Enum StubIndexSelectionConvention

Namespace

NanoQL.Coupons

Assembly

NanoQL.dll

The convention selecting the index an irregular Ibor coupon fixes on: QuantLib's StubIndexSelection::Convention. QuantLib has no stream operator for it.

public enum StubIndexSelectionConvention

Fields

ClosestIndex = 0

The candidate whose maturity is closest to the coupon's end date; ties select the earlier maturity.

Interpolated = 1

The two candidates whose maturities bracket the coupon's end date, interpolated linearly in calendar days; a candidate maturing on the end date alone.