Designated Maturity - ISDA Definition: Difference between revisions
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Yes, and I know what you’re thinking: that was worth missing the last train home for, wasn’t it. | |||
It relates to the calculation of interest periods which, in the [[2006 ISDA Definitions]], are defined without reference to a particular duration: for example: “{{isdadefsprov|AUD-Swap Rate-Reuters}}”. To get your actual rate you need to apply a {{isdadefsprov|Designated Maturity}} — three months, or overnight, for example. | |||
Trying, I know. Well — not so much ''trying'' as [[Tedious|stupefyingly ''dull'']] — and since [[LIBOR]] — cue the [[dramatic look gopher]] — is now going the way of all flesh, they’ll probably have to rip up and redo the {{eqdefs}} anyway. It would be fun to see the look on Linklaters’ faces if someone says, “hey let’s do the whole thing in [[FpML]]!” | |||
{{sa}} | |||
*[[FpML]] | |||
*[[Hindenburg]] | |||
*[[Flight 19]] | |||
Latest revision as of 11:29, 19 December 2019
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Yes, and I know what you’re thinking: that was worth missing the last train home for, wasn’t it.
It relates to the calculation of interest periods which, in the 2006 ISDA Definitions, are defined without reference to a particular duration: for example: “AUD-Swap Rate-Reuters”. To get your actual rate you need to apply a Designated Maturity — three months, or overnight, for example.
Trying, I know. Well — not so much trying as stupefyingly dull — and since LIBOR — cue the dramatic look gopher — is now going the way of all flesh, they’ll probably have to rip up and redo the 2002 ISDA Equity Derivatives Definitions anyway. It would be fun to see the look on Linklaters’ faces if someone says, “hey let’s do the whole thing in FpML!”