Class ThreeLegBasisSwapConventions


  • public final class ThreeLegBasisSwapConventions
    extends Object
    Market standard three leg basis swap conventions.

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

    • Field Detail

      • 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'.