## Term Rate

**is a direct subtype of Interest Rate with functions Term Rate Functions, direct subtypes Term Rate subtypes, keys Term Rate keys and example object TermRt that represents the notion of an interest rate**

*Term Rate***that is associated with a simple lending (or borrowing) of a currency amount over a single time period**

*r***referred as its "spanning period".**

*Δ***is specified as an object of type Step, without its start and end dates being defined.**

*Δ*If

**is left undefined, the corresponding spanning period is implied by the context.**

*Δ*This is the case with the direct subtype OI Term Rate where the spanning period is often set equal to the applicable period of the floating leg of the OIS where the

**applies.**

*OI Term Rate*The precise corresponding spanning time interval

**is context dependent.**

*[T₁,T₂]*For example, a

**of 6 months can be used to describe a 6-month rate that accrues from**

*Δ***= 1 Mar 2020 to**

*T₁***1 Sep 2020, but also a 6-month rate that accrues from**

*T₂***= 20 Apr 2024 to**

*T₁***= 20 Oct 2024.**

*T₂*The

**also contains a daycount convention so that the time legth**

*Term Rate***in annual units of the the referenced time interval**

*t***can be calculated.**

*[T₁,T₂]*Then the interest amount on a notional of one currency unit accrued over the period

**is given by a simple formula that depends on a specified Frequency and Compounding**

*Δ*In the special case when the

**is None and the**

*Frequency***is Simple, the accrued amount**

*Compounding***is given by the formula:**

*A*A = rt

In a given pricing context, the numerical value of

**depends on the prevailing market conditions and the applicable spanning time interval**

*r***and becomes known (i.e. fixed) at some time**

*[T₁,T₂]***such that**

*T₀*

*T₀ < T₁***is known as the rate's "fixing date" or "reset date".**

*T₀***is known as the rate's "value date".**

*T₁*The time period from

**to**

*T₀***is known as the rate's "settlement period" and specified through the key Settlement**

*T₁*The known

**- for example r = 4% - is often assumed to accrue over some interval**

*r***, referred as "accrual interval", of which the times**

*[Tᵃ₁,Tᵃ₂]***,**

*Tᵃ₁***may differ from the spanning interval times**

*Tᵃ₂***,**

*T₁*

*T₂*The interval

**is usually the starting point for finding out the the fixing date**

*[Tᵃ₁,Tᵃ₂]*

*T₀*Then, a date of that interval is selected as the reference date

**, based on which the fixing date**

*Tᴿ***is calculated.**

*T₀*Usually,

**is chosen to be the accrual interval's start date**

*Tᴿ***(vanilla case), or end date**

*Tᵃ₁***(in arrears case).**

*Tᵃ₂*The number

**of business days from**

*n***to**

*T₀***is known as the rate's "fixing days" and normally equals the days specified in the settlement period.**

*Tᴿ*It is nevertheless possible to set

**to any custom value - even negative - by means of the key Fixing Days**

*n*The important characteristic that distinguishes a

**from other rate types - such as the Swap Rate or the Short Rate - is the fact that the spanning period**

*Term Rate***is a single, finite time interval, which can be associated with two varying distinct dates**

*Δ***and**

*T₁***with**

*T₂*

*T₁ < T₂*