Enhance floating rate names #1549
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Add missing `FloatingRateIndex` abstraction Add default fixed leg day count Add more flexible parsing methods Link `FloatingRateName` and `FloatingRateIndex` better
jodastephen
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brianweller89
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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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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
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Add missing
FloatingRateIndexabstractionAdd default fixed leg day count
Add more flexible parsing methods
Link
FloatingRateNameandFloatingRateIndexbetter