Daml.Finance.Instrument.Swap - Changelog

Version 0.2.1

• Implement interest rate compounding (several calculation periods per payment period)
• Support a more generic way of specifying notional step schedules
• Support specification of a payment lag
• Efficient calculation of SOFR-like daily compounded reference rates
• Implement arrears reset
• Implement step-up coupon
• Add support for initial stub period that starts before the issue date of the swap
• Improve handling of principal exchange
• Add support for Term period of a swap leg
• Additional improvements required to make the official FpML trades 1..7 work as expected