Module swap 

A swap product: each swapStream into a leg, the pair into a single-currency or cross-currency swap.

Structs

Adjustment 🔒

A business-day convention and the centres it rolls on.

Bound 🔒

A strike schedule on a floating stream: a capRateSchedule or floorRateSchedule, and whether the stream’s receiver buys it.

Exchanges 🔒

What a principalExchanges element states.

InflationTerms 🔒

An inflationRateCalculation: the price index, its lag and how it is read inside the month.

Nds 🔒

A stream settling non-deliverably: in settlement, at the source fixing, offset before each payment under adjustment.

Offset 🔒

A date offset in days of a stated type.

Steps 🔒

A value with dated steps: a notional or a fixed-rate schedule.

StreamLeg 🔒

A stream read into a leg, with what the swap assembly needs beside it.

Enums

Rate 🔒

Functions

approximate_days 🔒

A tenor’s rough length in days, enough to order two stub tenors.

basis 🔒

Two floating streams in one currency: a tenor basis swap, the spread on the stream that states one. The legs keep their own sides, so the spread leg may be paid.

calculation_parameters 🔒

Reads calculationParameters: how an overnight rate accumulates, on which business days, and the lookback, lockout or observation shift and daily bounds it observes under.

floating_index 🔒

floatingRateIndex and indexTenor under el, resolved.

known_amounts 🔒

A stream whose knownAmountSchedule states what each payment pays: one dated amount per payment, the amount in force at its period’s start.

months 🔒

A frequency in months, the unit payment grouping is counted in.

parse 🔒

A vocabulary value from an element’s text, the element named on refusal.

period 🔒

periodMultiplier and period under el.

read 🔒

Reads a swap element into a swap, us being the reporting party’s id, with the zero-based leg index each stream was read into: a swap orders its legs by role (fixed then floating, or paid then received), not by the document’s stream order.

read_product 🔒

Reads a swap product: the swap, then each additionalPayment the reporting party pays or receives as a fee.

roll 🔒

stream 🔒

Reads one swapStream: its dates, payments, amount, resets and exchanges, in the order the schema states them, into one leg.

unsupported 🔒