Cashflows

A trade is worth what its cashflows are worth. This section covers how terms become dated amounts: the coupons a leg holds, how a schedule becomes a leg, the coupons that read more than one rate or a price index, the options a coupon can carry, the table every value can be read from, and where a coupon stops reading prints and starts reading projections.

Where to start

1. How cashflows work explains the ideas every page here relies on, and builds a leg one coupon at a time.
2. Legs and coupons lists the coupon and strip constructors and the leg.
3. From a schedule to a leg lists periods, payment lags and the stub rules.
4. Cashflow records lists the table behind every value.
5. The other pages each cover one family of coupon.

Pages

Page	What it covers
how-cashflows-work	explanation: coupons, legs, stubs and options, and a fixed leg valued by hand
legs-and-coupons	fixed and IBOR coupons and strips; a leg's side and discount key; a leg's value
from-a-schedule-to-a-leg	calculation periods; payment lags; the stub rules, on a strip and on one coupon
cashflow-records	the seventeen columns; each row's present value; basis points by flow
multi-reset-coupons	several fixings in one payment; straight, flat, spread-exclusive and averaged compounding
cms-coupons	CMS rates and their convexity adjustment; CMS options; CMS spread coupons
inflation-coupons	year-on-year coupons; CPI coupons; an indexed notional
coupon-options	caps, floors, collars and digitals on a leg's coupons
the-pricing-seam	explanation: which resets a valuation reads as prints; pinned against fetched prints

Common tasks

You want to	Go to
build a leg from a confirmation's terms	build a leg from a schedule
value a fixed or floating leg on its own	legs-and-coupons
choose how a stub reads its index	from-a-schedule-to-a-leg
see every coupon's rate, amount and present value	cashflow-records
find which prints a seasoned trade needs	the-pricing-seam
mark each day's prints	mark a daily close
cap, floor or digitise a floating leg	coupon-options