Update Ibor index conventions #1491

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merged 3 commits into from Mar 6, 2017

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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

jodastephen added some commits Feb 27, 2017

Extend floating rate name
Support CIBOR variation of fixing date offset
@marc-henrard

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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