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.

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.

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.