Common Block: index

This section describe the < index > block, which describe the characteristics of a floating rate indexing

Available Blocks under the < index > Block

Block M/O Comments
< indexReference >
Mandatory type=String. Reference of the index. The reference has to be part of the list of available indexes supported by Fairways Debt. Example = EURIBOR3M, EURIBOR6M, LIBORGBP3M, LIBORUSD3M, …..
< spread > or < spreads>
Mandatory In case of a single spread for the deal (most common case), the < spread > block has to be used.
In case of a spread value that change during the lifetime of the deal, the < spreads > block can bu used.
  • < spread > block: type=Decimal spread value, expressed in base 1 (example : 0.01 is 1%)
  • < spreads > block: block content is described below.
< firstFixedRate >
Optional type=Decimal. Value of the fixing for the first period, if different from standard fixing.Expressed in base 1 (example : 0.01 is 1%)
< advanced >
Optional To be used in case of advanced configuration for the index (example : fixing floored at zero in case of negative interest rate). Block contents is described in Advanced.

Available Blocks for the < spreads > Block under the < index > Block

Block M/O Comments
< spread >
Mandatory There is one < spread > block per spread value during the lifetime of the deal. 
Each < spread > block consist of two blocks :
  • < date > type=Date. Date of the spread changes. The date of the first < spread > block has to be equal to the start date of the < phase >
  • < value > type=Decimal. Spread value, expressed in base 1 (example : 0.01 is 1%)
Was this article helpful?
0 out of 0 found this helpful