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Eagle has full support for these securities using "time sensitive" functionality. This allows you to define enter different accrual terms for specific start and end dates date ranges that override the values on the security master file (SMF). You cannot override individual dates or date conventions. These are the The eligible fields are:
- Coupon (70)
- Coupon Type (97)
- Day Count Basis (471)
- Payment Frequency (472)
- Underlying Security (1347)
- Spread/Index Offset (55)
Using Time Sensitive functionality is different than simply updating accrual terms on the SMF. Doing so changes the way the security accrues subsequent to the SMF update, but the prior terms are not maintained through , which does not support rollback/replay for dates prior to the change. If a backdated trade is booked or accruals rolled back for any other reason, those dates are re-accrued using the new terms. The only way to maintain integrity of the accrual terms across different periods is to use the time sensitive functionality, as described below.
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