Indexed Coupon


Key Indexed Coupon in
Yield Curve Swp refers to an optional boolean that determines if the fixing period of the index that applies on each accrual period of the swaps' floating legs is determined solely by the index or is adjusted to match the respective accrual period.
If TRUE, the fixing period of the index is determined solely by the index so that its end date may not necessarily coincide with the end of the corresponding accrual period.
If FALSE, the fixing period of the index is adjusted so that its end date is - almost - identical with the end of the corresponding accrual period.
If omitted, default is TRUE
For more details, look how the key
Indexed Coupon affects the construction of Vanilla IRS