CalculationShiftMethodEnum
Enum CDM 7.2.0the specific calculation method, e.g. lookback. This enumeration is used to represent the definitions of modular calculated rates as described in the 2021 ISDA Definitions, section 7.
Values 4
Namespace cdm.observable.asset.calculatedrate
Values
4 permitted values.
| Value | Description |
|---|---|
| Lookback | Calculations and weighting are done with respect to the calculation period, but observations are shifted back by several days. |
| ObservationPeriodShift | the observation period is shifted by several days prior to rate setting, and weightings are done with respect to the obseration period. |
| RateCutOff | Calculations cut the rate off several business days prior to rate setting (Lockout). |
| NoShift | calculations occur without any shifting, e.g. OIS Compounding/Basic Averaging style. |
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