OiIbSwp

TYPE
-Define Notional
Ibor IndexUSDLibor|3M
Use Term Rate
ON IndexSofr
Looking
Build Rule
Obs Lag0
Lookback0
Rate Cutoff1
ON Gearing1
ON Spread0
ON ScheduleSched#155
ON Pmt Lag2B{US_GOVBOND}
Ibor Gearing1
Ibor Spread0
Ibor Floor
Ibor Cap
Ibor ScheduleSched#156
Ibor Pmt Lag0B{GB_LSX}
Ibor In Arrears
Notional1
AmortAmort
Oi Leg Dir
In parent: IRS
-Define Currencies
-Define Notionals
-Index Type 1
-Index Type 2
Currency 1USD
Currency 2USD
Index 1OiTermRt
Index 2USDLibor|3M
Notional 11
Notional 21
Gearings 11
Spreads 10
Floors 1
Caps 1
Schedule 1Sched#155
Pmt Lag 12B{US_GOVBOND}
Lag on Principal 1
Amort 1Amort
-Define FX Reset 1
Gearings 21
Spreads 20
Floors 2
Caps 2
Schedule 2Sched#156
Pmt Lag 20B{GB_LSX}
Lag on Principal 2
In Arrears 20
Amort 2Amort
-Define FX Reset 2
Leg1 Dir
Init Exchange
Final Exchange
_Notionals 1
_Notionals 2
In parent: Tradable
ID
Ledger Entry
Settle0D
_Dynamic
_CashFlows