| calculationPeriodDatesReference | CalculationPeriodDatesReference | A pointer style reference to the associated calculation period dates component defined
elsewhere in the document.
| Calculation period dates reference. | | 0-1,
ncf | At the first stage the repository doesn't use relative dates. |
| resetRelativeTo | ResetRelativeToEnum | Specifies whether the reset dates are determined with respect to each adjusted calculation
period start date or adjusted calculation period end date. If the reset frequency
is specified as daily this element must not be included.
| Date which resets are relative to. | | 0-1,
ncf | |
| initialFixingDate | RelativeDateOffset | Defines initial fixing date. | Initial fixing date. | | 0-1,
ncf | |
| fixingDates | RelativeDateOffset | Specifies the fixing date relative to the reset date in terms of a business days offset
and an associated set of financial business centers. Normally these offset calculation
rules will be those specified in the ISDA definition for the relevant floating rate
index (ISDA's Floating Rate Option). However, non-standard offset calculation rules
may apply for a trade if mutually agreed by the principal parties to the transaction.
The href attribute on the dateRelativeTo element should reference the id attribute
on the resetDates element.
| Fixing dates. | | 0-1,
ncf | |
| rateCutOffDaysOffset | Offset | Specifies the number of business days before the period end date when the rate cut-off
date is assumed to apply. The financial business centers associated with determining
the rate cut-off date are those specified in the reset dates adjustments. The rate
cut-off number of days must be a negative integer (a value of zero would imply no
rate cut off applies in which case the rateCutOffDaysOffset element should not be
included). The relevant rate for each reset date in the period from, and including,
a rate cut-off date to, but excluding, the next applicable period end date (or, in
the case of the last calculation period, the termination date) will (solely for purposes
of calculating the floating amount payable on the next applicable payment date) be
deemed to be the relevant rate in effect on that rate cut-off date. For example, if
rate cut-off days for a daily averaging deal is -2 business days, then the refix rate
applied on (period end date - 2 days) will also be applied as the reset on (period
end date - 1 day), i.e. the actual number of reset dates remains the same but from
the rate cut-off date until the period end date, the same refix rate is applied. Note
that in the case of several calculation periods contributing to a single payment,
the rate cut-off is assumed only to apply to the final calculation period contributing
to that payment. The day type associated with the offset must imply a business days
offset.
| Rate cut-off dates. | | 0-1,
ncf | This is not used in messages to the repository. |
| resetFrequency | ResetFrequency | The frequency at which reset dates occur. In the case of a weekly reset frequency,
also specifies the day of the week that the reset occurs. If the reset frequency is
greater than the calculation period frequency then this implies that more than one
reset date is established for each calculation period and some form of rate averaging
is applicable.
| Reset frequency. | | 1-1,
mre | |
| resetDatesAdjustments | BusinessDayAdjustments | The business day convention to apply to each reset date if it would otherwise fall
on a day that is not a business day in the specified financial business centers.
| Reset dates adjustments. | | 0-1,
ncf | |
| @id | xsd:ID | | | | 1-1,
ncf | |