FloatingRateIndexCalculationDefaults
Type CDM 7.2.0This holds the rate calculation defaults applicable for a floating rate index.
Extends —
Extended by —
Attributes 7
Namespace cdm.observable.asset.fro
Attributes
All 7 declared on FloatingRateIndexCalculationDefaults. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| category | FloatingRateIndexCategoryEnum | 0..1 | The ISDA FRO category (e.g. screen rate or calculated rate). |
| indexStyle | FloatingRateIndexStyleEnum | 0..1 | The ISDA FRO style (e.g. term rate, swap rate, etc). |
| method | FloatingRateIndexCalculationMethodEnum | 0..1 | The ISDA FRO calculation method (e.g. OIS Compounding). |
| fixing | FloatingRateIndexFixingDetails | 0..* | The default fixing details. |
| dayCountFraction | DayCountFractionEnum | 0..1 | The default day count fraction. |
| applicableBusinessDays | BusinessCenters | 0..1 | The default applicable business days. |
| publicationCalendar | BusinessCenter | 0..1 | Publication Calendar (e.g. EUR-ICESWAP) |
Referenced by
1 type holds a FloatingRateIndexCalculationDefaults as an attribute.
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