element <observationPeriodDates> (local)
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simple |
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XML Representation Summary |
<observationPeriodDates> |
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Content: |
{ enumeration of xsd:token } |
</observationPeriodDates> |
Simple Content Detail:
Enumeration: |
"SetInAdvance" |
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Calculations will occur relative to the first day of each calculation period, following the "set in advance" conventions outlined in the ISDA definitions. This means that the observation period will be relative to the prior or deemed prior calculation period.
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"Standard" |
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Calculations will occur using the standard observation conventions, i.e. relative to the current calculation period.
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"FixingDate" |
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Observations will be based on a fixing date offset specified in the FpML "resetDates" structure, so the observation period will end on a date shifted relative to that date. This option is available for fallback rate calculations and for RFR-based trades that mirror or mimic term-rate based trades.
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Included in content model of elements (1):
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Annotation
Specifies how the observation period is to be determined relative to the basic calculation period. Options include "standard" (observation period aligns with the calculation period except for any shifts/lookbacks/lockouts, i.e. it is set in arrears), "InAdvance" (observation period is based on the prior or deemed prior calculation period plus any shifts), or "FixingDate" (observation period is based on a fixing date defined the the FpML resetDates structure; this is used only for fallback rate definitions that reference existing resetDates structures.).
XML Source (w/o annotations (1); see within schema source)
