Description

UnderlyingPaymentStreamCompoundingFloatingRate is a subcomponent of the UnderlyingPaymentStream component used to report the parameters for determining the compounding floating rate of the stream.

Structure

Tag Field Name Req'd Comments
42923 UnderlyingPaymentStreamCompoundingRateIndex N
42924 UnderlyingPaymentStreamCompoundingRateIndexCurvePeriod N

Conditionally required if UnderlyingPaymentStreamCompoundingRateIndexCurveUnit <42925> is specified.

42925 UnderlyingPaymentStreamCompoundingRateIndexCurveUnit N

Conditionally required if UnderlyingPaymentStreamCompoundingRateIndexCurvePeriod <42924> is specified.

42926 UnderlyingPaymentStreamCompoundingRateMultiplier N
42927 UnderlyingPaymentStreamCompoundingRateSpread N
42928 UnderlyingPaymentStreamCompoundingRateSpreadPositionType N
42929 UnderlyingPaymentStreamCompoundingRateTreatment N
42930 UnderlyingPaymentStreamCompoundingCapRate N
42931 UnderlyingPaymentStreamCompoundingCapRateBuySide N
42932 UnderlyingPaymentStreamCompoundingCapRateSellSide N
42933 UnderlyingPaymentStreamCompoundingFloorRate N
42934 UnderlyingPaymentStreamCompoundingFloorRateBuySide N
42935 UnderlyingPaymentStreamCompoundingFloorRateSellSide N
42936 UnderlyingPaymentStreamCompoundingInitialRate N
42937 UnderlyingPaymentStreamCompoundingFinalRateRoundingDirection N
42938 UnderlyingPaymentStreamCompoundingFinalRatePrecision N
42939 UnderlyingPaymentStreamCompoundingAveragingMethod N
42940 UnderlyingPaymentStreamCompoundingNegativeRateTreatment N

Used In