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Enhance floating rate names #1549

Merged
merged 2 commits into from Sep 1, 2017
Merged

Enhance floating rate names #1549

merged 2 commits into from Sep 1, 2017

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@jodastephen
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@jodastephen jodastephen commented Aug 30, 2017

Add missing FloatingRateIndex abstraction
Add default fixed leg day count
Add more flexible parsing methods
Link FloatingRateName and FloatingRateIndex better

Add missing `FloatingRateIndex` abstraction
Add default fixed leg day count
Add more flexible parsing methods
Link `FloatingRateName` and `FloatingRateIndex` better
@jodastephen jodastephen force-pushed the topic/floating-rate branch from d774c49 to 000c640 Aug 30, 2017
Tenor tenor = Tenor.parse(row.getValue(TENOR_FIELD));
LocalTime time = LocalTime.parse(row.getValue(FIXING_TIME_FIELD), TIME_FORMAT);
ZoneId zoneId = ZoneId.of(row.getValue(FIXING_ZONE_FIELD));
DayCount fixedLegDayCount = row.findValue(FIXED_LEG_DAY_COUNT).map(s -> DayCount.of(s)).orElse(dayCount);

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@brianweller89

brianweller89 Aug 30, 2017
Contributor

I wonder how safe this defaulting logic is for IBOR? More often than not the DCFS for fixed and float are different.

I don't think it's unreasonable that an explicit fixed DCF must be provided when defining an IBOR index

Force Ibor/Overnight definition files to specify the fixed leg day count
@jodastephen jodastephen merged commit c6ed0d4 into master Sep 1, 2017
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@jodastephen jodastephen deleted the topic/floating-rate branch Sep 1, 2017
@jodastephen jodastephen added this to the v1.4 milestone Sep 18, 2017
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2 participants