getInstrumentFloatingDayCountConvention

Syntax

getInstrumentFloatingDayCountConvention(instrument)

Details

Get the floating-leg day count convention of one or more instruments.

Arguments

instrument is a scalar or vector of the INSTRUMENT type, indicating one or more instruments.

Returns

A scalar or vector of the STRING type.

Examples

swap =  {
    "productType": "Swap",
    "swapType": "IrSwap",
    "irSwapType": "IrFixedFloatingSwap",
    "version": 0, 
    "start": 2021.05.15,
    "maturity": 2023.05.15,
    "frequency": "Quarterly",
    "fixedRate": 0.02,
    "calendar": "CFET", 
    "fixedDayCountConvention": "Actual365",
    "floatingDayCountConvention": "Actual360",
    "payReceive": "Pay",
    "iborIndex": "SHIBOR_3M",
    "spread": 0.0005,
    "notional":["CNY", 1E8]
}
instrument = parseInstrument(swap)
getInstrumentFloatingDayCountConvention(instrument)

// output: Actual360

Related functions: parseInstrument, getInstrumentField, getInstrumentKeys