CapeTools FIXED + AVERAGE FLOAT Legs

General Description

Creates interest rate inverse floater leg objects. Amortised, Quanto, In-Arrear and constant-maturity-swap floater 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.

The payoff for this leg is in fact the difference of two coupons. The first a FIXED coupon rate, the second averages a number of fixings within the same paying coupon period. Thus for each coupon period, the coupon rate computed will be either a FIXED INVERSE FLOATER LEG [X - N*L] or a FLOAT INVERSE FLOATER LEG [N*L - X], where N is a positive integer gearing amount. N represents the 'FixingGearing' parameter within the function call. X is the FIXED coupon rate and L is the average of a number of fixings within the period.

These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.