Class FixedRateLeg

helper class building a sequence of fixed rate coupons

Hierarchy

FixedRateLeg

Implements

NullaryFunction<Leg>

Constructors

constructor

new FixedRateLeg(schedule: Schedule): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:108
Parameters
- schedule: Schedule
Returns FixedRateLeg

Properties

Private _couponRates

_couponRates: InterestRate[]

Private _exCouponAdjustment

_exCouponAdjustment: BusinessDayConvention

Private _exCouponCalendar

_exCouponCalendar: Calendar

Private _exCouponEndOfMonth

_exCouponEndOfMonth: boolean

Private _exCouponPeriod

_exCouponPeriod: Period

Private _firstPeriodDC

_firstPeriodDC: DayCounter = new DayCounter()

Private _lastPeriodDC

_lastPeriodDC: DayCounter = new DayCounter()

Private _notionals

_notionals: Real[]

Private _paymentAdjustment

_paymentAdjustment: BusinessDayConvention

Private _paymentCalendar

_paymentCalendar: Calendar

Private _paymentLag

_paymentLag: Natural

Private _schedule

_schedule: Schedule

Methods

f

f(): Leg

Implementation of NullaryFunction.f
- Defined in ql/cashflows/fixedratecoupon.ts:188
Returns Leg

withCouponRates1

withCouponRates1(rate: Rate, dc: DayCounter, comp?: Compounding, freq?: Frequency): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:126
Parameters
- rate: Rate
- dc: DayCounter
- Default value comp: Compounding = Compounding.Simple
- Default value freq: Frequency = Frequency.Annual
Returns FixedRateLeg

withCouponRates2

withCouponRates2(i: InterestRate): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:133
Parameters
- i: InterestRate
Returns FixedRateLeg

withCouponRates3

withCouponRates3(rates: Rate[], dc: DayCounter, comp?: Compounding, freq?: Frequency): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:138
Parameters
- rates: Rate[]
- dc: DayCounter
- Default value comp: Compounding = Compounding.Simple
- Default value freq: Frequency = Frequency.Annual
Returns FixedRateLeg

withCouponRates4

withCouponRates4(interestRates: InterestRate[]): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:148
Parameters
- interestRates: InterestRate[]
Returns FixedRateLeg

withExCouponPeriod

withExCouponPeriod(period: Period, cal: Calendar, convention: BusinessDayConvention, endOfMonth?: boolean): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:178
Parameters
- period: Period
- cal: Calendar
- convention: BusinessDayConvention
- Default value endOfMonth: boolean = false
Returns FixedRateLeg

withFirstPeriodDayCounter

withFirstPeriodDayCounter(dayCounter: DayCounter): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:158
Parameters
- dayCounter: DayCounter
Returns FixedRateLeg

withLastPeriodDayCounter

withLastPeriodDayCounter(dayCounter: DayCounter): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:163
Parameters
- dayCounter: DayCounter
Returns FixedRateLeg

withNotionals1

withNotionals1(notional: Real): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:116
Parameters
- notional: Real
Returns FixedRateLeg

withNotionals2

withNotionals2(notionals: Real[]): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:121
Parameters
- notionals: Real[]
Returns FixedRateLeg

withPaymentAdjustment

withPaymentAdjustment(convention: BusinessDayConvention): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:153
Parameters
- convention: BusinessDayConvention
Returns FixedRateLeg

withPaymentCalendar

withPaymentCalendar(cal: Calendar): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:168
Parameters
- cal: Calendar
Returns FixedRateLeg

withPaymentLag

withPaymentLag(lag: Natural): FixedRateLeg

- Defined in ql/cashflows/fixedratecoupon.ts:173
Parameters
- lag: Natural
Returns FixedRateLeg