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.