CapeTools Averaging FLOAT Legs
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In total there are 8 functions present within the CapeTools Averaging FLOAT Legs category of functions.
General Description
Creates interest rate floating rate leg objects which averages a number of fixings within a paying coupon period. Amortised, Quanto, In-Arrear and constant-maturity-swap legs can be constructed.
Amortised legs can be constructed via the amortised versions of the leg objects or you can provide your own amortised notional values. If you are seeking to construct a regular, non amortised leg, simply pass in a single constant notional value to the notional range parameter.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
Function list.
- CreateAvgAmortFloatLeg - This floating leg (or FRN) averages a number of fixings within a paying coupon period.
- CreateAvgAmortIALeg - This floating leg (or FRN) averages a number of fixings within a paying coupon period.
- CreateAvgAmortQIALeg - This floating leg (or FRN) averages a number of fixings within a paying coupon period.
- CreateAvgAmortQLeg - This floating leg (or FRN) averages a number of fixings within a paying coupon period.
- CreateAvgFloatLeg - This floating leg (or FRN) averages a number of fixings within a paying coupon period.
- CreateAvgIALeg - This floating leg (or FRN) averages a number of fixings within a paying coupon period.
- CreateAvgQIALeg - This floating leg (or FRN) averages a number of fixings within a paying coupon period.
- CreateAvgQLeg - This floating leg (or FRN) averages a number of fixings within a paying coupon period.
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