Class ImmutableFixedIborSwapConvention

  • All Implemented Interfaces:
    Named, FixedFloatSwapConvention, FixedIborSwapConvention, SingleCurrencySwapConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class ImmutableFixedIborSwapConvention
    extends Object
    implements FixedIborSwapConvention, org.joda.beans.ImmutableBean, Serializable
    A market convention for Fixed-Ibor swap trades.

    This defines the market convention for a Fixed-Ibor single currency swap. This is often known as a vanilla swap. The convention is formed by combining two swap leg conventions in the same currency.

    The convention is defined by four key dates.

    • Trade date, the date that the trade is agreed
    • Spot date, the base for date calculations, typically 2 business days after the trade date
    • Start date, the date on which the interest calculation starts, often the same as the spot date
    • End date, the date on which the interest calculation ends, typically a number of years after the start date
    See Also:
    Serialized Form