oniaindices: Standard ONIA

In fmbasics: Financial Market Building Blocks

Description

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

Usage

AONIA()

EONIA()

SONIA()

TONAR()

NZIONA()

FedFunds()

CHFTOIS()

HONIX()

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.