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COMPONENT · SOURCE ID 4074

PaymentStreamFloatingRate

Definition

PaymentStreamFloatingRate is a subcomponent of the PaymentStream component used to report the floating rate attributes of the stream.

Additional detail from the official source

Note that if the floating rate index or the rate calculation goes negative for a calculation period and PaymentStreamNegativeRateTreatment(40807)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer.

The Calculation Lag Interval (PaymentStreamCalculationLagPeriod(41209) and PaymentStreamCalculationLagUnit(41210)) and the First Observation Offset Duration (PaymentStreamFirstObservationOffsetPeriod(41211) and PaymentStreamFirstObservationOffsetUnit(41212)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.

This is a reusable definition. Requiredness is relative to this structure; its use and conditions in a message remain on that message's page. Version links browse the other dictionary, not an assumed equivalent component.

Direct members

  1. 40789 PaymentStreamRateIndexfield—
  2. 40790 PaymentStreamRateIndexSourcefield—
  3. 43090 PaymentStreamRateIndexIDfield—

    Conditionally required when PaymentStreamRateIndexIDSource(43091) is specified.

  4. 43091 PaymentStreamRateIndexIDSourcefield—

    Conditionally required when PaymentStreamRateIndexID(43090) is specified.

  5. 40791 PaymentStreamRateIndexCurveUnitfield—

    Conditionally required when PaymentStreamRateIndexCurvePeriod(40792) is specified.

  6. 40792 PaymentStreamRateIndexCurvePeriodfield—

    Conditionally required when PaymentStreamRateIndexCurveUnit(40791) is specified.

  7. 43112 PaymentStreamRateIndex2field—
  8. 43113 PaymentStreamRateIndex2Sourcefield—
  9. 43114 PaymentStreamRateIndex2IDfield—

    Conditionally required when PaymentStreamRateIndex2IDSource(43115) is specified.

  10. 43115 PaymentStreamRateIndex2IDSourcefield—

    Conditionally required when PaymentStreamRateIndex2ID(43114) is specified.

  11. 41194 PaymentStreamRateIndex2CurvePeriodfield—

    Conditionally required when PaymentStreamRateIndex2CurveUnit(41195) is specified.

  12. 41195 PaymentStreamRateIndex2CurveUnitfield—

    Conditionally required when PaymentStreamRateIndex2CurvePeriod(41194) is specified.

  13. 41196 PaymentStreamRateIndexLocationfield—
  14. 41197 PaymentStreamRateIndexLevelfield—
  15. 41198 PaymentStreamRateIndexUnitOfMeasurefield—
  16. 41199 PaymentStreamSettlLevelfield—
  17. 41200 PaymentStreamReferenceLevelfield—
  18. 41201 PaymentStreamReferenceLevelUnitOfMeasurefield—
  19. 41202 PaymentStreamReferenceLevelEqualsZeroIndicatorfield—
  20. 40793 PaymentStreamRateMultiplierfield—
  21. 40794 PaymentStreamRateSpreadfield—
  22. 41203 PaymentStreamRateSpreadCurrencyfield—
  23. 41204 PaymentStreamRateSpreadUnitOfMeasurefield—
  24. 41205 PaymentStreamRateConversionFactorfield—
  25. 41206 PaymentStreamRateSpreadTypefield—
  26. 40795 PaymentStreamRateSpreadPositionTypefield—
  27. 40796 PaymentStreamRateTreatmentfield—
  28. 40797 PaymentStreamCapRatefield—
  29. 40798 PaymentStreamCapRateBuySidefield—
  30. 40799 PaymentStreamCapRateSellSidefield—
  31. 40800 PaymentStreamFloorRatefield—
  32. 40801 PaymentStreamFloorRateBuySidefield—
  33. 40802 PaymentStreamFloorRateSellSidefield—
  34. 40803 PaymentStreamInitialRatefield—
  35. 41207 PaymentStreamLastResetRatefield—
  36. 41208 PaymentStreamFinalRatefield—
  37. 40804 PaymentStreamFinalRateRoundingDirectionfield—
  38. 40805 PaymentStreamFinalRatePrecisionfield—
  39. 40806 PaymentStreamAveragingMethodfield—
  40. 40807 PaymentStreamNegativeRateTreatmentfield—
  41. 41209 PaymentStreamCalculationLagPeriodfield—

    Conditionally required when PaymentStreamCalculationLagUnit(41210) is specified.

  42. 41210 PaymentStreamCalculationLagUnitfield—

    Conditionally required when PaymentStreamCalculationLagPeriod(41209) is specified.

  43. 42663 PaymentStreamFirstObservationDateUnadjustedfield—
  44. 42664 PaymentStreamFirstObservationDateRelativeTofield—
  45. 42665 PaymentStreamFirstObservationDateOffsetDayTypefield—
  46. 41211 PaymentStreamFirstObservationDateOffsetPeriodfield—

    Conditionally required when PaymentStreamFirstObservationOffsetUnit(41212) is specified.

  47. 41212 PaymentStreamFirstObservationDateOffsetUnitfield—

    Conditionally required when PaymentStreamFirstObservationOffsetPeriod(41211) is specified.

  48. 42666 PaymentStreamFirstObservationDateAdjustedfield—
  49. 41213 PaymentStreamPricingDayTypefield—
  50. 41214 PaymentStreamPricingDayDistributionfield—
  51. 41215 PaymentStreamPricingDayCountfield—
  52. 41216 PaymentStreamPricingBusinessCalendarfield—
  53. 41217 PaymentStreamPricingBusinessDayConventionfield—

    When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of pricing dates.

  54. PaymentStreamPricingBusinessCenterGrpgroup—

    When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of pricing dates.

  55. PaymentStreamPricingDayGrpgroup—
  56. PaymentStreamPricingDateGrpgroup—
  57. 40808 PaymentStreamInflationLagPeriodfield—

    Conditionally required when PaymentStreamInflationLagUnit(40809) is specified.

  58. 40809 PaymentStreamInflationLagUnitfield—

    Conditionally required when PaymentStreamInflationLagPeriod(40808) is specified.

  59. 40810 PaymentStreamInflationLagDayTypefield—
  60. 40811 PaymentStreamInflationInterpolationMethodfield—
  61. 40812 PaymentStreamInflationIndexSourcefield—
  62. 40813 PaymentStreamInflationPublicationSourcefield—
  63. 40814 PaymentStreamInflationInitialIndexLevelfield—
  64. 40815 PaymentStreamInflationFallbackBondApplicablefield—
  65. 40816 PaymentStreamFRADiscountingfield—
  66. 42667 PaymentStreamUnderlierRefIDfield—
  67. PaymentStreamFormulacomponent—
  68. DividendConditionscomponent—
  69. 42668 ReturnRateNotionalResetfield—
  70. ReturnRateGrpgroup—
  71. 42669 PaymentStreamLinkInitialLevelfield—
  72. 42670 PaymentStreamLinkClosingLevelIndicatorfield—
  73. 42671 PaymentStreamLinkExpiringLevelIndicatorfield—
  74. 42672 PaymentStreamLinkEstimatedTradingDaysfield—
  75. 42673 PaymentStreamLinkStrikePricefield—
  76. 42674 PaymentStreamLinkStrikePriceTypefield—
  77. 42675 PaymentStreamLinkMaximumBoundaryfield—
  78. 42676 PaymentStreamLinkMinimumBoundaryfield—
  79. 42677 PaymentStreamLinkNumberOfDataSeriesfield—
  80. 42678 PaymentStreamVarianceUnadjustedCapfield—
  81. 42679 PaymentStreamRealizedVarianceMethodfield—
  82. 42680 PaymentStreamDaysAdjustmentIndicatorfield—
  83. 42681 PaymentStreamNearestExchangeContractRefIDfield—
  84. 42682 PaymentStreamVegaNotionalAmountfield—

Used in messages

Direct parent structures