FixedLegMtm#
- class rateslib.legs.FixedLegMtm(*args, fixed_rate=NoInput.blank, **kwargs)#
Bases:
BaseLegMtm
,FixedLegMixin
Create a leg of
FixedPeriod
s and initial, mtm and finalCashflow
s.- Parameters:
args (dict) – Required positional args to
BaseLeg
.fixed_rate (float or None) – The fixed rate applied to determine cashflows. Can be set to None and designated later, perhaps after a mid-market rate for all periods has been calculated.
fx_fixings (float, Dual, Dual2, list of such) – Specify a known initial FX fixing or a list of such for historical legs. Fixings that are not specified will be calculated at pricing time with an
FXForwards
object.alt_currency (str) – The alternative currency against which mark-to-market fixings and payments are made. This is considered as the domestic currency in FX fixings.
alt_notional (float, optional) – The notional of the alternative currency from which to calculate
notional
under the determinedfx_fixings
. If None sets a default foralt_notional
.kwargs (dict) – Required keyword arguments to
BaseLeg
.
Notes
Warning
amortization
is currently not implemented for onFloatLegExchangeMtm
.notional
is not used on anFloatLegMtm
. It is determined fromalt_notional
under givenfx_fixings
.currency
andalt_currency
are required in order to determine FX fixings from anFXForwards
object at pricing time.Examples
For an example see Mtm Legs.