Fallback Ibor Oi Def


Fallback Ibor Oi Def is a
direct subtype of Fallback Def with functions Fallback Ibor Oi Def Functions, keys Fallback Ibor Oi Def keys and example object FbackIbOiDef that represents specification data that define how the fallback rate F is constructed out of the original ibor rate L when the latter ceases to exist.
F is given by:
F = mR + s
where m is a fixed multiplier constructed as the ratio DCᴸ/DCᴿ where:
DCᴸ is the denominator of the daycount convention of the ibor rate, eg 360
DCᴿ is the denominator of the daycount convention of the overnight rate, eg 360
and s is a fixed constant known as Spread Adjustment and must be supplied as exogenous input.

Note the product mR is referred in Bloomberg as Adjusted Reference Rate.
The rate R is an appropriately defined term overnight rate, i.e. the selected overnight rate compounded over a time interval constructed from L according to the following Bloomberg rules.

Let Tᴸ the time when the ibor rate L is set, which is usually 2 business days before the respective accrual period.
Step 1:
Define the time T' as :
T' = Tᴸ + Δᴿ
where Δᴿ is a fixed number of business days according to the overnight index calendar and referred by Bloomberg as Reference Spot Lag
Step 2:
Define the time T₁ as :
T₁ = T' - Δᴼ
where Δᴼ is a fixed number of business days according to the overnight index calendar and referred by Bloomberg as Offset Lag
Step 3:
Define the time T₂ as :
T₂ = T₁ + Δᴸ
where Δᴸ is the tenor of the ibor rate according to the ibor index calendar and ibor index date bump convention.
Step 4:
Define the time Tᴾ as :
Tᴾ = T₂ + Δᴾ
where Δᴾ is a fixed number of business days according to a given payment calendar and referred as Payment Lag
Step 5:
If Tᴾ is equal or less than the actual payment time associated with the initial ibor cash flow, the constructed times T₁ and T₂ are the times that define the beginning and end of the overnight index accrual period.
Otherwise, T₁ is shifted backwards by one business day according to the overnight index calendar and the end time T₂ is recalculated.
This step is repeated until the produced time Tᴾ is equal or less than the actual payment time of the referenced cash flow.