.cdm-java.6.0.0-dev.82.source-code.cdm-observable-asset-calculatedrate-CalculationShiftMethodEnum.schema.json Maven / Gradle / Ivy

Go to download

Show more of this group Show more artifacts with this name
Show all versions of cdm-java Show documentation

There is a newer version: 6.0.0-dev.89

{
  "$schema": "http://json-schema.org/draft-04/schema#",
  "$anchor": "cdm.observable.asset.calculatedrate",
  "type": "string",
  "title": "CalculationShiftMethodEnum",
  "description": " the specific calculation method, e.g. lookback. This enumeration is used to represent the definitions of modular calculated rates as described in the 2021 ISDA Definitions, section 7.",
  "enum": [
    "Lookback",
    "NoShift",
    "ObservationPeriodShift",
    "RateCutOff"
  ],
  "oneOf": [
    {
      "enum": [
        "Lookback"
      ],
      "title": "Lookback",
      "description": "Calculations and weighting are done with respect to the calculation period, but observations are shifted back by several days."
    },
    
    {
      "enum": [
        "NoShift"
      ],
      "title": "NoShift",
      "description": "calculations occur without any shifting, e.g. OIS Compounding/Basic Averaging style."
    },
    
    {
      "enum": [
        "ObservationPeriodShift"
      ],
      "title": "ObservationPeriodShift",
      "description": "the observation period is shifted by several days prior to rate setting, and weightings are done with respect to the obseration period."
    },
    
    {
      "enum": [
        "RateCutOff"
      ],
      "title": "RateCutOff",
      "description": "Calculations cut the rate off several business days prior to rate setting (Lockout)."
    }
  ]
}