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Address MR feedback #46

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Add spreadCalculationMethod to InterestRatePayout
Add spreadCalculationMethod to InterestRatePayout
ankitkulkarni1 committed Aug 16, 2023
commit a32ac5e865f44693eee05f313fb12936cf9387bd
2 changes: 1 addition & 1 deletion rosetta-source/src/main/rosetta/product-asset-enum.rosetta
Original file line number Diff line number Diff line change
@@ -133,6 +133,6 @@ enum FPVFinalPriceElectionFallbackEnum: <"Specifies the fallback provisions in r
FPVClose <"In respect of the Early Final Valuation Date, the provisions for FPV Close shall apply.">
FPVHedgeExecution <"In respect of the Early Final Valuation Date, the provisions for FPV Hedge Execution shall apply.">

enum SpreadCalculationMethodEnum: <"Method by which an asset swap spread is calculated.">
enum SpreadCalculationMethodEnum: <"Method by which asset swap spread is calculated, par-par or proceeds.">
ParPar
Proceeds
2 changes: 1 addition & 1 deletion rosetta-source/src/main/rosetta/product-asset-type.rosetta
Original file line number Diff line number Diff line change
@@ -95,7 +95,7 @@ type InterestRatePayout extends PayoutBase: <" A class to specify all of the ter
bondReference BondReference (0..1) <"Reference to a bond underlier to represent an asset swap or Condition Precedent Bond.">
fixedAmount calculation (0..1) <"Fixed Amount Calculation">
floatingAmount calculation (0..1) <"Floating Amount Calculation">
spreadCalculationMethod SpreadCalculationMethodEnum (0..1) <"Method by which a spread is calculated. E.g., 'ParPar' or 'Proceeds' are methods by which an asset swap spread is calculated typically.">
spreadCalculationMethod SpreadCalculationMethodEnum (0..1) <"Method by which asset swap spread is calculated, par-par or proceeds.">

condition Quantity: <"When there is an OptionPayout the quantity can be expressed as part of the payoutQuantity, or as part of the underlier in the case of a Swaption. For all other payouts that extend PayoutBase the payoutQuantity is a mandatory attribute.">
priceQuantity exists