FloatLegMtm#
- class rateslib.legs.FloatLegMtm(*args, float_spread=NoInput.blank, fixings=NoInput.blank, fixing_method=NoInput.blank, method_param=NoInput.blank, spread_compound_method=NoInput.blank, **kwargs)#
Bases:
BaseLegMtm
,FloatLegMixin
Create a leg of
FloatPeriod
s and initial, mtm and finalCashflow
s.- Parameters:
args (dict) – Required positional args to
BaseLeg
.float_spread (float or None) – The spread applied to determine cashflows. Can be set to None and designated later, perhaps after a mid-market spread for all periods has been calculated.
spread_compound_method (str, optional) – The method to use for adding a spread to compounded rates. Available options are {“none_simple”, “isda_compounding”, “isda_flat_compounding”}.
fixings (float or list, optional) – If a float scalar, will be applied as the determined fixing for the first whole period of the leg. If a list of n items, each successive item will be passed to the
fixing
argument of the first n periods of the leg. A list within the list is accepted if it contains a set of RFR fixings that will be applied to any individual RFR period.fixing_method (str, optional) – The method by which floating rates are determined, set by default. See notes.
method_param (int, optional) – A parameter that is used for the various
fixing_method
s. See notes.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.