<UnderlyingPaymentStreamFloatingRate> component block

Description

UnderlyingPaymentStreamFloatingRate is a subcomponent of the UnderlyingPaymentStream component used to report the floating rate attributes of the stream.

Note that if the floating rate index or the rate calculation goes negative for a calculation period and UnderlyingPaymentStreamNegativeRateTreatment <40638>=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 (UnderlyingPaymentStreamCalculationLagPeriod <41926> and UnderlyingPaymentStreamCalculationLagUnit <41927>) and the First Observation Offset Duration (UnderlyingPaymentStreamFirstObservationDateOffsetPeriod <41928> and UnderlyingPaymentStreamFirstObservationDateOffsetUnit <41929>) 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

Used In

• <UnderlyingPaymentStream>