Daml.Finance.Interface.Instrument.Types.FloatingRate¶
Data Types¶
data DateRelativeToEnum
The specification of whether payments/resets occur relative to the first or last day of a calculation period.
Payments/Resets will occur relative to the first day of each calculation period.Payments/Resets will occur relative to the last day of each calculation period.instance Eq DateRelativeToEnum
instance Show DateRelativeToEnum
- type FixingDates
- = DateOffset
data FloatingRate
Specifies the data required for a floating rate coupon.
Field Type Description referenceRateId Text The identifier of the reference rate to be used for the coupon, e.g. Libor-3M. referenceRateType ReferenceRateTypeEnum The type of reference rate, which defines how the reference rate is calcuated. fixingDates FixingDates Specifies the fixing dates as an offset of the calculation date, e.g. -2 business days. instance Eq FloatingRate
instance Show FloatingRate
The type of reference rate, which defines how the reference rate is calculated.
SingleFixing DateRelativeToEnum
The reference rate is fixed on one observation date. This is usually the case for Libor and similar reference rates. A DateRelativeToEnum is required to indicate whether the reference rate will reset relative to the first or the last day of the calculation period.CompoundedIndex DayCountConventionEnum
The reference rate is a regularly (e.g. daily) compounded reference rate, e.g. compounded SOFR, calculated via an index that is continuously compounded since a specified start date. This enables efficient calculation using only the index values at the start and at the end of the calculation period: SOFR_INDEX_END / SOFR_INDEX_START - 1, as described here: https://www.newyorkfed.org/markets/reference-rates/additional-information-about-reference-rates#tgcr_bgcr_sofr_calculation_methodology The day count convention used for the index calculation (by the index provider) is also required. For example, in the case of SOFR this is Act360, which is implied by the 360/dc factor in the formula in the "Calculation Methodology for the SOFR Averages and Index" section in the link above.instance Eq ReferenceRateTypeEnum
instance Show ReferenceRateTypeEnum