Daml.Finance.Instrument.Swap - Changelog¶

Version 0.3.0¶

Update of SDK version and dependencies
The Create choice on the instrument factories returns the corresponding interface (rather than the base instrument interface)
Make use of the requires keyword to enforce the interface hierarchy (in particular the asDisclosure and asBaseInstrument implementations were removed)
FpmlSwap now accepts a non-zero rate fixing lag

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