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Oliver Mohr Bonometti
Oliver Mohr Bonometti
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WhenTo my understanding, when generating swap coupon schedules, first you define an effective date which is kind of straight forward. Then, you generate your coupons: roll-adjusted but not coupon-adjusted (by coupon-adjusted I mean Following, Preceding, MF, MP) then apply your coupon-adjustment.

Then, you generate your coupons: roll-adjusted

This is the part I don't understand how it's done. So far, I know there are 4 major implementations: Forwards, Forwards(EOM), Backwards, Backwards(EOM).

What is the definition adjustments? Are there any official documents that define them?

When generating swap coupon schedules, first you define an effective date which is kind of straight forward. Then, you generate your coupons: roll-adjusted but not coupon-adjusted (by coupon-adjusted I mean Following, Preceding, MF, MP) then apply your coupon-adjustment.

Then, you generate your coupons: roll-adjusted

This is the part I don't understand how it's done. So far, I know there are 4 major implementations: Forwards, Forwards(EOM), Backwards, Backwards(EOM).

What is the definition adjustments? Are there any official documents that define them?

To my understanding, when generating swap coupon schedules, first you define an effective date which is kind of straight forward. Then, you generate your coupons: roll-adjusted but not coupon-adjusted (by coupon-adjusted I mean Following, Preceding, MF, MP) then apply your coupon-adjustment.

Then, you generate your coupons: roll-adjusted

This is the part I don't understand how it's done. So far, I know there are 4 major implementations: Forwards, Forwards(EOM), Backwards, Backwards(EOM).

What is the definition adjustments? Are there any official documents that define them?

Source Link
Oliver Mohr Bonometti
Oliver Mohr Bonometti
  • 292
  • 2
  • 10

Roll-adjustment definition for swaps schedule generation

When generating swap coupon schedules, first you define an effective date which is kind of straight forward. Then, you generate your coupons: roll-adjusted but not coupon-adjusted (by coupon-adjusted I mean Following, Preceding, MF, MP) then apply your coupon-adjustment.

Then, you generate your coupons: roll-adjusted

This is the part I don't understand how it's done. So far, I know there are 4 major implementations: Forwards, Forwards(EOM), Backwards, Backwards(EOM).

What is the definition adjustments? Are there any official documents that define them?