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