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.cdm-java.5.0.1.source-code.product-asset-floatingrate-enum.rosetta Maven / Gradle / Ivy

namespace cdm.product.asset.floatingrate : <"Product-related, asset class-specific floating-rate index concepts, such as rate definitions ">
version "${project.version}"

enum FloatingRateIndexProcessingTypeEnum: <"This enumeration provides guidance on how to process a given floating rate index.  It's based on the ISDA Floating Rate Index information, but transforms it into the specific categories needed for calculation ">
    Screen <"These values are just looked up from the screen and applied.">
    CompoundIndex <"A published index calculated using compounding; the implied rate must be backed out.">
    OIS <"These are calculated by the calculation agent based on a standard OIS FRO definition.">
    OvernightAvg <"These are calculated by the calculation agent based on a standard overnight averaging FRO definition.">
    Modular <"These are calculated by the calculation agent based on deal-specific parameters (e.g. lookback compound based on an RFR).">
    RefBanks <"These must be looked up using a manual process">