RFR Test Grids

RFR Test Grids
Test grids below are for testing Cash Settlement Amount, Clean Upfront, Clean Price and Accrual calculations using RFR rates.

Date USD EUR GBP JPY CHF AUD
Trade Date: Apr 26, 2021 USD EUR GBP JPY CHF AUD
Trade Date: Apr 27, 2021 USD EUR GBP JPY CHF AUD
Trade Date: Apr 28, 2021 USD EUR GBP JPY CHF AUD
Trade Date: Apr 29, 2021 USD EUR GBP JPY CHF AUD
Trade Date: Apr 30, 2021 USD EUR GBP JPY CHF AUD

RFR Test Grids updated for NY holiday calendar (June 20, 2022)
Test grids below are for testing Cash Settlement Amount, Clean Upfront, Clean Price and Accrual calculations using RFR rates for USD given the inception of a New York holiday calendar (NYM) on June 20, 2022.

Date USD EUR GBP JPY CHF AUD
Trade Date: Jun 21, 2022 USD          
Trade Date: Jun 22, 2022 USD          

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