Create a general floating leg of a swap.
Description
Create a general floating leg of a swap.
Example Sheet
GeneralSwap.xlsx
Arguments
- objectName The name of the object to be created.
- currency The currency of the cashflows. (Currency)(Currency)
- floatingIndex A string describing the floating index.(FloatingIndex)
- resetDates The dates on which the floating indices reset.(Date)
- paymentDates The dates on which the payments are made.(Date)
- notionals The notionals on which the payments are based.
- spreads The spreads that apply to the simple floating rates on each of the payment dates.
- accrualFractions The accrual fraction to be used in calulating the fixed flow. Will depend on the daycount convention agreed in the contract.