3.14.5.1.1 Add-on Rate Rule - Fixed Rate
Figure 3-62 Add-on Rate Rule Details
The Fixed Rate Method allows the user to associate a rate with specific terms or term ranges. Reference Term selections include the following:
- Repricing Frequency: The fixed rate is matched to the specified Reprice Frequency of the instrument. If the instrument is a Fixed Rate and, therefore, does not have a Reprice Frequency, the fixed rate lookup happens based on the Original Term of the instrument.
- Original Term: The calculation assigns the fixed rate based on the Original Term on the instrument.
- Remaining Term: The calculation assigns the Fixed Rate based on 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 assigns the Fixed Rate based on the Duration of the instrument, specified in the TP_DURATION column.
- Average Life (read from the TP_AVERAGE_LIFE column): The calculation assigns the Fixed Rate based on 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 Rate 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.
Note:
All Add-on Rates should be input as Annual Rates.