CapeTools Compounding FLOAT Legs
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In total there are 8 functions present within the CapeTools Compounding FLOAT Legs category of functions.
General Description
Creates interest rate floating leg objects that receive no cashflows until the maturity date of the leg. Quanto, In-Arrear and constant-maturity-swap legs can be constructed.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
Function list.
- CreateCompAmortFloatLeg - This floating leg (or FRN) compounds a number of fixings within a paying coupon period.
- CreateCompAmortIALeg - This floating leg (or FRN) compounds a number of fixings within a paying coupon period.
- CreateCompAmortQIALeg - This floating leg (or FRN) compounds a number of fixings within a paying coupon period.
- CreateCompAmortQLeg - This floating leg (or FRN) compounds a number of fixings within a paying coupon period.
- CreateCompFloatLeg - This floating leg (or FRN) compounds a number of fixings within a paying coupon period.
- CreateCompIALeg - This floating leg (or FRN) compounds a number of fixings within a paying coupon period.
- CreateCompQIALeg - This floating leg (or FRN) compounds a number of fixings within a paying coupon period.
- CreateCompQLeg - This floating leg (or FRN) compounds a number of fixings within a paying coupon period.
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