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 that this object will be assigned on the map. Should be unique.
- currency (Currency)The currency of the cashflows. (Currency)
- floatingIndex (FloatRateIndex)A string describing the floating index.
- resetDates (Date[])The dates on which the floating indices reset.
- paymentDates (Date[])The dates on which the payments are made.
- notionals (Double[])The notionals on which the payments are based.
- spreads (Double[])The spreads that apply to the simple floating rates on each of the payment dates.
- accrualFractions (Double[])The accrual fraction to be used in calculating the fixed flow. Will depend on the daycount convention agreed in the contract.