Create a general fixed leg of a swap.

Description

Create a general fixed leg of a swap.

Example Sheet

GeneralSwap.xlsx

Arguments

  • objectName The name that this object will be assigned on the map. Should be unique.
  • currency (Currency)The currency of the cashflows.
  • paymentDates (Date[])The dates on which the payments are made.
  • notionals (Double[])The notionals on which the payments are based.
  • rates (Double[])The simple rates that are paid at each payment date.
  • accrualFractions (Double[])The accrual fraction to be used in calculating the fixed flow. Will depend on the daycount convention agreed in the contract.