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Enhance handling of FX indices #1536

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Merged
merged 2 commits into from
Jul 28, 2017
Merged

Enhance handling of FX indices #1536

merged 2 commits into from
Jul 28, 2017

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jodastephen
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Allow fixing offset to be obtained from index
Use it as a default where appropriate

Allow fixing offset to be obtained from index
Use it where appropriate
* <p>
* The fixing date is the date on which the index is to be observed.
* The maturity date is the date on which the implied amount is delivered/exchanged.
* The maturity date is typically two days after the fixing date.
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Would say "two business days" after for completeness

@jodastephen jodastephen merged commit 8c8a834 into master Jul 28, 2017
@jodastephen jodastephen deleted the topic/fx branch July 28, 2017 14:30
@jodastephen jodastephen modified the milestone: v1.4 Jul 31, 2017
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2 participants