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 be used.
|
< 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 :
|