ReferenceSwapCurve

A complex type used to specify the option and convertible bond option strike when expressed in reference to a swap curve.

Nested view
Tree view

Field	Type	Description	Print form title	FFSM title	Properties	Conditions
swapUnwindValue	SwapCurveValuation				0-1, mre
makeWholeAmount	MakeWholeAmount	Amount to be paid by the buyer of the option if the option is exercised prior to the Early Call Date. (The market practice in the convertible bond option space being that the buyer should be penalized if he/she exercises the option early on.)	Early exercise penalty		0-1

Collapse All | Expand All

ReferenceSwapCurve

swapUnwindValue(SwapCurveValuation)

floatingRateIndex(FloatingRateIndex)

	Defines floating rate index.
	Float rate code.

indexTenor(Period)

The ISDA Designated Maturity, i.e. the tenor of the floating rate.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

spread(decimal)

Spread in basis points over the floating rate index.

side(QuotationSideEnum)

	The side (bid/mid/ask) of the measure.
	Bid;Ask;Mid;

makeWholeAmount(MakeWholeAmount)

Amount to be paid by the buyer of the option if the option is exercised prior to the Early Call Date. (The market practice in the convertible bond option space being that the buyer should be penalized if he/she exercises the option early on.)

floatingRateIndex(FloatingRateIndex)

	Defines floating rate index.
	Float rate code.

indexTenor(Period)

The ISDA Designated Maturity, i.e. the tenor of the floating rate.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

spread(decimal)

Spread in basis points over the floating rate index.

side(QuotationSideEnum)

	The side (bid/mid/ask) of the measure.
	Bid;Ask;Mid;

interpolationMethod(InterpolationMethod)

The type of interpolation method that the calculation agent reserves the right to use.

earlyCallDate(IdentifiedDate)

Date prior to which the option buyer will have to pay a Make Whole Amount to the option seller if he/she exercises the option.