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Address MR feedback #46

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Address MR feedback #46

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4dc41f5
Add spreadCalculationMethod to InterestRatePayout
ankitkulkarni1 May 16, 2023
4b3f7be
Address MR feedback
ankitkulkarni1 Jun 1, 2023
2639255
Add spreadCalculationMethod to InterestRatePayout
ankitkulkarni1 Jul 19, 2023
c0252d6
Merge branch 'ankit_auth0_62a3a3c9041b33a11c181603-spreadCalculationM…
ankitkulkarni1 Aug 4, 2023
4f7b12c
Merge branch 'ankit_auth0_62a3a3c9041b33a11c181603-spreadCalculationM…
ankitkulkarni1 Aug 16, 2023
a32ac5e
Add spreadCalculationMethod to InterestRatePayout
ankitkulkarni1 Aug 16, 2023
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4 changes: 4 additions & 0 deletions rosetta-source/src/main/rosetta/product-asset-enum.rosetta
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Expand Up @@ -132,3 +132,7 @@ 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 asset swap spread is calculated, par-par or proceeds.">
ParPar
Proceeds
1 change: 1 addition & 0 deletions rosetta-source/src/main/rosetta/product-asset-type.rosetta
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Expand Up @@ -95,6 +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 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
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