fmbasics (version 0.3.0)

iborindices: Standard IBOR

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

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