OffsetCalculation
Type CDM 7.4.0Defines business day shifts for daily componded or averaged rates. This type is used for lookback and lockout rates. This type is used to represent modular computed rates in interestRatePayouts.
Extends —
Extended by —
Attributes 1
Namespace cdm.observable.asset.calculatedrate
Attributes
All 1 declared on OffsetCalculation. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| offsetDays | int | 0..1 | The number of business days offset. |
Referenced by
1 type holds an OffsetCalculation 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)}. |
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