Description

LegPaymentStreamFloatingRate is a subcomponent of the LegPaymentStream component used to report the floating rate attributes of the payment stream.

Note that if the floating rate index or the rate calculation goes negative for a calculation period and LegPaymentStreamNegativeRateTreatment <40349>=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 (LegPaymentStreamCalculationLagPeriod <41578> and LegPaymentStreamCalculationLagUnit <41579>) and the First Observation Offset Duration (LegPaymentStreamFirstObservationDateOffsetPeriod <41580> and LegPaymentStreamFirstObservationDateOffsetUnit <41581>) 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.

Structure

Tag Field Name Req'd Comments
40331 LegPaymentStreamRateIndex N
40332 LegPaymentStreamRateIndexSource N
43088 LegPaymentStreamRateIndexID N

Conditionally required when LegPaymentStreamRateIndexIDSource <43089> is specified.

43089 LegPaymentStreamRateIndexIDSource N

Conditionally required when LegPaymentStreamRateIndexID <43088> is specified.

40333 LegPaymentStreamRateIndexCurveUnit N

Conditionally required when LegPaymentStreamRateIndexCurvePeriod <40334> is specified.

40334 LegPaymentStreamRateIndexCurvePeriod N

Conditionally required when LegPaymentStreamRateIndexCurveUnit <40333> is specified.

41563 LegPaymentStreamRateIndex2CurveUnit N

Conditionally required when LegPaymentStreamRateIndex2CurvePeriod <41564> is specified.

41564 LegPaymentStreamRateIndex2CurvePeriod N

Conditionally required when LegPaymentStreamRateIndex2CurveUnit <41563> is specified.

41565 LegPaymentStreamRateIndexLocation N
41566 LegPaymentStreamRateIndexLevel N
41567 LegPaymentStreamRateIndexUnitOfMeasure N
41568 LegPaymentStreamSettlLevel N
41569 LegPaymentStreamReferenceLevel N
41570 LegPaymentStreamReferenceLevelUnitOfMeasure N
41571 LegPaymentStreamReferenceLevelEqualsZeroIndicator N
40335 LegPaymentStreamRateMultiplier N
40336 LegPaymentStreamRateSpread N
41572 LegPaymentStreamRateSpreadCurrency N
41573 LegPaymentStreamRateSpreadUnitOfMeasure N
41574 LegPaymentStreamRateConversionFactor N
41575 LegPaymentStreamRateSpreadType N
40337 LegPaymentStreamRateSpreadPositionType N
40338 LegPaymentStreamRateTreatment N
40339 LegPaymentStreamCapRate N
40340 LegPaymentStreamCapRateBuySide N
40341 LegPaymentStreamCapRateSellSide N
40342 LegPaymentStreamFloorRate N
40343 LegPaymentStreamFloorRateBuySide N
40344 LegPaymentStreamFloorRateSellSide N
40345 LegPaymentStreamInitialRate N
41576 LegPaymentStreamLastResetRate N
41577 LegPaymentStreamFinalRate N
40346 LegPaymentStreamFinalRateRoundingDirection N
40347 LegPaymentStreamFinalRatePrecision N
40348 LegPaymentStreamAveragingMethod N
40349 LegPaymentStreamNegativeRateTreatment N
41578 LegPaymentStreamCalculationLagPeriod N

Conditionally required when LegPaymentStreamCalculationLagUnit <41579> is specified.

41579 LegPaymentStreamCalculationLagUnit N

Conditionally required when LegPaymentStreamCalculationLagPeriod <41578> is specified.

42462 LegPaymentStreamFirstObservationDateUnadjusted N
42463 LegPaymentStreamFirstObservationDateRelativeTo N
42464 LegPaymentStreamFirstObservationDateOffsetDayType N
41580 LegPaymentStreamFirstObservationDateOffsetPeriod N

Conditionally required when LegPaymentStreamFirstObservationDateOffsetUnit <41581> is specified.

41581 LegPaymentStreamFirstObservationDateOffsetUnit N

Conditionally required when LegPaymentStreamFirstObservationDateOffsetPeriod <41580> is specified.

42465 LegPaymentStreamFirstObservationDateAdjusted N
41582 LegPaymentStreamPricingDayType N
41583 LegPaymentStreamPricingDayDistribution N
41584 LegPaymentStreamPricingDayCount N
41585 LegPaymentStreamPricingBusinessCalendar N
41586 LegPaymentStreamPricingBusinessDayConvention N

When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the payment stream pricing date.

Component Block - <LegPaymentStreamPricingBusinessCenterGrp> N

When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the the payment stream pricing date.

Component Block - <LegPaymentStreamPricingDayGrp> N
Component Block - <LegPaymentStreamPricingDateGrp> N
40350 LegPaymentStreamInflationLagPeriod N

Conditionally required when LegPaymentStreamInflationLagUnit <40351> is specified.

40351 LegPaymentStreamInflationLagUnit N

Conditionally required when LegPaymentStreamInflationLagPeriod <40350> is specified.

40352 LegPaymentStreamInflationLagDayType N
40353 LegPaymentStreamInflationInterpolationMethod N
40354 LegPaymentStreamInflationIndexSource N
40355 LegPaymentStreamInflationPublicationSource N
40356 LegPaymentStreamInflationInitialIndexLevel N
40357 LegPaymentStreamInflationFallbackBondApplicable N
40358 LegPaymentStreamFRADiscounting N
42466 LegPaymentStreamUnderlierRefID N
Component Block - <LegPaymentStreamFormula> N
Component Block - <LegDividendConditions> N
42467 LegReturnRateNotionalReset N
Component Block - <LegReturnRateGrp> N
42468 LegPaymentStreamLinkInitialLevel N
42469 LegPaymentStreamLinkClosingLevelIndicator N
42470 LegPaymentStreamLinkExpiringLevelIndicator N
42471 LegPaymentStreamLinkEstimatedTradingDays N
42472 LegPaymentStreamLinkStrikePrice N
42473 LegPaymentStreamLinkStrikePriceType N
42474 LegPaymentStreamLinkMaximumBoundary N
42475 LegPaymentStreamLinkMinimumBoundary N
42476 LegPaymentStreamLinkNumberOfDataSeries N
42477 LegPaymentStreamVarianceUnadjustedCap N
42478 LegPaymentStreamRealizedVarianceMethod N
42479 LegPaymentStreamDaysAdjustmentIndicator N
42480 LegPaymentStreamNearestExchangeContractRefID N
42481 LegPaymentStreamVegaNotionalAmount N

Used In