ObservationPeriodDatesEnum
Enum CDM 7.2.0The enumerated values to specify whether rate calculations occur relative to the first or last day of a calculation period. Done in uppercase due to a bug in code generation. This enumeration is used to represent the definitions of modular calculated rates as described in the 2021 ISDA Definitions, section 7.
Values 3
Namespace cdm.observable.asset.calculatedrate
Values
3 permitted values.
| Value | Description |
|---|---|
| SetInAdvance | Calculations occur relative to the first day of a calculation period. |
| Standard | Calculations occur relative to the last day of a calculation period (set in arrears). |
| FixingDate | Calculations occur relative to a previously defined reset date, e.g. for a fallback rate. |
Referenced by
1 type holds an ObservationPeriodDatesEnum 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 |
|---|---|---|
| MapObservationPeriodDatesEnum | returns | — |
| ComputeCalculationPeriod | takes | Determine the calculation period to use for computing the calculated rate (it may not be the same as the normal calculation period, for instance if the rate is set in advance. |
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