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.

Currently only the GBP test grid is available. Test grids for other currencies will be entered closer to the RFR transition dates for those currencies.

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

Copyright © 2009 Source: ISDA and Markit Group Limited. All rights reserved.