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

• from schema: https://w3id.org/lmodel/common-domain-model

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