CollatCashPrice

Subtype of Settlement Method

This method applies only when the settlement type is Cash
It corresponds to the ISDA definition of a cash settlement method termed as "Collateralized Cash Price".
This is defined as the present value of an annuity equal to the difference between:
(a) the amounts that would be payable by the Fixed Rate Payer pursuant to the underlying swap if the Fixed Rate were the “Settlement Rate” and
(b) the amounts payable by the Fixed Rate Payer pursuant to the underlying swap set out in the Confirmation.
Web reference available here