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Enhance floating rate names #1549

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merged 2 commits into from Sep 1, 2017

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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

Enhance floating rate names
Add missing `FloatingRateIndex` abstraction
Add default fixed leg day count
Add more flexible parsing methods
Link `FloatingRateName` and `FloatingRateIndex` better
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

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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

Break backwards compatibility
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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