You can price this strategy with the PrcInverseLegObject() function.

The payoff for this leg is in fact the difference of two coupons.

The first a FIXED coupon rate, the second FLOAT rate.

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 Quanto floating rate fixing.

Fixed in one currency and paid in another.

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 passed to the Swap2() function.

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 enum 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 enum 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 : "FIXAQLEG"

String CTFIXFLTLegs.CreateFIXAmortQLeg( _
String Key, _
Long Reload, _
PAYRECEnum PayRec, _
INVTYPEEnum InverseType, _
Long FixingGearing, _
String AmortKey, _
CCYEnum Ccy, _
BDCEnum BusDayConv, _
DayCountEnum DayCount, _
Variant Coupon, _
String IndexKey, _
Variant Margin, _
Boolean ExchangePrincipal, _
String MKTKey, _
String FXVolCurve, _
String FXCorr, _
Double SMPFWDRho)

=CT.LEG.CreateFIXAmortQLeg(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell PayRec,
Excel String Cell InverseType,
Excel Numeric Cell FixingGearing,
Excel String Cell AmortKey,
Excel String Cell Ccy,
Excel String Cell BusDayConv,
Excel String Cell DayCount,
XLRange Coupon,
Excel String Cell IndexKey,
XLRange Margin,
Excel Boolean Value Cell ExchangePrincipal,
Excel String Cell MKTKey,
Excel String Cell FXVolCurve,
Excel String Cell FXCorr,
Excel Numeric Cell SMPFWDRho)

static std::string CreateFIXAmortQLeg(
std::string Key,
long Reload,
PAYRECEnum PayRec,
INVTYPEEnum InverseType,
long FixingGearing,
std::string AmortKey,
CCYEnum Ccy,
BDCEnum BusDayConv,
DayCountEnum DayCount,
CTRangeDataCPP Coupon,
std::string IndexKey,
CTRangeDataCPP Margin,
bool ExchangePrincipal,
std::string MKTKey,
std::string FXVolCurve,
std::string FXCorr,
double SMPFWDRho);

System.String CTFIXFLTLegsSA.CreateFIXAmortQLeg(
System.String Key,
System.Int32 Reload,
CTIEnums.PAYRECEnum PayRec,
CTIEnums.INVTYPEEnum InverseType,
System.Int32 FixingGearing,
System.String AmortKey,
CTIEnums.CCYEnum Ccy,
CTIEnums.BDCEnum BusDayConv,
CTIEnums.DayCountEnum DayCount,
CTRangeData Coupon,
System.String IndexKey,
CTRangeData Margin,
System.Boolean ExchangePrincipal,
System.String MKTKey,
System.String FXVolCurve,
System.String FXCorr,
System.Double SMPFWDRho);

CTQL.CTRangeData CreateFIXAmortQLeg_Coupon;


double[] arrBCreateFIXAmortQLeg_Coupon = {
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05,
0.05  //  Array Data

};

CTQL.DoubleVector arrCreateFIXAmortQLeg_Coupon =
new  CTQL.DoubleVector(arrBCreateFIXAmortQLeg_Coupon);

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

CTQL.CTRangeData CreateFIXAmortQLeg_Margin;


double[] arrBCreateFIXAmortQLeg_Margin = {
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 arrCreateFIXAmortQLeg_Margin =
new  CTQL.DoubleVector(arrBCreateFIXAmortQLeg_Margin);

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