Go to Deriscope's documentation start page

Model[FixedFloat_IRS]

"Model[FixedFloat IRS]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type FixedFloat IRS.
Note the present value of a FixedFloat IRS is independent of the stochastic evolution of the interest rates.
It only depends on forward rates and discount factors observed today.
In general, the riskless
Yield Curve found in the supplied market data is used for both calculating the required forward rates and discounting the resulting cash flows.
Nevertheless the user is able to specify here an optional
Issuer that identifies the yield curve to be used exclusively for calculating the forward rates associated with the floating leg.

The following quantities may be also calculated and reported along the price.
Fixed Cash Flows
Set containing detailed information about the fixed leg cash flows that stem from an accruing rate as they are conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a cash flow.
Fixed Extra Cash Flows
Set containing detailed information about the fixed leg cash flows that represent non-accrual principal payments as they are conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a cash flow.
Fixed Leg BPS
Refers to the output of QuantLib's legBPS function.
Returns the Net Present Value of the swap's fixed leg on a hypothetical notional of 1 and fixed rate of 1 bp.
Fixed Leg NPV
Refers to the output of QuantLib's legNPV function.
Returns the Net Present Value of the swap's fixed leg.
Float Cash Flows
Set containing detailed information about the floating leg cash flows that stem from an accruing rate as they are conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a cash flow.
Float Extra Cash Flows
Set containing detailed information about the floating leg cash flows that represent non-accrual principal payments as they are conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a cash flow.
Floating Leg BPS
Refers to the output of QuantLib's legBPS function.
Floating Leg NPV
Refers to the output of QuantLib's legNPV function.
Returns the Net Present Value of the swap's floating leg.
Price
The output refers to the price of the referenced tradable contract.