src.cdm.product.asset.NegativeInterestRateTreatmentEnum.py Maven / Gradle / Ivy

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from enum import Enum

all = ['NegativeInterestRateTreatmentEnum']
  
class NegativeInterestRateTreatmentEnum(Enum):
  """
  The enumerated values to specify the method of calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
  """
  NEGATIVE_INTEREST_RATE_METHOD = "NegativeInterestRateMethod"
  """
  Negative Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4 Negative Interest Rates, paragraphs (b) and (c).
  """
  ZERO_INTEREST_RATE_EXCLUDING_SPREAD_METHOD = "ZeroInterestRateExcludingSpreadMethod"
  """
  Per 2021 ISDA Definitions section 6.8.6
  """
  ZERO_INTEREST_RATE_METHOD = "ZeroInterestRateMethod"
  """
  Zero Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4. Negative Interest Rates, paragraphs (d) and (e).
  """