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Enum: FloatingRateIndexProcessingTypeEnum

_This enumeration provides guidance on how to process a given floating rate index. It's based on the ISDA Floating Rate Index information, but transforms it into the specific categories needed for calculation _

URI: common_domain_model:FloatingRateIndexProcessingTypeEnum

Permissible Values

Value Meaning Description
Screen None These values are just looked up from the screen and applied
CompoundIndex None A published index calculated using compounding; the implied rate must be back...
OIS None These are calculated by the calculation agent based on a standard OIS FRO def...
OvernightAvg None These are calculated by the calculation agent based on a standard overnight a...
Modular None These are calculated by the calculation agent based on deal-specific paramete...
RefBanks None These must be looked up using a manual process

Identifier and Mapping Information

Schema Source

LinkML Source

name: FloatingRateIndexProcessingTypeEnum
description: 'This enumeration provides guidance on how to process a given floating
  rate index.  It''s based on the ISDA Floating Rate Index information, but transforms
  it into the specific categories needed for calculation '
from_schema: https://w3id.org/lmodel/common-domain-model
rank: 1000
permissible_values:
  Screen:
    text: Screen
    description: These values are just looked up from the screen and applied.
  CompoundIndex:
    text: CompoundIndex
    description: A published index calculated using compounding; the implied rate
      must be backed out.
  OIS:
    text: OIS
    description: These are calculated by the calculation agent based on a standard
      OIS FRO definition.
  OvernightAvg:
    text: OvernightAvg
    description: These are calculated by the calculation agent based on a standard
      overnight averaging FRO definition.
  Modular:
    text: Modular
    description: These are calculated by the calculation agent based on deal-specific
      parameters (e.g. lookback compound based on an RFR).
  RefBanks:
    text: RefBanks
    description: These must be looked up using a manual process