digital-asset / daml-finance

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Review acquisitionTime for CC instruments #237

Open markus-da opened 1 year ago

markus-da commented 1 year ago

Currently, we set this to a "very early date" in order to guarantee that fixings before issue date (e.g. a Libor fixing two days before start of the first period) are properly observed. If acquisitionTime is specified after the first fixing date, contingent claims currently silently defaults to a later date, which results in an incorrect fixing.

matteolimberto-da commented 1 year ago

As discussed on Slack, a possibility for Fpml swaps is to use the tradeDate provided we make sure it is always early enough. Specifically, a comment is made about novations where this assumption might not hold.