AccrualFactorCalculationTerms
Type CDM 7.2.0Describes the input terms involved in the calculation of the accrual factor. Optionnally, long and short stub interpolation rates can be specified.
Extends —
Extended by —
Attributes 3
Namespace cdm.event.common
Attributes
All 3 declared on AccrualFactorCalculationTerms. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| tenorTillMaturity | number | 1..1 | The duration between last fixing date and the payment date of accruals, calculated in accordance with the appropriate DayCountFraction. |
| dayCountFraction | DayCountFractionEnum | 1..1 | The enumerated values to specify the day count fraction. |
| interpolationTerms | StubValue | 0..1 | Describes the rate, tenor, period duration for the short and long stubs, when the accrualRate optionnaly results from an interpolation method. |
Referenced by
1 type holds an AccrualFactorCalculationTerms as an attribute.
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