Common Block: index

Updated February 25, 2020 09:42.

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.

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%)