These functions create commonly used ONIA indices with standard market conventions.
AONIA() EONIA() SONIA() TONAR() NZIONA() FedFunds() CHFTOIS() HONIX()
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).
AONIA EONIA SONIA TONAR NZIONA FedFunds OpenGamma Interest Rate Instruments and Market Conventions Guide
Other constructors: CurrencyConstructors,
CurrencyPairConstructors,
iborindices