CalculationMethodEnum
Enum CDM 7.4.0What calculation type is required, averaging or compounding. This enumeration is used to represent the definitions of modular calculated rates as described in the 2021 ISDA Definitions, section 7.
Values 3
Namespace cdm.observable.asset.calculatedrate
Values
3 permitted values.
| Value | Description |
|---|---|
| Averaging | Averaging, i.e. arithmetic averaging. |
| Compounding | Compounding, i.e. geometric averaging following an ISDA defined formula. |
| CompoundedIndex | A rate based on an index that is computed by a rate administrator. The user is responsible for backing out the rate by applying a simple formula. |
Referenced by
1 type holds a CalculationMethodEnum as an attribute.
Functions
Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.
| Function | Role | Description |
|---|---|---|
| MapCalculationMethodEnum | returns | — |
| Create_DetermineUnadjustedObservationDatesInstruction | takes | This function generates the Instruction Composition step instruction necessary to generate the unadjusted observation dates, and adding them to the DetermineUnadjustedObservationDatesInstruction. |
| Create_AdjustObservationDatesInstruction | takes | This function generates the Instruction Composition step instruction necessary to make the necessary adjustments to the observation dates, and adding the resulting adjusted dates to the AdjustObservationDatesInstruction. Supported shifts and offsets in this version are: {Fixing Day Offset, Lookback Shift (only for Multiple Observations)}. The following mechanisms are currently out-of-scope: {Observation Period Shift, Lockout Shift, Lookback Shift (for Compounded Index Observations)}. |
| DetermineObservationType | takes | Evaluates the Floating Rate Index properties and methodologies to determine the Observation Type. |
| GetCalculatedFROCalculationParameters | takes | Initialize a calculation parameters block for an OIS or a daily average rate. Used to support FROs that include an embedded calculation. |
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