FloatingRateIndexCalculationMethodEnum
Enum CDM 7.4.03rd level ISDA FRO category.
Values 4
Namespace cdm.observable.asset.fro
Values
4 permitted values. The display name is the form that appears on the wire and in FpML.
| Value | Display name | Description |
|---|---|---|
| OISCompound | OIS Compounding | A calculation methodology using the ISDA-defined OIS compounding formula. |
| Average | Overnight Averaging | A calculation methodology using the arithmetic mean. |
| Compounded | Compounded Index | — |
| AllInCompounded | All-In Compounded Index | — |
Referenced by
1 type holds a FloatingRateIndexCalculationMethodEnum 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 |
|---|---|---|
| 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. |
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