oniaindices: Standard ONIA

Description Usage Details References See Also

Description

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

Usage

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Details

The key conventions are tabulated below. All have a zero day spot lag excepting CHFTOIS which has a one day lag (it is a tom-next rate, per 2006 ISDA definitions).

Creator Fixing calendars Day basis Day convention
AONIA() AUSYCalendar act/365 f
EONIA() EUTACalendar act/360 f
SONIA() GBLOCalendar act/365 f
TONAR() JPTOCalendar act/365 f
NZIONA() NZWECalendar, NZAUCalendar act/365 f
FedFunds() USNYCalendar act/360 f
CHFTOIS() CHZHCalendar act/360 f
HONIX() HKHKCalendar act/365 f

Note that for some ONIA indices, the overnight rate is not published until the following date (i.e. it has publication lag of one day).

References

AONIA EONIA SONIA TONAR NZIONA FedFunds OpenGamma Interest Rate Instruments and Market Conventions Guide

See Also

Other constructors: CurrencyConstructors, CurrencyPairConstructors, iborindices


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