Multi Leg Swap


Multi Leg Swap is a
direct subtype of Swap
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with functions Multi Leg Swap Functions, direct subtypes Multi Leg Swap subtypes, keys Multi Leg Swap keys and example object MLSwap

TYPE INCLUSION RELATIONSHIPS

Swap

Multi Leg Swap

Currency Swap Old

FX Swap Old

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Direction

Leg

Notional Upfront

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TYPICAL OBJECTS OF TYPE Multi Leg Swap

MLSwap

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This type represents that represents a swap that may contain any number of legs.
Each leg is represented by an object of type either
Bond or BondExt and effectively represents a stream of cash flows.
The BondExt type is needed when the associated notional depends on time or on the spot value of a foreign exchange rate.
An optional initial and final notional payment may be independently specified for each leg.
A notional time dependency is not allowed in the case of fx reset or inflation linked flows.

Note this product's pricing is carried out by the ORE library.

The pricing methodology is specified in
Model[Multi Leg Swap]