Code Set
PaymentStreamNegativeRateTreatmentCodeSet
| ID | 40807 |
| Type | int |
| Pedigree | Added EP161 |
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
| Name | Value | Synopsis | Elaboration | Pedigree |
|---|---|---|---|---|
| ZeroInterestRateMethod | 0 | Zero interest rate method | Added EP161 | |
| NegativeInterestRateMethod | 1 | Negative interest rate method | Added EP161 |
Used in components:
- DividendAccrualFloatingRate
- LegDividendAccrualFloatingRate
- LegPaymentStreamCompoundingFloatingRate
- LegPaymentStreamFloatingRate
- PaymentStreamCompoundingFloatingRate
- PaymentStreamFloatingRate
- UnderlyingDividendAccrualFloatingRate
- UnderlyingPaymentStreamCompoundingFloatingRate
- UnderlyingPaymentStreamFloatingRate
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