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Enhance handling of FX indices #1536

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merged 2 commits into from Jul 28, 2017

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jodastephen commented Jul 27, 2017

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

Enhance handling of FX indices
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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@brianweller89

brianweller89 Jul 28, 2017

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Would say "two business days" after for completeness

@jodastephen jodastephen merged commit 8c8a834 into master Jul 28, 2017

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@jodastephen jodastephen deleted the topic/fx branch Jul 28, 2017

@jodastephen jodastephen modified the milestone: v1.4 Jul 31, 2017

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