Rates market conventions

This page lists the rates conventions the pinned release registers: every overnight, term and price index, the conventions of every overnight indexed swap template, and every other rates template by family. Use it to look up the day count, lag, roll and calendar a trade gets when you book it by code. Product pages link here instead of restating conventions, so the documentation holds one copy of each.

Every table is printed from the library's registries each time the documentation is built, in both languages, and the two printings must agree. Nothing is typed by hand, so a table cannot drift from the release it describes.

What each column means

Column	What it holds
Currency	the market the index belongs to
Code	the registry identifier you build a trade or pin a curve with
Index	the display name the index's fixings are stored under
Tenor	the term a term index fixes for
Day count	the measure an accrual fraction is computed on
Publication lag	how many business days after a date an overnight fixing is published
Fixing lag	how many business days before the period start a term index fixes
Roll	the business-day convention for a date that lands on a closed day
End of month	whether a period starting on a month end also ends on one
Fixing calendar / Calendar	the business-centre calendar the dates are counted on
Region, Published, Observation lag	a price index's region, how often it prints, and how many months a coupon's observation lags its date
Fixed leg	how often an overnight swap's fixed leg pays
Spot lag	the business days from trade date to a swap's start
Payment lag	how far after a period's end a coupon pays, and on which calendar
Family, Registry name	the kind of instrument a template books, and the name the registry files it under

Code is also the key a projection curve is stored under; Indices shows how a code and a display name resolve to one index. Day counts derives each measure, and Calendars explains rolls and calendars. How a template turns these into a trade is on Conventions and templates.

The catalog

Overnight indices

Currency	Code	Index	Day count	Publication lag	Roll	Fixing calendar
AUD	AUD-AONIA	AONIA	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	AUSY
BRL	BRL-CDI	CDI	BUS/252	1 business day(s)	MODFOLLOWING	BRBD
CAD	CAD-CORRA	CORRA	ACT/365.FIXED	1 business day(s)	MODFOLLOWING	CATO
CHF	CHF-SARON	SARON	ACT/360	0 business day(s)	MODFOLLOWING	CHZU
CLP	CLP-ICP	ICP	ACT/360	0 business day(s)	MODFOLLOWING	CLSA
CNY	CNY-SHIFON	SHIFON	ACT/360	0 business day(s)	MODFOLLOWING	CNSH.IB
COP	COP-IBR	IBR	ACT/360	0 business day(s)	MODFOLLOWING	COBO
DKK	DKK-DESTR	DESTR	ACT/360	1 business day(s)	MODFOLLOWING	DKCO
EUR	EUR-EONIA	EONIA	ACT/360	0 business day(s)	MODFOLLOWING	EUTA
EUR	EUR-ESTR	ESTR	ACT/360	1 business day(s)	MODFOLLOWING	EUTA
GBP	GBP-SONIA	SONIA	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	GBLO
HKD	HKD-HONIA	HONIA	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	HKHK
ILS	ILS-SHIR	SHIR	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	ILTA
INR	INR-MIBOR	MIBOR	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	INMU
JPY	JPY-TONA	TONA	ACT/365.FIXED	1 business day(s)	MODFOLLOWING	JPTO
KRW	KRW-KOFR	KOFR	ACT/365.FIXED	1 business day(s)	MODFOLLOWING	KRSE
MXN	MXN-F-TIIE	F-TIIE	ACT/360	1 business day(s)	MODFOLLOWING	MXMC
NOK	NOK-NOWA	NOWA	ACT/365.FIXED	1 business day(s)	MODFOLLOWING	NOOS
NZD	NZD-NZIONA	NZIONA	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	NZBD
SEK	SEK-SWESTR	SWESTR	ACT/360	1 business day(s)	MODFOLLOWING	SEST
SGD	SGD-SORA	SORA	ACT/365.FIXED	1 business day(s)	MODFOLLOWING	SGSI
THB	THB-THOR	THOR	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	THBA
TRY	TRY-TLREF	TLREF	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	TRIS
USD	USD-EFFR	EFFR	ACT/360	1 business day(s)	MODFOLLOWING	USNY
USD	USD-SOFR	SOFR	ACT/360	1 business day(s)	MODFOLLOWING	USNY.SOFR
ZAR	ZAR-ZARONIA	ZARONIA	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	ZAJO

Term indices

Currency	Code	Tenor	Day count	Fixing lag	Roll	End of month	Fixing calendar
AUD	AUD-BBSW-6M	6M	ACT/365.FIXED	1 business day(s)	MODFOLLOWING	no	AUSY
CNH	CNH-HIBOR-3M	3M	ACT/360	2 business day(s)	MODFOLLOWING	no	CNSH.IB,HKHK
CNY	CNY-FR007-1W	1W	ACT/365.FIXED	1 business day(s)	MODFOLLOWING	no	CNSH.IB
CNY	CNY-SHIBOR-3M	3M	ACT/360	1 business day(s)	MODFOLLOWING	no	CNSH.IB
CZK	CZK-PRIBOR-3M	3M	ACT/360	2 business day(s)	MODFOLLOWING	no	CZPR
DKK	DKK-CIBOR-3M	3M	ACT/360	2 business day(s)	MODFOLLOWING	no	DKCO
EUR	EUR-EURIBOR-1M	1M	ACT/360	2 business day(s)	MODFOLLOWING	yes	EUTA
EUR	EUR-EURIBOR-3M	3M	ACT/360	2 business day(s)	MODFOLLOWING	yes	EUTA
EUR	EUR-EURIBOR-6M	6M	ACT/360	2 business day(s)	MODFOLLOWING	yes	EUTA
EUR	EUR-LIBOR-4M	4M	ACT/360	2 business day(s)	MODFOLLOWING	yes	GBLO,EUTA
EUR	EUR-LIBOR-5M	5M	ACT/360	2 business day(s)	MODFOLLOWING	yes	GBLO,EUTA
EUR	EUR-LIBOR-6M	6M	ACT/360	2 business day(s)	MODFOLLOWING	yes	GBLO,EUTA
GBP	GBP-LIBOR-3M	3M	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	no	GBLO
HKD	HKD-HIBOR-3M	3M	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	no	HKHK
IDR	IDR-JIBOR-3M	3M	ACT/360	0 business day(s)	MODFOLLOWING	no	IDJA
JPY	JPY-TIBOR-6M	6M	ACT/365.FIXED	2 business day(s)	MODFOLLOWING	no	JPTO
KRW	KRW-CD-3M	3M	ACT/365.FIXED	1 business day(s)	MODFOLLOWING	no	KRSE
MYR	MYR-KLIBOR-3M	3M	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	no	MYKL
PHP	PHP-BVAL-3M	3M	ACT/360	0 business day(s)	MODFOLLOWING	no	PHMA
SAR	SAR-SAIBOR-3M	3M	ACT/360	2 business day(s)	MODFOLLOWING	no	SARI
SEK	SEK-STIBOR-3M	3M	ACT/360	2 business day(s)	MODFOLLOWING	no	SEST
TRY	TRY-TLREF-6M	6M	ACT/ACT.ICMA	0 business day(s)	MODFOLLOWING	no	TRIS
TWD	TWD-TAIBOR-3M	3M	ACT/365.FIXED	2 business day(s)	MODFOLLOWING	no	TWTA
USD	USD-LIBOR-3M	3M	ACT/360	2 business day(s)	MODFOLLOWING	no	GBLO
USD	USD-LIBOR-6M	6M	ACT/360	2 business day(s)	MODFOLLOWING	no	GBLO
ZAR	ZAR-JIBAR-3M	3M	ACT/365.FIXED	0 business day(s)	MODFOLLOWING	no	ZAJO

Price indices

Code	Index	Currency	Region	Published	Observation lag
EUR-HICPXT	HICPXT	EUR	EU	1M	3 month(s)
FR-CPI	FRCPI	EUR	FR	1M	3 month(s)
UK-RPI	UKRPI	GBP	UK	1M	2 month(s)
US-CPI-U	CPURNSA	USD	US	1M	3 month(s)

Overnight indexed swap templates

The conventions a five-year swap on each template carries, read from the builder a swap is booked through before anything is booked.

Template	Index	Fixed leg	Fixed day count	Float day count	Spot lag	Payment lag	Calendar
AUD-AONIA-OIS	AUD-AONIA	1Y	ACT/365.FIXED	ACT/365.FIXED	1D	2 BusinessDays FOLLOWING on AUSY	AUSY
CAD-CORRA-OIS	CAD-CORRA	6M	ACT/365.FIXED	ACT/365.FIXED	0D	1 BusinessDays FOLLOWING on CATO	CATO
CHF-SARON-OIS	CHF-SARON	1Y	ACT/360	ACT/360	2D	2 BusinessDays FOLLOWING on CHZU	CHZU
CNY-SHIFON-OIS	CNY-SHIFON	0D	ACT/365.FIXED	ACT/360	0D	none	CNSH.IB
DKK-DESTR-OIS	DKK-DESTR	1Y	ACT/360	ACT/360	2D	2 BusinessDays FOLLOWING on DKCO	DKCO
EUR-ESTR-OIS	EUR-ESTR	1Y	ACT/360	ACT/360	2D	1 BusinessDays FOLLOWING on EUTA	EUTA
GBP-SONIA-OIS	GBP-SONIA	1Y	ACT/365.FIXED	ACT/365.FIXED	0D	none	GBLO
HKD-HONIA-OIS	HKD-HONIA	3M	ACT/365.FIXED	ACT/365.FIXED	0D	2 BusinessDays FOLLOWING on HKHK	HKHK
ILS-SHIR-OIS	ILS-SHIR	1Y	ACT/365.FIXED	ACT/365.FIXED	2D	2 BusinessDays FOLLOWING on ILTA	ILTA
INR-MIBOR-OIS	INR-MIBOR	6M	ACT/365.FIXED	ACT/365.FIXED	1D	none	INMU
JPY-TONA-OIS	JPY-TONA	1Y	ACT/365.FIXED	ACT/365.FIXED	2D	2 BusinessDays FOLLOWING on JPTO	JPTO
KRW-KOFR-OIS	KRW-KOFR	3M	ACT/365.FIXED	ACT/365.FIXED	1D	2 BusinessDays FOLLOWING on KRSE	KRSE
MXN-F-TIIE-OIS	MXN-F-TIIE	4W	ACT/360	ACT/360	2D	2 BusinessDays FOLLOWING on MXMC	MXMC
NOK-NOWA-OIS	NOK-NOWA	1Y	ACT/365.FIXED	ACT/365.FIXED	2D	2 BusinessDays FOLLOWING on NOOS	NOOS
NZD-NZIONA-OIS	NZD-NZIONA	1Y	ACT/365.FIXED	ACT/365.FIXED	2D	2 BusinessDays FOLLOWING on NZBD	NZBD
SEK-SWESTR-OIS	SEK-SWESTR	1Y	ACT/360	ACT/360	2D	1 BusinessDays FOLLOWING on SEST	SEST
SGD-SORA-OIS	SGD-SORA	6M	ACT/365.FIXED	ACT/365.FIXED	2D	2 BusinessDays FOLLOWING on SGSI	SGSI
THB-THOR-OIS	THB-THOR	3M	ACT/365.FIXED	ACT/365.FIXED	2D	2 BusinessDays FOLLOWING on THBA	THBA
TRY-TLREF-OIS	TRY-TLREF	3M	ACT/365.FIXED	ACT/365.FIXED	1D	none	TRIS
USD-EFFR-AVERAGED-OIS	USD-EFFR	1Y	ACT/360	ACT/360	2D	2 BusinessDays FOLLOWING on USNY	USNY
USD-EFFR-OIS	USD-EFFR	1Y	ACT/360	ACT/360	2D	2 BusinessDays FOLLOWING on USNY	USNY
USD-SOFR-OIS	USD-SOFR	1Y	ACT/360	ACT/360	2D	2 BusinessDays FOLLOWING on USNY.SOFR	USNY.SOFR
ZAR-ZARONIA-OIS	ZAR-ZARONIA	1Y	ACT/365.FIXED	ACT/365.FIXED	0D	1 BusinessDays FOLLOWING on ZAJO	ZAJO

Other rates templates

Family	Template	Registry name
FRA	EUR-EURIBOR-3M-FRA	eur_euribor_3m_fra
FRA	EUR-EURIBOR-6M-FRA	eur_euribor_6m_fra
IRS	AUD-BBSW-6M-IRS	aud_bbsw_6m
IRS	CNH-HIBOR-3M-IRS	cnh_hibor_3m
IRS	CNY-SHIBOR-3M-IRS	cny_shibor_3m
IRS	EUR-EURIBOR-3M-IRS	eur_euribor_3m
IRS	EUR-EURIBOR-6M-IRS	eur_euribor_6m
IRS	GBP-LIBOR-3M-IRS	gbp_libor_3m
IRS	HKD-HIBOR-3M-IRS	hkd_hibor_3m
IRS	JPY-TIBOR-6M-IRS	jpy_tibor_6m
IRS	SAR-SAIBOR-3M-IRS	sar_saibor_3m
IRS	SEK-STIBOR-3M-IRS	sek_stibor_3m
IRS	USD-LIBOR-3M-IRS	usd_libor
IRS	ZAR-JIBAR-3M-IRS	zar_jibar_3m
deposit	EUR-ESTR-DEPO	eur_estr_depo
deposit	GBP-SONIA-DEPO	gbp_sonia_depo
deposit	USD-SOFR-DEPO	usd_sofr_depo
meeting-date OIS	EUR-ESTR-MeetingOIS	eur_ecb_meeting_ois
meeting-date OIS	GBP-SONIA-MeetingOIS	gbp_boe_meeting_ois
meeting-date OIS	USD-SOFR-MeetingOIS	usd_fomc_meeting_ois
rate future	CAD-CORRA-3M-FUT	cad_corra_3m_fut
rate future	CHF-SARON-3M-FUT	chf_saron_3m_fut
rate future	EUR-ESTR-3M-FUT	eur_estr_3m_fut
rate future	EUR-EURIBOR-3M-FUT	eur_euribor_3m_fut
rate future	GBP-SONIA-3M-FUT	gbp_sonia_3m_fut
rate future	USD-EFFR-1M-FUT	usd_effr_1m_fut
rate future	USD-SOFR-1M-FUT	usd_sofr_1m_fut
rate future	USD-SOFR-3M-FUT	usd_sofr_3m_fut
swaption	EUR-ESTR-SWAPTION	eur_estr
swaption	EUR-EURIBOR-6M-SWAPTION	eur_euribor_6m
swaption	GBP-SONIA-SWAPTION	gbp_sonia
swaption	USD-SOFR-SWAPTION	usd_sofr
tenor basis swap	EUR-ESTR-EURIBOR-BASIS	eur_estr_euribor_basis
tenor basis swap	EUR-EURIBOR-6M-3M-BASIS	eur_euribor_6m_3m_basis
zero-coupon swap	EUR-EURIBOR-1M-ZCS	eur_euribor_1m_zcs
zero-coupon swap	EUR-EURIBOR-3M-ZCS	eur_euribor_3m_zcs

Where these come from

The index rows come from the index registry and the template rows from the template registry. In Python, Index.codes() lists every registered index and an Index reads its own conventions; templates.catalogue() lists every template with its family and registry name; and templates.swap_conventions returns the conventions an overnight swap will carry, as a table of field and value, before anything is booked. In Rust the same registries are read through codes, the index registry's lookup, the template registry, and swap_builder_on_overnight_template(...).conventions().

A template's conventions are defaults: with_calendar, with_roll_convention, with_payment_lag and the other with_* overrides return an amended copy. Templates and the builders they open are covered in Templates and builders, and the products they book in the rates products section.