Go to Deriscope's documentation start pageFloatFloat_IRS_Group

*FloatFloat IRS* is a Tradable that represents an interest rate swap whereby a certain interest rate is exchanged for another interest rate in regular time intervals until the swap's maturity.

Each interest rate may be either an Ibor Rate or a Swap Rate

In formal terms:

Each floating payment equals:

*N(gR+s)Δt*

where *R* refers to the final bounded rate defined as *R = min(max(r,f),c)*, where *f*, *c* are the entries in *Floors 1*, *Caps 1* respectively.

Further on, *N*, *g*, *s* are the entries in *Notionals 1*, *Gearings 1*, *Spreads 1* respectively (for the first leg and similarly for the second leg) and *Δt* is the length of the respective accrual period.

The cash flow currency is assumed to be that of the respective index.

The pricing methodology is specified in Model[FloatFloat IRS]

No QuantLib issues have been identified:

The following direct subtypes exist:

CMS