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Model[FloatFloat_IRS]

"Model[FloatFloat IRS]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type FloatFloat IRS.
The riskless
Yield Curve found in the supplied market data is used for both calculating the required forward rates and discounting the resulting cash flow payments.

The following quantities may be also calculated and reported along the price.
Cash Flows 1
Set containing detailed information about the first 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.
Cash Flows 2
Set containing detailed information about the second 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.
Extra Cash Flows 1
Set containing detailed information about the first 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.
Extra Cash Flows 2
Set containing detailed information about the first 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.
Leg 1 BPS
Refers to the output of QuantLib's legBPS function.
Applied on the first leg.
Leg 1 NPV
Refers to the output of QuantLib's legNPV function.
Returns the Net Present Value of the first leg.
Leg 2 BPS
Refers to the output of QuantLib's legBPS function.
Applied on the second leg.
Leg 2 NPV
Refers to the output of QuantLib's legNPV function.
Returns the Net Present Value of the second leg.
Price
The output refers to the price of the referenced tradable contract.