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Update Ibor index conventions #1491

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merged 3 commits into from Mar 6, 2017
Merged

Update Ibor index conventions #1491

merged 3 commits into from Mar 6, 2017

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@jodastephen
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@jodastephen jodastephen commented Mar 6, 2017

  • Standard convention for end of month is ModifiedFollowing, capture this properly.
  • DKK-CIBOR index is T+2, not T+0
  • Extend FloatingRateName to handle different fixing date offsets
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@marc-henrard marc-henrard left a comment

Good for me.

@marc-henrard marc-henrard merged commit 10e95f9 into master Mar 6, 2017
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@marc-henrard marc-henrard deleted the topic/cibor branch Mar 6, 2017
@jodastephen jodastephen added this to the v1.2 milestone Mar 8, 2017
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3 participants