Class ThreeLegBasisSwapConventions
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- com.opengamma.strata.product.swap.type.ThreeLegBasisSwapConventions
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public final class ThreeLegBasisSwapConventions extends Object
Market standard three leg basis 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 ThreeLegBasisSwapConvention
EUR_FIXED_1Y_EURIBOR_3M_EURIBOR_6M
The 'EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M' swap convention.
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Field Detail
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EUR_FIXED_1Y_EURIBOR_3M_EURIBOR_6M
public static final ThreeLegBasisSwapConvention EUR_FIXED_1Y_EURIBOR_3M_EURIBOR_6M
The 'EUR-FIXED-1Y-EURIBOR-3M-EURIBOR-6M' swap convention.EUR three leg basis swap of fixed, Euribor 3M and Euribor 6M. The fixed leg pays yearly with day count '30U/360'.
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