Ibor Index

Key Ibor Index in BMA Swap refers to the interest rate index object of type Ibor Rate.
Its realized value I at the begining of each ibor leg period is used to calculate the respective cash flow amount C as C = N(fI+s)Δt, where N is the applicable notional, f, s are the entries in Ibor Fraction, Ibor Spread respectively and Δt is the length of the respective accrual period.
The cash flow denomination currency is assumed to be that of the index.