Stub Indices


Key Stub Indices in
FxdIbor IRS refers to an optional 1D-array of objects of type Ibor Rate that define the additional reference indices - beyond the one defined in Ibor Index - used to construct the interpolated index r₀ that applies exclusively to the first period of the floating leg if that period is a short stub period, i.e. shorter than the tenor of the ibor index Ibor Index
r₀ is internally represented as a
Swap Spread Rate and effectively equals the weighted average w₁r₁ + w₂r₂, where r₁, r₂ are two ibor indices, of which the tenors either envelope or are closest to that of the first period.
Specifically, the r₁, r₂ are chosen from the indices supplied here and the one in
Ibor Index so that it holds:
Case A: L₁ <= L₀ <= L₂
or in the special case where L₀ is smaller than any of the available tenors:
Case B: L₀ < L₁ < L₂
where
L₁ is the length in calendar days of the tenor of the shorter ibor index r₁
L₂ is the length in calendar days of the tenor of the longer ibor index r₂
L₀ is the length in calendar days of the tenor of the first (stub) period of the floating leg.
In the case A, the weights w₁, w₂ are calculated as follows:
w₁ = (L₂ - L₀) / (L₂ - L₁)
w₂ = 1 - w₁
In the case B, the weights are:
w₁ = 1
w₂ = 0

The so calculated r₁, r₂, w₁, w₂ are displayed as part of the first index of the parent element
Index_2