FloatingRateIndexProcessingTypeEnum
Enum CDM 7.2.0This enumeration provides guidance on how to process a given floating rate index. It's based on the ISDA Floating Rate Index information, but transforms it into the specific categories needed for calculation
Values 6
Namespace cdm.product.asset.floatingrate
Values
6 permitted values.
| Value | Description |
|---|---|
| Screen | These values are just looked up from the screen and applied. |
| CompoundIndex | A published index calculated using compounding; the implied rate must be backed out. |
| OIS | These are calculated by the calculation agent based on a standard OIS FRO definition. |
| OvernightAvg | These are calculated by the calculation agent based on a standard overnight averaging FRO definition. |
| Modular | These are calculated by the calculation agent based on deal-specific parameters (e.g. lookback compound based on an RFR). |
| RefBanks | These must be looked up using a manual process |
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 |
|---|---|---|
| GetFloatingRateProcessingType | returns | Get a classification of the floating rate is processed. This is based on FRO category, style, and calculation method, as described in the 2021 ISDA Definitions Section 6.6. The categorization information is obtained from the FRO metadata. . |
| ProcessFloatingRateReset | takes | Entry point for the function that performs the floating rate resetting operation. There are different variations depending on the processing type (e.g. screen rate, OIS, modular calculated rate. . |
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