This floating leg (or FRN) compounds a number of fixings within a paying coupon period.

For example you may have a 10 year leg, with 1 year floating coupons.

Each computed floating rate (fixing value) is valued as four (three monthly) rate fixing being compounded.

You can provide a value for the compounded spread, which will be added to the computed compounded fixing value.

The regular spread value (entered via the 'Margin' parameter is added to the fixing rates used during the compounded calculation).

The Index must be a multiple of the coupon payment period.

Creates an amortising floating in-arrears rate leg.

rates are fixed at the end of the period.

This function requires the input of an amortisation object key, which must have been produced via a call to the CreateAmortObj() function.

This function would have returned a string 'KEY' which is to be passed to the 'AmortKey' parameter of this function.

If you pass in a Swap Index instead of a Libor Index, the swap rate fixing will be adjusted for the unnatural payments via a constant maturity swap adjustment calculation.

This leg object can either be priced directly via the PrcLegObject() function or you can use this leg within the Swap2() or SwapFLTFLT3() functions in order to construct the details of one side of a swap structure.

Finally there are numerous querying functions that can be applied to this leg (within the CapeTools Query Legs category of functions).

This function requires the input of a Schedule object key, which must have been produced via a call to one of the following functions : MakeSchedule() or MakeSchedule2(). These functions would have returned a string 'KEY' which is to be passed to the 'ScheduleKey' parameter of this function.

This function requires the input of an Index object key, which must have been produced via a call to one of the Index creation functions present within the CapeTools Indexes category of functions.

You can also execute the CreateSwapIndex(), IDXEURSwap(), IDXGBPSwap(), IDXJPYSwap(), IDXCHFSwap() or IDXUSDSwap() function in order to price a constant maturity swap leg, a CMS convexity adjustment will be applied to rate.

These functions would have returned a string 'KEY' which is to be passed to the 'IndexKey' parameter of this function.

This function requires the input of an optional FXVolCurve object key, which must have been produced via a call to the FlatVolCurve() or VectorVolCurve() functions.

These functions would have returned a string 'KEY' which is to be passed to the 'FXVolCurve' parameter of this function.

This function requires the input of an optional VOLFX correlation object key, which must have been produced via a call to the FlatVolFXCorr(), VectorVolFXCorr() or VolFXCorrMatrix() functions.

These functions would have returned a string 'KEY' which is to be passed to the 'FXCorr' parameter of this function.

The latter two 'key' values are used for various convexity or Quanto adjustments that may be needed.

Please refer to the large number of enumeration functions present within the CapeTools Enums category of functions.

The CapeTools Enums category of functions return correct string codes that can be passed to parameters taking fixed string values defined by the library (ie - DayCount codes, frequency codes, currency codes, compounding codes, business day convention codes etc...).

You can thus execute these enumeration functions which return the proper code, instead of trying to remember the string code needed or making spelling mistakes which can be difficult to debug.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "COMPAIALEG"

String CTCompLegs.CreateCompAmortIALeg( _
String Key, _
Long Reload, _
PAYRECEnum PayRec, _
Long Gearing, _
String AmortKey, _
CCYEnum Ccy, _
BDCEnum BusDayConv, _
DayCountEnum DayCount, _
String IndexKey, _
Double Margin, _
Variant CompSpread, _
Boolean ExchangePrincipal, _
String MKTKey)

=CT.LEG.CreateCompAmortIALeg(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell PayRec,
Excel Numeric Cell Gearing,
Excel String Cell AmortKey,
Excel String Cell Ccy,
Excel String Cell BusDayConv,
Excel String Cell DayCount,
Excel String Cell IndexKey,
Excel Numeric Cell Margin,
XLRange CompSpread,
Excel Boolean Value Cell ExchangePrincipal,
Excel String Cell MKTKey)

static std::string CreateCompAmortIALeg(
std::string Key,
long Reload,
PAYRECEnum PayRec,
long Gearing,
std::string AmortKey,
CCYEnum Ccy,
BDCEnum BusDayConv,
DayCountEnum DayCount,
std::string IndexKey,
double Margin,
CTRangeDataCPP CompSpread,
bool ExchangePrincipal,
std::string MKTKey);

System.String CTCompLegsSA.CreateCompAmortIALeg(
System.String Key,
System.Int32 Reload,
CTIEnums.PAYRECEnum PayRec,
System.Int32 Gearing,
System.String AmortKey,
CTIEnums.CCYEnum Ccy,
CTIEnums.BDCEnum BusDayConv,
CTIEnums.DayCountEnum DayCount,
System.String IndexKey,
System.Double Margin,
CTRangeData CompSpread,
System.Boolean ExchangePrincipal,
System.String MKTKey);

CTQL.CTRangeData CreateCompAmortIALeg_CompSpread;


double[] arrBCreateCompAmortIALeg_CompSpread = {
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002,
0.0002  //  Array Data

};

CTQL.DoubleVector arrCreateCompAmortIALeg_CompSpread =
new  CTQL.DoubleVector(arrBCreateCompAmortIALeg_CompSpread);

// Second parameter determines whether the array is a column array (false) or a row array (true)
CreateCompAmortIALeg_CompSpread = new  CTQL.CTRangeData(arrCreateCompAmortIALeg_CompSpread, false);

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.