LegPaymentStreamFloatingRate is a subcomponent of the LegPaymentStream component used to report the floating rate attributes of the payment stream.
Note that if the floating rate index or the rate calculation goes negative for a calculation period and LegPaymentStreamNegativeRateTreatment(40349)=1 (Negative interest rate method) the Receiver pays the Payer the absolute floating rate, i.e. the Receiver pays the cash flow amount to the Payer.
The Calculation Lag Interval (LegPaymentStreamCalculationLagPeriod(41578) and LegPaymentStreamCalculationLagUnit(41579)) and the First Observation Offset Duration (LegPaymentStreamFirstObservationOffsetPeriod(41580) and LegPaymentStreamFirstObservationOffsetUnit(41581)) are used together. If the First Observation Offset Duration is specified, the observation starts the Fixing Lag Interval prior to each calculation. If the First Observation Offset Duration is not specified, the observation starts immediately preceding each calculation.
 | 40331 | LegPaymentStreamRateIndex | Ndx | | | Added EP161
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| 40332 | LegPaymentStreamRateIndexSource | NdxSrc | | | Added EP161
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| 43088 | LegPaymentStreamRateIndexID | NdxID | | Conditionally required when LegPaymentStreamRateIndexIDSource(43089) is specified. | Added EP235
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| 43089 | LegPaymentStreamRateIndexIDSource | NdxIDSrc | | Conditionally required when LegPaymentStreamRateIndexID(43088) is specified. | Added EP235
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| 40333 | LegPaymentStreamRateIndexCurveUnit | NdxUnit | | Conditionally required when LegPaymentStreamRateIndexCurvePeriod(40334) is specified. | Added EP161
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| 40334 | LegPaymentStreamRateIndexCurvePeriod | NdxPeriod | | Conditionally required when LegPaymentStreamRateIndexCurveUnit(40333) is specified. | Added EP161
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| 43116 | LegPaymentStreamRateIndex2 | Ndx2 | | | Added EP271
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| 43117 | LegPaymentStreamRateIndex2Source | Ndx2Src | | | Added EP271
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| 43118 | LegPaymentStreamRateIndex2ID | Ndx2ID | | Conditionally required when LegPaymentStreamRateIndex2IDSource(43119) is specified. | Added EP271
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| 43119 | LegPaymentStreamRateIndex2IDSource | Ndx2IDSrc | | Conditionally required when LegPaymentStreamRateIndex2ID(43118) is specified. | Added EP271
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| 41563 | LegPaymentStreamRateIndex2CurveUnit | Ndx2Unit | | Conditionally required when LegPaymentStreamRateIndex2CurvePeriod(41564) is specified. | Added EP169
Updated EP271
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| 41564 | LegPaymentStreamRateIndex2CurvePeriod | Ndx2Period | | Conditionally required when LegPaymentStreamRateIndex2CurveUnit(41563) is specified. | Added EP169
Updated EP271
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| 41565 | LegPaymentStreamRateIndexLocation | NdxLctn | | | Added EP169
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| 41566 | LegPaymentStreamRateIndexLevel | NdxLvl | | | Added EP169
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| 41567 | LegPaymentStreamRateIndexUnitOfMeasure | NdxUOM | | | Added EP169
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| 41568 | LegPaymentStreamSettlLevel | SettlLvl | | | Added EP169
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| 41569 | LegPaymentStreamReferenceLevel | RefLvl | | | Added EP169
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| 41570 | LegPaymentStreamReferenceLevelUnitOfMeasure | RefUOM | | | Added EP169
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| 41571 | LegPaymentStreamReferenceLevelEqualsZeroIndicator | RefLvlZero | | | Added EP169
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| 40335 | LegPaymentStreamRateMultiplier | RtMult | | | Added EP161
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| 40336 | LegPaymentStreamRateSpread | Spread | | | Added EP161
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| 41572 | LegPaymentStreamRateSpreadCurrency | SpreadCcy | | | Added EP169
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| 41573 | LegPaymentStreamRateSpreadUnitOfMeasure | SpreadUOM | | | Added EP169
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| 41574 | LegPaymentStreamRateConversionFactor | RtFctr | | | Added EP169
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| 41575 | LegPaymentStreamRateSpreadType | SpreadTyp | | | Added EP169
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| 40337 | LegPaymentStreamRateSpreadPositionType | SpreadPosTyp | | | Added EP161
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| 40338 | LegPaymentStreamRateTreatment | RtTrtmt | | | Added EP161
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| 40339 | LegPaymentStreamCapRate | CapRt | | | Added EP161
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| 40340 | LegPaymentStreamCapRateBuySide | CapRtBuy | | | Added EP161
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| 40341 | LegPaymentStreamCapRateSellSide | CapRtSell | | | Added EP161
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| 40342 | LegPaymentStreamFloorRate | FlrRt | | | Added EP161
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| 40343 | LegPaymentStreamFloorRateBuySide | FlrRtBuy | | | Added EP161
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| 40344 | LegPaymentStreamFloorRateSellSide | FlrRtSell | | | Added EP161
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| 40345 | LegPaymentStreamInitialRate | InitRt | | | Added EP161
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| 41576 | LegPaymentStreamLastResetRate | LastResetRt | | | Added EP169
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| 41577 | LegPaymentStreamFinalRate | FnlRt | | | Added EP169
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| 40346 | LegPaymentStreamFinalRateRoundingDirection | FnlRtRndDirctn | | | Added EP161
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| 40347 | LegPaymentStreamFinalRatePrecision | FnlRtPrcsn | | | Added EP161
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| 40348 | LegPaymentStreamAveragingMethod | AvgngMeth | | | Added EP161
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| 40349 | LegPaymentStreamNegativeRateTreatment | NegtvRtTrtmt | | | Added EP161
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| 41578 | LegPaymentStreamCalculationLagPeriod | CalcLagPeriod | | Conditionally required when LegPaymentStreamCalculationLagUnit(41579) is specified. | Added EP169
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| 41579 | LegPaymentStreamCalculationLagUnit | CalcLagUnit | | Conditionally required when LegPaymentStreamCalculationLagPeriod(41578) is specified. | Added EP169
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| 42462 | LegPaymentStreamFirstObservationDateUnadjusted | FirstObsvtnDtUnadj | | | Added EP208
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| 42463 | LegPaymentStreamFirstObservationDateRelativeTo | FirstObsvtnReltv | | | Added EP208
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| 42464 | LegPaymentStreamFirstObservationDateOffsetDayType | FirstObsvtnOfstDayTyp | | | Added EP208
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| 41580 | LegPaymentStreamFirstObservationDateOffsetPeriod | FirstObsvtnOfstPeriod | | Conditionally required when LegPaymentStreamFirstObservationOffsetUnit(41581) is specified. | Added EP169
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| 41581 | LegPaymentStreamFirstObservationDateOffsetUnit | FirstObsvtnOfstUnit | | Conditionally required when LegPaymentStreamFirstObservationOffsetPeriod(41580) is specified. | Added EP169
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| 42465 | LegPaymentStreamFirstObservationDateAdjusted | FirstObsvtnDt | | | Added EP208
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| 41582 | LegPaymentStreamPricingDayType | PxngDayTyp | | | Added EP169
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| 41583 | LegPaymentStreamPricingDayDistribution | PxngDayDistrib | | | Added EP169
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| 41584 | LegPaymentStreamPricingDayCount | PxngDayCnt | | | Added EP169
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| 41585 | LegPaymentStreamPricingBusinessCalendar | PxngClndr | | | Added EP169
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| 41586 | LegPaymentStreamPricingBusinessDayConvention | PxngBizDayCnvtn | | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the payment stream pricing date. | Added EP169
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| Component(-) | LegPaymentStreamPricingBusinessCenterGrp | PxngBizCtr | | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the the payment stream pricing date. | Added EP169
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