1. User Guide
  2. Business Rules Administration
  3. Add-on Rate Rules
  4. Defining Assumptions with the Default Currency
  5. Add-on Rate Calculation Methods
  6. Add-on Rate Rule - Fixed Amount

3.14.5.1.2 Add-on Rate Rule - Fixed Amount

The Fixed Amount Add-on Rate Method allows the user to associate an amount with specific terms or term ranges. Reference term selections include the following:

  • Repricing Frequency: The calculation retrieves the amount for the term point equaling the Reprice Frequency of the instrument. If the instrument is a Fixed Rate and, therefore, does not have a Reprice Frequency, the calculation retrieves the amount associated with the Term Point equaling the Original Term on the instrument.
  • Original Term: The calculation retrieves the amount for the Term Point equaling the Original Term on the instrument.
  • Remaining Term: The calculation retrieves the amount for the Term Point corresponding to the Remaining Term of the instrument. The Remaining Term value represents the Remaining Term of the contract and is expressed in days. Remaining Term = Maturity Date – As-of-Date.
  • Duration (read from the TP_DURATION column): The calculation retrieves the amount for the Term Point corresponding to the Duration of the instrument, specified in the TP_DURATION column.
  • Average Life (read from the TP_AVERAGE_LIFE column): The calculation retrieves the amount for the Term Point corresponding to the Average Life of the instrument, specified in the TP_AVG_LIFE column.

You can create your Reference Term ranges and assign a particular Add-on Amount to all instruments with a Reference Term falling within the specified range.

  • Holiday Calendar: Select if a Holiday Calendar is applicable for calculating the charges/credits.
  • Rolling Convention: Select the appropriate Business Day Rolling Convention if a Holiday Calendar is selected.
  • Interest Calculation logic: Select the appropriate option to indicate how the Interest Payment should be adjusted when a Holiday Date is encountered.