Module conventions
Expand description
Business-day, roll, and stub conventions.
Houses BusinessDayConvention, RollConvention, StubPeriodType,
Frequency, and BusinessDayAdjustments. Names follow FpML. The ISDA
compounding / day-roll specifics are reserved for a later step.
Structs§
- Business
DayAdjustments - A business-day-adjustment rule: a
BusinessDayConventionpaired with theCalendarit adjusts against (FpMLBusinessDayAdjustments). - Rate
Convention - A rate quotation convention: the
(day_count, compounding, frequency)triple that determines how a rate relates to a discount factor over a period. - Yield
Basis - The basis a bond yield is quoted on: how often it compounds, and how.
Enums§
- Accrual
Compounding - How sub-period (or whole-life) accrual is composed into a single rate.
- Business
DayConvention - How a non-business date is rolled to a business date (FpML
BusinessDayConventionEnum). - Compounding
- How interest accrues over a period when converting between a rate and a discount factor.
- Date
Generation Rule - The direction in which a schedule’s periods are generated from its anchors.
- Frequency
- Payment / accrual frequency.
- Roll
Convention - How period boundary dates are rolled within the month (FpML
RollConventionEnum). Only the variants needed by the current substrate are modelled; the IMM / FRN families compute their roll dates structurally. - Stub
Period Type - Whether an irregular first/last period is short or long (FpML
StubPeriodTypeEnum). - Swaption
Kind - Whether a swaption holder pays (payer) or receives (receiver) the fixed leg on exercise. A payer is a call on the forward swap rate; a receiver a put.