SwapCurveValuation
Type CDM 7.2.0A class to specify a valuation swap curve, which is used as part of the strike construct for the bond and convertible bond options.
Attributes
All 4 declared on SwapCurveValuation. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| floatingRateIndex | FloatingRateIndexEnum | 1..1 | — |
| indexTenor | Period | 0..1 | The ISDA Designated Maturity, i.e. the tenor of the floating rate. |
| spread | number | 1..1 | Spread in basis points over the floating rate index. |
| side | QuotationSideEnum | 0..1 | The side (bid/mid/ask) of the measure. |
Referenced by
1 type holds a SwapCurveValuation as an attribute.
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