Represents either a dependency on projections of an index. E.g. If the interest leg of a swap is a FloatingLeg, then it will declare an IndexProjectionDependency upon pricing. This is to indicate that pricing the floating leg requires predictions of future fixings of the index.
| Name | Type | Description | Notes |
|---|---|---|---|
| currency | String | The currency of the corresponding IndexConvention. E.g. this would be USD for a convention named USD.6M.LIBOR | |
| tenor | String | The tenor of the corresponding IndexConvention. E.g. this would be "6M" for a convention named USD.6M.LIBOR | |
| indexName | String | The IndexName of the corresponding IndexConvention. E.g. this would be "LIBOR" for a convention named USD.6M.LIBOR | |
| date | OffsetDateTime | The effectiveDate of the entity that this is a dependency for. Unless there is an obvious date this should be, like for a historic reset, then this is the valuation date. |