Create OvernightOvernightSwapConventions #2686
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jodastephen
suggested changes
Dec 5, 2024
| * The spot date offset is 2 days. | ||
| */ | ||
| public static final OvernightOvernightSwapConvention USD_FED_FUND_SOFR_3M = | ||
| OvernightOvernightSwapConvention.of(StandardOvernightOvernightSwapConventions.USD_FED_FUND_SOFR_3M.getName()); |
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The name USD_FED_FUND_SOFR_3M does not match USD-SOFR-3M-FED-FUND-3M. While painfully long, it is better to be consistent.
jodastephen
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Dec 5, 2024
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Jan 5, 2025
* Adding Overnight-Overnight swap conventions * Cleanup + Add Tests * PR cleanup * Finish PR feedback * Fix tests * Make constant public to fix ini loading --------- Co-authored-by: Brian Weller <brianweller89@users.noreply.github.com>
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Initially only needed for trade creation; hence
CurveNodeandTradeTemplateimplementations have not been created