Common Block: advanced

Updated July 06, 2023 08:57.

The fields listed below are related to the Advance Fixing Rules for indexing, described in the Reference section.

Available Blocks under the < advanced > Block under the < index > Block

Block	M/O	Comments
< interestRateComputation >	Mandatory	type=InterestRateComputationType
< startRule >	Mandatory	type=FixingDateRuleType
< endRule >	Optional	type=FixingDateRuleType. This field is mandatory in case of an AVERAGE interest rate computation mode. Block contents is described below.

Block	M/O	Comments
< calculationMode >	Mandatory	Available values are: SPOT AVERAGE AVERAGE_WEEKLY
< roundingDecimals >	Optional	type=Integer. Number of decimal for fixing values (if any rounding is needed).
< negativeRateOption >	Optional	Available values are: NONE FLOORED_AT_ZERO: means that the fixing value is floored to zero, and the spread is applied NEVER_NEGATIVE: means that (fixing value + spread) is floored to zero
< fixingFrequency >	Optional	type=Frequency. Fixing frequency, if different from payment frequency. By default (i.e. if no value is provided in the fixing frequency field), the fixing frequency is equal to the payment frequency. Available values are listed in Frequency.
< dailyRates >	Optional	Available blocks are: < dailySpread > block: type=Decimal. Daily spread value, expressed in percentage from 0.0 to 100.0 (example : 1.0 is 1%) < dailyCap > block: type=Decimal. Daily cap value, expressed in percentage (example : 1.0 is 1%) < dailyFloor > block: type=Decimal. Daily floor value, expressed in percentage (example : 1.0 is 1%) < dailyMargin> block: type=Decimal. Daily margin value, expressed in percentage (example : 1.0 is 1%) Important: The daily spread is applied to the daily rate before the daily cap rate and/or the daily floor rate. The daily margin is applied to the daily rate after the daily cap rate and/or the daily floor rate.

Block	M/O	Comments
< numberOfDays >	Mandatory	type=Integer. Could be positive or negative.
< periodType >	Mandatory	Available values are: BANKING_DAY: banking day are related to the financial calendar associated to the default currency for the index (e.g. Target Calendar for Euribor3M index) CALENDAR_DAY
< position >	Mandatory	Available values are: PERIOD_START: the fixing date is related to the start date of the interest period (example: minus 2 banking days related to period_start for Euribor3M index PERIOD_END: the fixing date is related to the end date of the interest period