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Cleanup fixed DCF default for some indices #1592

merged 2 commits into from Oct 30, 2017


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@brianweller89 brianweller89 commented Oct 30, 2017

HUX, CZK and MXN fixed defaults are currently incorrect in Strata.

Have reconciled two sources which both agree that the new values are correct:

  • LCH index conventions file
  • BBG rulebook and termsheets
    • MXN described on page 129 of the BBG SEF rulebook
    • HUF and CZK values taken from example termsheets. Fixed DCF is on final page

USD has also been changed from 30/360 to Act/360. LCH define the USD LIBOR default as Act/360, but the SEF rulebook listed above lists both options as acceptable values (page 124). Hence the existing Strata default would still be considered correct. However it has been updated for consistency with LCH.

@jodastephen jodastephen merged commit 1232b70 into master Oct 30, 2017
@brianweller89 brianweller89 deleted the topic/index_cleanup branch October 31, 2017 10:20
@jodastephen jodastephen added this to the v1.6 milestone Nov 6, 2017
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2 participants