Class XCcyIborIborSwapConventions
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- com.opengamma.strata.product.swap.type.XCcyIborIborSwapConventions
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public final class XCcyIborIborSwapConventions extends Object
Market standard cross-currency 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 XCcyIborIborSwapConvention
EUR_EURIBOR_3M_USD_LIBOR_3M
The 'EUR-EURIBOR-3M-USD-LIBOR-3M' swap convention.static XCcyIborIborSwapConvention
GBP_LIBOR_3M_EUR_EURIBOR_3M
The 'GBP-LIBOR-3M-EUR-EURIBOR-3M' swap convention.static XCcyIborIborSwapConvention
GBP_LIBOR_3M_JPY_LIBOR_3M
The 'GBP-LIBOR-3M-JPY-LIBOR-3M' swap convention.static XCcyIborIborSwapConvention
GBP_LIBOR_3M_USD_LIBOR_3M
The 'GBP-LIBOR-3M-USD-LIBOR-3M' swap convention.
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Field Detail
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EUR_EURIBOR_3M_USD_LIBOR_3M
public static final XCcyIborIborSwapConvention EUR_EURIBOR_3M_USD_LIBOR_3M
The 'EUR-EURIBOR-3M-USD-LIBOR-3M' swap convention.EUR EURIBOR 3M v USD LIBOR 3M. The spread is on the EUR leg.
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GBP_LIBOR_3M_USD_LIBOR_3M
public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_USD_LIBOR_3M
The 'GBP-LIBOR-3M-USD-LIBOR-3M' swap convention.GBP LIBOR 3M v USD LIBOR 3M. The spread is on the GBP leg.
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GBP_LIBOR_3M_EUR_EURIBOR_3M
public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_EUR_EURIBOR_3M
The 'GBP-LIBOR-3M-EUR-EURIBOR-3M' swap convention.GBP LIBOR 3M v EUR EURIBOR 3M. The spread is on the GBP leg.
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GBP_LIBOR_3M_JPY_LIBOR_3M
public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_JPY_LIBOR_3M
The 'GBP-LIBOR-3M-JPY-LIBOR-3M' swap convention.GBP LIBOR 3M v JPY LIBOR 3M. The spread is on the GBP leg.
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