Daml.Finance.Instrument.Swap - Changelog¶

Version 0.4.0¶

Update of SDK version and dependencies.
Added a HoldingStandard field to the implementation.
The Remove implementation was removed from the Factory (it is newly part of the Base instrument interface).
Renamed the F type synonym to T.
Added support for SOFR style rates (via a compounded index) to the interest rate swap and the asset swap.
Extended the asset swap to support a basket of underlyings.
Added a dedicated asset swap DistributionRule for total return swaps that pay dividends separately from the asset performance.

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.