FloatingRateIndexStyleEnum

Enum CDM 7.4.0

Second level ISDA FRO category.

Values 10

Namespace cdm.observable.asset.fro

Values

10 permitted values. The display name is the form that appears on the wire and in FpML.

Value	Display name	Description
AverageFRO	Average FRO	An ISDA-defined calculated rate done using arithmetic averaging.
CompoundedFRO	—	An ISDA-defined calculated rate done using arithmetic averaging.
CompoundedIndex	Compounded Index	A published index calculated using compounding.
Index	Index	A published index using a methodology defined by the publisher, e.g. S&P 500.
Other	Other	—
Overnight	Overnight Rate	—
PublishedAverage	Published Average Rate	A published rate computed using an averaging methodology.
SpecifiedFormula	Specified Formula	—
SwapRate	Swap Rate	A rate representing the market rate for swaps of a given maturity.
TermRate	Term Rate	A rate specified over a given term, such as a libor-type rate.

1 type holds a FloatingRateIndexStyleEnum as an attribute.

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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Parsed from CDM 7.4.0 · observable-asset-fro-enum.rosetta cdm.observable.asset.fro