<Conventions>
  <OIS>
    <Id>EUR-ESTER-OIS</Id>
    <SpotLag>1</SpotLag>
    <Index>EUR-ESTER</Index>
    <FixedDayCounter>A360</FixedDayCounter>
    <PaymentLag>1</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedPaymentConvention>MF</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <OIS>
    <Id>EUR-OIS</Id>
    <SpotLag>2</SpotLag>
    <Index>EUR-EONIA</Index>
    <FixedDayCounter>A360</FixedDayCounter>
    <PaymentLag>1</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>Following</FixedConvention>
    <FixedPaymentConvention>Following</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <Deposit>
    <Id>EUR-ON-DEPOSIT-ESTER</Id>
    <IndexBased>true</IndexBased>
    <Index>EUR-ESTER</Index>
  </Deposit>
  <FX>
    <Id>EUR-USD-FX</Id>
    <SpotDays>2</SpotDays>
    <SourceCurrency>EUR</SourceCurrency>
    <TargetCurrency>USD</TargetCurrency>
    <PointsFactor>10000</PointsFactor>
    <AdvanceCalendar>TARGET,US</AdvanceCalendar>
    <SpotRelative>true</SpotRelative>
  </FX>
  <FxOption>
    <Id>EUR-USD-FXOPTION</Id>
    <FXConventionID>EUR-USD-FX</FXConventionID>
    <AtmType>AtmDeltaNeutral</AtmType>
    <DeltaType>Spot</DeltaType>
    <SwitchTenor>2Y</SwitchTenor>
    <LongTermAtmType>AtmDeltaNeutral</LongTermAtmType>
    <LongTermDeltaType>Fwd</LongTermDeltaType>
    <RiskReversalInFavorOf>Call</RiskReversalInFavorOf>
    <ButterflyStyle>Broker</ButterflyStyle>
  </FxOption>
  <OIS>
    <Id>USD-OIS</Id>
    <SpotLag>2</SpotLag>
    <Index>USD-FedFunds</Index>
    <FixedDayCounter>A360</FixedDayCounter>
    <PaymentLag>2</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>Following</FixedConvention>
    <FixedPaymentConvention>Following</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <Deposit>
    <Id>USD-ON-SOFR-DEPOSIT</Id>
    <IndexBased>true</IndexBased>
    <Index>USD-SOFR</Index>
  </Deposit>
  <Future>
    <Id>USD-SOFR-3M-FUTURES</Id>
    <Index>USD-SOFR</Index>
    <OvernightIndexFutureNettingType>Compounding</OvernightIndexFutureNettingType>
    <DateGenerationRule>IMM</DateGenerationRule>
  </Future>
  <OIS>
    <Id>USD-SOFR-OIS</Id>
    <SpotLag>0</SpotLag>
    <Index>USD-SOFR</Index>
    <FixedDayCounter>A360</FixedDayCounter>
    <PaymentLag>2</PaymentLag>
    <EOM>false</EOM>
    <FixedFrequency>Annual</FixedFrequency>
    <FixedConvention>MF</FixedConvention>
    <FixedPaymentConvention>MF</FixedPaymentConvention>
    <Rule>Backward</Rule>
  </OIS>
  <CrossCurrencyBasis>
    <Id>EUR-USD-ON-XCCY-BASIS</Id>
    <SettlementDays>2</SettlementDays>
    <SettlementCalendar>TARGET,US,UK</SettlementCalendar>
    <RollConvention>MF</RollConvention>
    <FlatIndex>USD-SOFR</FlatIndex>
    <SpreadIndex>EUR-ESTER</SpreadIndex>
    <IsResettable>true</IsResettable>
    <FlatIndexIsResettable>true</FlatIndexIsResettable>
    <FlatTenor>3M</FlatTenor>
    <SpreadTenor>3M</SpreadTenor>
  </CrossCurrencyBasis>
</Conventions>

