Added GBP/EUR cross-currency convention. #1390

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marc-henrard commented Oct 17, 2016

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+ * GBP LIBOR 3M v EUR EURIBOR 3M.
+ * The spread is on the GBP leg.
+ */
+ public static final XCcyIborIborSwapConvention GBP_LIBOR_3M_EUR_EURIBOR_3M =

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@jodastephen

jodastephen Oct 17, 2016

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Since EUR/GBP is the correct way around for the currency pair, I suspect this should be named EUR_EURIBOR_3M _GBP_LIBOR_3M. Unless we are naming them to indicate the order of the spread leg? (I'm happy with either convention, but we should document the naming convention we are using in a comment in the class)

@jodastephen

jodastephen Oct 17, 2016

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Since EUR/GBP is the correct way around for the currency pair, I suspect this should be named EUR_EURIBOR_3M _GBP_LIBOR_3M. Unless we are naming them to indicate the order of the spread leg? (I'm happy with either convention, but we should document the naming convention we are using in a comment in the class)

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@marc-henrard

marc-henrard Oct 17, 2016

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I had in mind to keep the leg with the market quote as the first one. This is what we have done for all others (FIXED v LIBOR, XCCY, IBOR+spread v IBOR). I will add some comments in that direction in the java doc.

@marc-henrard

marc-henrard Oct 17, 2016

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I had in mind to keep the leg with the market quote as the first one. This is what we have done for all others (FIXED v LIBOR, XCCY, IBOR+spread v IBOR). I will add some comments in that direction in the java doc.

@jodastephen jodastephen added this to the v1.2 milestone Oct 17, 2016

@marc-henrard marc-henrard merged commit 5d1a249 into master Oct 17, 2016

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@jodastephen jodastephen deleted the topic/xccy-gbp-eur branch Oct 17, 2016

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