1M-TIBOR-EUROYEN-6M' swap convention.JPY standard TIBOR EUROYEN 1M vs TIBOR EUROYEN 6M swap. The TIBOR 1M leg pays monthly, the TIBOR 6M leg pays semi-annually.
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JPY_TIBOR_EUROYEN_3M_TIBOR_EUROYEN_6M
public static final IborIborSwapConvention JPY_TIBOR_EUROYEN_3M_TIBOR_EUROYEN_6M
The 'JPY-TIBOR-EUROYEN-3M-TIBOR-EUROYEN-6M' swap convention.JPY standard TIBOR EUROYEN 3M vs TIBOR EUROYEN 6M swap. The TIBOR 3M leg pays quarterly, the TIBOR 6M leg pays semi-annually.
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