/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.index.type;
import static com.opengamma.strata.basics.date.DateSequences.MONTHLY_IMM;
import static com.opengamma.strata.basics.date.DateSequences.QUARTERLY_IMM;
import static com.opengamma.strata.basics.index.IborIndices.EUR_EURIBOR_3M;
import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_3M;
import static com.opengamma.strata.basics.index.IborIndices.USD_LIBOR_3M;
/**
* Market standard Fixed-Ibor swap conventions.
* <p>
* http://www.opengamma.com/sites/default/files/interest-rate-instruments-and-market-conventions.pdf
*/
final class StandardIborFutureConventions {
/**
* The 'GBP-LIBOR-3M-Quarterly-IMM' convention.
* <p>
* The 'GBP-LIBOR-3M' index based on quarterly IMM dates.
*/
public static final IborFutureConvention GBP_LIBOR_3M_QUARTERLY_IMM =
ImmutableIborFutureConvention.of(GBP_LIBOR_3M, QUARTERLY_IMM);
/**
* The 'GBP-LIBOR-3M-Monthly-IMM' convention.
* <p>
* The 'GBP-LIBOR-3M' index based on monthly IMM dates.
*/
public static final IborFutureConvention GBP_LIBOR_3M_MONTHLY_IMM =
ImmutableIborFutureConvention.of(GBP_LIBOR_3M, MONTHLY_IMM);
//-------------------------------------------------------------------------
/**
* The 'EUR-EURIBOR-3M-Quarterly-IMM' convention.
* <p>
* The 'EUR-EURIBOR-3M' index based on quarterly IMM dates.
*/
public static final IborFutureConvention EUR_EURIBOR_3M_QUARTERLY_IMM =
ImmutableIborFutureConvention.of(EUR_EURIBOR_3M, QUARTERLY_IMM);
/**
* The 'EUR-EURIBOR-3M-Monthly-IMM' convention.
* <p>
* The 'EUR-EURIBOR-3M' index based on monthly IMM dates.
*/
public static final IborFutureConvention EUR_EURIBOR_3M_MONTHLY_IMM =
ImmutableIborFutureConvention.of(EUR_EURIBOR_3M, MONTHLY_IMM);
//-------------------------------------------------------------------------
/**
* The 'USD-LIBOR-3M-Quarterly-IMM' convention.
* <p>
* The 'USD-LIBOR-3M' index based on quarterly IMM dates.
*/
public static final IborFutureConvention USD_LIBOR_3M_QUARTERLY_IMM =
ImmutableIborFutureConvention.of(USD_LIBOR_3M, QUARTERLY_IMM);
/**
* The 'USD-LIBOR-3M-Monthly-IMM' convention.
* <p>
* The 'USD-LIBOR-3M' index based on monthly IMM dates.
*/
public static final IborFutureConvention USD_LIBOR_3M_MONTHLY_IMM =
ImmutableIborFutureConvention.of(USD_LIBOR_3M, MONTHLY_IMM);
//-------------------------------------------------------------------------
/**
* Restricted constructor.
*/
private StandardIborFutureConventions() {
}
}