CreateFixedRateLeg

High level graphic of CreateFixedRateLeg() function with parameters. Blue square node is the actual function with the parameters ordered.

1. Key parameter
   
   
   Key value to use as a handle for the created object
2. Reload parameter
   
   
   When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
3. PayRec parameter
   
   
   Whether you would like to PAY or REC this leg.
4. Gearing parameter
   
   
   A positive factor value you wish to multiply the Floating-Reset Rate/Fixed-Coupon Rate by (Usually 1). If you want to simply double the value of the leg, modify the Notional value. For floating legs, if we denote 'M' as a margin/spread, 'G' as the gearing and 'L' as the fixing rate, the gearing will be applied as following : 'G*L+M'. For fixed rate legs, if we denote 'C' as the coupon rate and 'G' as the gearing, then the gearing value will be applied as 'G*C' which is, in effect, the same as doubling the value of the leg.
5. Notional parameter
   
   
   A positive valued Notional amount of the deal. Can pass an array of notional amounts for each period
6. PrincipalPayments parameter
   
   
   A positive valued Principal Payments array. Generally in the case where the 'Notional' parameter has been filled with amortised Notional values you indicate, within this array, the principal amounts that are to be paid to the holder of this contract during the life of the leg. In the case of amortised legs, this should be populated. The length of this array must equal the length of the 'Notional' parameter or be empty (if you are not concerned with providing Principal Payments).
7. Ccy parameter
   
   
   Currency of the Notional amount.
8. ScheduleKey parameter
   
   
   Schedule Key to an already generated schedule object.
9. BusDayConv parameter
   
   
   Payment Business Day Convention. Treatment of date calculations for (discounting).
10. DayCount parameter
    
    
    Payment DayCounter. Used for the calculation of year periods regarding payment (discounting).
11. Coupon parameter
    
    
    Coupon amount to be received/paid, can pass in an array of coupons, each coupon corresponds to a cashflow of the generated schedule.
12. ExchangePrincipal parameter
    
    
    Whether you wish to exchange the principal amount(s) at the start and termination of the leg contract.
13. MKTKey parameter
    
    
    Key to an already constructed MKT object that contains at least a discounting curve. The VolCurve should be present if pricing CMS or In-Arrear legs, deals. The curves contained within this object should all be of the same Currency of which must equal the value of the 'Ccy' parameter of this function.

String CTFIXLegs.CreateFixedRateLeg( _
String Key, _
Long Reload, _
PAYRECEnum PayRec, _
Long Gearing, _
Variant Notional, _
Variant PrincipalPayments, _
CCYEnum Ccy, _
String ScheduleKey, _
BDCEnum BusDayConv, _
DayCountEnum DayCount, _
Variant Coupon, _
Boolean ExchangePrincipal, _
String MKTKey)

=CT.LEG.CreateFixedRateLeg(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell PayRec,
Excel Numeric Cell Gearing,
XLRange Notional,
XLRange PrincipalPayments,
Excel String Cell Ccy,
Excel String Cell ScheduleKey,
Excel String Cell BusDayConv,
Excel String Cell DayCount,
XLRange Coupon,
Excel Boolean Value Cell ExchangePrincipal,
Excel String Cell MKTKey)

static std::string CreateFixedRateLeg(
std::string Key,
long Reload,
PAYRECEnum PayRec,
long Gearing,
CTRangeDataCPP Notional,
CTRangeDataCPP PrincipalPayments,
CCYEnum Ccy,
std::string ScheduleKey,
BDCEnum BusDayConv,
DayCountEnum DayCount,
CTRangeDataCPP Coupon,
bool ExchangePrincipal,
std::string MKTKey);

System.String CTFIXLegsSA.CreateFixedRateLeg(
System.String Key,
System.Int32 Reload,
CTIEnums.PAYRECEnum PayRec,
System.Int32 Gearing,
CTRangeData Notional,
CTRangeData PrincipalPayments,
CTIEnums.CCYEnum Ccy,
System.String ScheduleKey,
CTIEnums.BDCEnum BusDayConv,
CTIEnums.DayCountEnum DayCount,
CTRangeData Coupon,
System.Boolean ExchangePrincipal,
System.String MKTKey);

CTQL.CTRangeData CreateFixedRateLeg_Notional;


int[] arrBCreateFixedRateLeg_Notional = {
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000,
5000000  //  Array Data

};

CTQL.IntVector arrCreateFixedRateLeg_Notional =
new  CTQL.IntVector(arrBCreateFixedRateLeg_Notional);

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

CTQL.CTRangeData CreateFixedRateLeg_PrincipalPayments;


int[] arrBCreateFixedRateLeg_PrincipalPayments = {
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0,
0  //  Array Data

};

CTQL.IntVector arrCreateFixedRateLeg_PrincipalPayments =
new  CTQL.IntVector(arrBCreateFixedRateLeg_PrincipalPayments);

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

CTQL.CTRangeData CreateFixedRateLeg_Coupon;


double[] arrBCreateFixedRateLeg_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 arrCreateFixedRateLeg_Coupon =
new  CTQL.DoubleVector(arrBCreateFixedRateLeg_Coupon);

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

• CALEURO() ( CT.QL.Curves20 )
• ValueDateObj() ( CT.QL.Utils20 )
• CALUKExchange() ( CT.QL.Curves20 )
• MakeSchedule() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• MKTYC_D() ( CT.QL.Curves20 )
• SABRVolCurve() ( CT.QL.Curves20 )
• CreateMKT() ( CT.QL.Curves20 )
• CreateFixedRateLeg() ( CT.QL.IRLegs20 )

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