CapeTools FLOAT Legs

CapeTools FLOAT Legs

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In total there are 8 functions present within the CapeTools FLOAT Legs category of functions.

General Description

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

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

Function list.

CreateAmortFloatLeg - Creates an amortised floating rate leg.
CreateAmortIALeg - Creates an amortising floating in-arrears rate leg.
CreateAmortQIALeg - Creates an amortising Quanto in-arrears floating rate leg.
CreateAmortQLeg - Creates an amortising Quanto floating rate leg.
CreateFloatLeg - Creates a floating rate leg.
CreateIALeg - Creates a floating in-arrears rate leg.
CreateQIALeg - Creates a Quanto in-arrears floating rate leg.
CreateQLeg - Creates a Quanto floating rate leg.

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