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. |
Available Blocks for the < interestRateComputation > Block under the < advanced > Block
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. |
Available Blocks for the < startRule > and the < endRule > Block under the < advanced > Block
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
|