search

digital-asset / daml-finance

Apache License 2.0
17 stars 16 forks source link

Date functions should support daily tenors #107

Open GeorgSchneider opened 1 year ago

GeorgSchneider commented 1 year ago

Currently these are not supported, making it hard to roll-out daily schedules (which one would need for e.g. daily-compounded swaps or natural gas deals).

markus-da commented 1 year ago

daily-compounded swaps

Seems these kind of swaps are generally specified without using a daily tenor D. Instead, seems they are specified using a reference rate that is known to be daily compounded, e.g. SOFR-COMPOUND. This reference rate name implies daily compounding.

Regarding the actual calculation of such such daily compounded reference rates: seems also there we could do without a daily schedule. Instead, it was calculated using period performance V(period_end)/V(period_start) of a SOFR INDEX rate that is has the daily compounding built-in.