<?xml version="1.0" encoding="utf-8"?>
<Conventions>
  <!-- Zero Rates -->
  <Zero>
    <Id>EUR-ZERO-CONVENTIONS</Id>
    <TenorBased>false</TenorBased>
    <DayCounter>A360</DayCounter>
    <CompoundingFrequency>Daily</CompoundingFrequency>
  </Zero>
  <Zero>
    <Id>EUR-ZERO-CONVENTIONS-TENOR-BASED</Id>
    <TenorBased>true</TenorBased>
    <DayCounter>A360</DayCounter>
    <Compounding>Simple</Compounding>
    <TenorCalendar>TARGET</TenorCalendar>
    <SpotLag>2</SpotLag>
    <SpotCalendar>TARGET</SpotCalendar>
    <EOM>false</EOM>
  </Zero>
  <Zero>
    <Id>GBP-ZERO-CONVENTIONS-TENOR-BASED</Id>
    <TenorBased>true</TenorBased>
    <DayCounter>A365</DayCounter>
    <Compounding>Continuous</Compounding>
    <CompoundingFrequency>Daily</CompoundingFrequency>
    <TenorCalendar>TARGET</TenorCalendar>
    <SpotLag>0</SpotLag>
    <SpotCalendar>TARGET</SpotCalendar>
    <RollConvention>Following</RollConvention>
    <EOM>false</EOM>
  </Zero>
  <!-- CDS -->
  <CDS>
    <Id>CDS-STANDARD-CONVENTIONS</Id>
    <SettlementDays>0</SettlementDays>
    <Calendar>WeekendsOnly</Calendar>
    <Frequency>Quarterly</Frequency>
    <PaymentConvention>ModifiedFollowing</PaymentConvention>
    <Rule>TwentiethIMM</Rule>
    <DayCounter>A360</DayCounter>
    <SettlesAccrual>true</SettlesAccrual>
    <PaysAtDefaultTime>true</PaysAtDefaultTime>
  </CDS>
  <!-- Deposits -->
  <Deposit>
    <Id>EUR-EURIBOR-CONVENTIONS</Id>
    <IndexBased>true</IndexBased>
    <Index>EUR-EURIBOR</Index>
  </Deposit>
  <Deposit>
    <Id>EUR-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>EUR-EURIBOR</Index>
  </Deposit>
  <Deposit>
    <Id>GBP-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>GBP-LIBOR</Index>
  </Deposit>
  <!-- Money Market Futures -->
  <Future>
    <Id>EURIBOR-3M-FUTURES-CONVENTIONS</Id>
    <Index>EUR-EURIBOR-3M</Index>
  </Future>
  <!-- Forward Rate Agreements -->
  <FRA>
    <Id>EUR-12M-FRA-CONVENTIONS</Id>
    <Index>EUR-EURIBOR-12M</Index>
  </FRA>
  <FRA>
    <Id>EUR-6M-FRA-CONVENTIONS</Id>
    <Index>EUR-EURIBOR-6M</Index>
  </FRA>
  <FRA>
    <Id>EUR-3M-FRA-CONVENTIONS</Id>
    <Index>EUR-EURIBOR-3M</Index>
  </FRA>
  <FRA>
    <Id>GBP-3M-FRA</Id>
    <Index>GBP-LIBOR-3M</Index>
  </FRA>
  <FRA>
    <Id>GBP-6M-FRA</Id>
    <Index>GBP-LIBOR-6M</Index>
  </FRA>
  <!-- Interest Rate Swaps -->
  <SwapIndex>
    <Id>EUR-CMS-1Y</Id>
    <Conventions>EUR-6M-SWAP-CONVENTIONS</Conventions>
  </SwapIndex>
  <SwapIndex>
    <Id>EUR-CMS-30Y</Id>
    <Conventions>EUR-6M-SWAP-CONVENTIONS</Conventions>
  </SwapIndex>
  <SwapIndex>
    <Id>GBP-CMS-1Y</Id>
    <Conventions>GBP-3M-SWAP-CONVENTIONS</Conventions>
  </SwapIndex>
  <SwapIndex>
    <Id>GBP-CMS-30Y</Id>
    <Conventions>GBP-6M-SWAP-CONVENTIONS</Conventions>
  </SwapIndex>
  <Swap>
    <Id>EUR-6M-SWAP-CONVENTIONS</Id>
    <FixedCalendar>TARGET</FixedCalendar>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>A365</FixedDayCounter>
    <Index>EUR-EURIBOR-6M</Index>
  </Swap>
  <Swap>
    <Id>EUR-1M-SWAP-CONVENTIONS</Id>
    <FixedCalendar>TARGET</FixedCalendar>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>30/360</FixedDayCounter>
    <Index>EUR-EURIBOR-1M</Index>
  </Swap>
  <Swap>
    <Id>EUR-3M-SWAP-CONVENTIONS</Id>
    <FixedCalendar>TARGET</FixedCalendar>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>30/360</FixedDayCounter>
    <Index>EUR-EURIBOR-3M</Index>
  </Swap>
  <Swap>
    <Id>EUR-12M-SWAP-CONVENTIONS</Id>
    <FixedCalendar>TARGET</FixedCalendar>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>30/360</FixedDayCounter>
    <Index>EUR-EURIBOR-12M</Index>
  </Swap>
  <Swap>
    <Id>GBP-6M-SWAP-CONVENTIONS</Id>
    <FixedCalendar>UK</FixedCalendar>
    <FixedFrequency>Semiannual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>A365</FixedDayCounter>
    <Index>GBP-LIBOR-6M</Index>
  </Swap>
  <Swap>
    <Id>GBP-3M-SWAP-CONVENTIONS</Id>
    <FixedCalendar>UK</FixedCalendar>
    <FixedFrequency>Semiannual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedDayCounter>A365</FixedDayCounter>
    <Index>GBP-LIBOR-3M</Index>
  </Swap>
  <!-- Overnight Index linked Swap Legs -->
  <OIS>
    <Id>EUR-OIS-CONVENTIONS</Id>
    <SpotLag>0</SpotLag>
    <Index>EUR-EONIA</Index>
    <FixedDayCounter>A365</FixedDayCounter>
    <PaymentLag>0</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>Following</FixedConvention>
    <FixedPaymentConvention>Following</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <OIS>
    <Id>GBP-OIS-CONVENTIONS</Id>
    <SpotLag>0</SpotLag>
    <Index>GBP-SONIA</Index>
    <FixedDayCounter>A365</FixedDayCounter>
    <PaymentLag>0</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>Following</FixedConvention>
    <FixedPaymentConvention>Following</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <!-- Tenor Basis Swaps -->
  <TenorBasisTwoSwap>
    <Id>EURIBOR-3M-6M-BASIS-CONVENTIONS</Id>
    <Calendar>TARGET</Calendar>
    <LongFixedFrequency>Annual</LongFixedFrequency>
    <LongFixedConvention>MF</LongFixedConvention>
    <LongFixedDayCounter>30/360</LongFixedDayCounter>
    <LongIndex>EUR-EURIBOR-6M</LongIndex>
    <ShortFixedFrequency>Annual</ShortFixedFrequency>
    <ShortFixedConvention>MF</ShortFixedConvention>
    <ShortFixedDayCounter>30/360</ShortFixedDayCounter>
    <ShortIndex>EUR-EURIBOR-3M</ShortIndex>
    <LongMinusShort>true</LongMinusShort>
  </TenorBasisTwoSwap>
  <TenorBasisTwoSwap>
    <Id>EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS</Id>
    <Calendar>TARGET</Calendar>
    <LongFixedFrequency>Annual</LongFixedFrequency>
    <LongFixedConvention>MF</LongFixedConvention>
    <LongFixedDayCounter>30/360</LongFixedDayCounter>
    <LongIndex>EUR-EURIBOR-12M</LongIndex>
    <ShortFixedFrequency>Annual</ShortFixedFrequency>
    <ShortFixedConvention>MF</ShortFixedConvention>
    <ShortFixedDayCounter>30/360</ShortFixedDayCounter>
    <ShortIndex>EUR-EURIBOR-6M</ShortIndex>
    <LongMinusShort>true</LongMinusShort>
  </TenorBasisTwoSwap>
  <TenorBasisSwap>
    <Id>GBP-LIBOR-3M-6M-BASIS-CONVENTIONS</Id>
    <PayIndex>GBP-LIBOR-6M</PayIndex>
    <ReceiveIndex>GBP-LIBOR-3M</ReceiveIndex>
  </TenorBasisSwap>
  <!-- FX Forwards -->
  <FX>
    <Id>EUR-GBP-FX-CONVENTIONS</Id>
    <SpotDays>2</SpotDays>
    <SourceCurrency>EUR</SourceCurrency>
    <TargetCurrency>GBP</TargetCurrency>
    <PointsFactor>10000</PointsFactor>
    <AdvanceCalendar>TARGET,UK</AdvanceCalendar>
    <SpotRelative>true</SpotRelative>
  </FX>
  <!-- Cross Currency Basis Swaps -->
  <CrossCurrencyBasis>
    <Id>EUR-GBP-XCCY-BASIS-CONVENTIONS</Id>
    <SettlementDays>2</SettlementDays>
    <SettlementCalendar>UK,TARGET</SettlementCalendar>
    <RollConvention>MF</RollConvention>
    <FlatIndex>EUR-EURIBOR-3M</FlatIndex>
    <SpreadIndex>GBP-LIBOR-3M</SpreadIndex>
  </CrossCurrencyBasis>
</Conventions>
