Comments (4)
Thanks for the input, we'll have to take a look.
On the questions, StandardFixedOvernightSwapConventions
and StandardFixedIborSwapConventions
should represent the best view on what market conventions are. Unfortunately, it isn't always easy to decide what is the most accurate convention so there are sometimes differences to BBG. Strata only provides enough conventions to get users started - if they want more they have to be added.
Strata has the ability for conventions to vary by leg. It may require a different set of method calls to achieve that, but it is possible. Most of the alterations supported by FpML are supported in Strata, including those your mention.
There are separate definitions for each index, eg in IborIndexData.csv
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Hi @jodastephen, thanks for answering my questions. This all makes sense.
Just checking if you had a chance to verify the possible convention mismatches on your side.
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Hi Phil,
Thanks for pointing those issues.
I will will start with the USD questions. For USD LIBOR swaps, there have been traditionally 2 conventions: SemiBond v LIBOR-3M (USD-FIXED-6M-LIBOR-3M in Strata) and Annual Money v LIBOR 3M (USD-FIXED-1Y-LIBOR-3M in Strata). In BBG, the latter would be USSAx. Both 30/360 and ACT/360 are correct in some sense. The last column in IborIndexData is used only if user want to create some automatic convention mechanism; it is not used for standard pricing.
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Closing, as this seems to be answered
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