iborindices: Standard IBOR

In fmbasics: Financial Market Building Blocks

Description

These functions create commonly used IBOR indices with standard market conventions.

Usage

AUDBBSW(tenor)

AUDBBSW1b(tenor)

EURIBOR(tenor)

GBPLIBOR(tenor)

JPYLIBOR(tenor)

JPYTIBOR(tenor)

NZDBKBM(tenor)

USDLIBOR(tenor)

CHFLIBOR(tenor)

HKDHIBOR(tenor)

NOKNIBOR(tenor)

Arguments

tenor

the tenor of the IBOR index (e.g. months(3))

Details

The key conventions are tabulated below.

Creator	Spot lag (days)	Fixing calendars	Day basis	Day convention	EOM
AUDBBSW()	0	AUSYCalendar	act/365	ms	FALSE
EURIBOR()	2	EUTACalendar	act/360	mf	TRUE
GBPLIBOR()	0	GBLOCalendar	act/365	mf	TRUE
JPYLIBOR()	2	GBLOCalendar	act/360	mf	TRUE
JPYTIBOR()	2	JPTOCalendar	act/365	mf	FALSE
NZDBKBM()	0	NZWECalendar, NZAUCalendar	act/365	mf	FALSE
USDLIBOR()	2	USNYCalendar, GBLOCalendar	act/360	mf	TRUE
CHFLIBOR()	2	GBLOCalendar	act/360	mf	TRUE
HKDHIBOR()	0	HKHKCalendar	act/365	mf	FALSE
NOKNIBOR()	2	NOOSCalendar	act/360	mf	FALSE

There are some nuances to this. Sub-1m LIBOR and TIBOR spot lags are zero days (excepting spot-next rates) and use the following day convention and the overnight USDLIBOR index uses both USNYCalendar and GBLOCalendar calendars.

References

BBSW EURIBOR ICE LIBOR BBA LIBOR TIBOR NZD BKBM OpenGamma Interest Rate Instruments and Market Conventions Guide HKD HIBOR

See Also

Other constructors: CurrencyConstructors, CurrencyPairConstructors, oniaindices

fmbasics documentation built on May 2, 2019, 6:22 a.m.