LUSID representation of a Funding Leg with variable notional. This Funding Leg is a hybrid between a single leg swap and a loan facility; the notional is not fixed and can vary within a reset period. The model can be used to represent the funding leg of a basket of instruments (e.g. equities) where the contents of the basket can change over time. The actual notional history is stored in the FundingLegHistory object. The actual notional history is stored in the FundingLegHistory object. The main analytic calculated for this instrument is Accrual rather than PV. More...
Public Member Functions | |
| FundingLeg (DateTimeOffset startDate=default(DateTimeOffset), DateTimeOffset maturityDate=default(DateTimeOffset), LegDefinition legDefinition=default(LegDefinition), decimal? notional=default(decimal?), InstrumentTypeEnum instrumentType=default(InstrumentTypeEnum)) | |
| Initializes a new instance of the FundingLeg class. More... | |
| override string | ToString () |
| Returns the string presentation of the object More... | |
| override string | ToJson () |
| Returns the JSON string presentation of the object More... | |
| override bool | Equals (object input) |
| Returns true if objects are equal More... | |
| bool | Equals (FundingLeg input) |
| Returns true if FundingLeg instances are equal More... | |
| override int | GetHashCode () |
| Gets the hash code More... | |
 Public Member Functions inherited from Lusid.Sdk.Model.InstrumentLeg | |
| InstrumentLeg (InstrumentTypeEnum instrumentType=default(InstrumentTypeEnum)) | |
| Initializes a new instance of the InstrumentLeg class. More... | |
| override string | ToString () |
| Returns the string presentation of the object More... | |
| override string | ToJson () |
| Returns the JSON string presentation of the object More... | |
| override bool | Equals (object input) |
| Returns true if objects are equal More... | |
| bool | Equals (InstrumentLeg input) |
| Returns true if InstrumentLeg instances are equal More... | |
| override int | GetHashCode () |
| Gets the hash code More... | |
| Public Member Functions inherited from Lusid.Sdk.Model.LusidInstrument | |
| LusidInstrument (InstrumentTypeEnum instrumentType=default(InstrumentTypeEnum)) | |
| Initializes a new instance of the LusidInstrument class. More... | |
| override string | ToString () |
| Returns the string presentation of the object More... | |
| override bool | Equals (object input) |
| Returns true if objects are equal More... | |
| bool | Equals (LusidInstrument input) |
| Returns true if LusidInstrument instances are equal More... | |
| override int | GetHashCode () |
| Gets the hash code More... | |
Protected Member Functions | |
| FundingLeg () | |
| Initializes a new instance of the FundingLeg class. More... | |
| IEnumerable< System.ComponentModel.DataAnnotations.ValidationResult > | BaseValidate (ValidationContext validationContext) |
| To validate all properties of the instance More... | |
| Protected Member Functions inherited from Lusid.Sdk.Model.InstrumentLeg | |
| InstrumentLeg () | |
| Initializes a new instance of the InstrumentLeg class. More... | |
| IEnumerable< System.ComponentModel.DataAnnotations.ValidationResult > | BaseValidate (ValidationContext validationContext) |
| To validate all properties of the instance More... | |
| Protected Member Functions inherited from Lusid.Sdk.Model.LusidInstrument | |
| LusidInstrument () | |
| Initializes a new instance of the LusidInstrument class. More... | |
| IEnumerable< System.ComponentModel.DataAnnotations.ValidationResult > | BaseValidate (ValidationContext validationContext) |
| To validate all properties of the instance More... | |
Properties | |
| DateTimeOffset | StartDate [get, set] |
| The start date of the instrument. This is normally synonymous with the trade-date. More... | |
| DateTimeOffset | MaturityDate [get, set] |
| The final maturity date of the instrument. This means the last date on which the instruments makes a payment of any amount. For the avoidance of doubt, that is not necessarily prior to its last sensitivity date for the purposes of risk; e.g. instruments such as Constant Maturity Swaps (CMS) often have sensitivities to rates beyond their last payment date. More... | |
| LegDefinition | LegDefinition [get, set] |
| Gets or Sets LegDefinition More... | |
| decimal | Notional [get, set] |
| The initial notional of the Funding Leg instrument. When "RequiresFundingLegHistory" property key is present in transaction key, during a GetValuation endpoint call (for instance), this field would overriden by the Funding Leg history's notional and this notional field would not be used in the pricing and accrual calculations. As such, we recommend setting this to 0 or not setting it at all. Please see the following Notebook example and Knowledge Base article: Notebook: https://github.com/finbourne/sample-notebooks/blob/master/examples/use-cases/instruments/Funding%20Leg%20Swap.ipynb Knowledge Base article: https://support.lusid.com/knowledgebase/article/KA-01764/ More... | |
| Properties inherited from Lusid.Sdk.Model.LusidInstrument | |
| InstrumentTypeEnum | InstrumentType [get, set] |
| The available values are: QuotedSecurity, InterestRateSwap, FxForward, Future, ExoticInstrument, FxOption, CreditDefaultSwap, InterestRateSwaption, Bond, EquityOption, FixedLeg, FloatingLeg, BespokeCashFlowsLeg, Unknown, TermDeposit, ContractForDifference, EquitySwap, CashPerpetual, CapFloor, CashSettled, CdsIndex, Basket, FundingLeg, FxSwap, ForwardRateAgreement, SimpleInstrument, Repo, Equity, ExchangeTradedOption, ReferenceInstrument, ComplexBond, InflationLinkedBond, InflationSwap, SimpleCashFlowLoan More... | |
Detailed Description
LUSID representation of a Funding Leg with variable notional. This Funding Leg is a hybrid between a single leg swap and a loan facility; the notional is not fixed and can vary within a reset period. The model can be used to represent the funding leg of a basket of instruments (e.g. equities) where the contents of the basket can change over time. The actual notional history is stored in the FundingLegHistory object. The actual notional history is stored in the FundingLegHistory object. The main analytic calculated for this instrument is Accrual rather than PV.
Constructor & Destructor Documentation
◆ FundingLeg() [1/2]
|
inlineprotected |
Initializes a new instance of the FundingLeg class.
◆ FundingLeg() [2/2]
|
inline |
Initializes a new instance of the FundingLeg class.
- Parameters
-
startDate The start date of the instrument. This is normally synonymous with the trade-date. (required). maturityDate The final maturity date of the instrument. This means the last date on which the instruments makes a payment of any amount. For the avoidance of doubt, that is not necessarily prior to its last sensitivity date for the purposes of risk; e.g. instruments such as Constant Maturity Swaps (CMS) often have sensitivities to rates beyond their last payment date. (required). legDefinition legDefinition (required). notional The initial notional of the Funding Leg instrument. When "RequiresFundingLegHistory" property key is present in transaction key, during a GetValuation endpoint call (for instance), this field would overriden by the Funding Leg history's notional and this notional field would not be used in the pricing and accrual calculations. As such, we recommend setting this to 0 or not setting it at all. Please see the following Notebook example and Knowledge Base article: Notebook: https://github.com/finbourne/sample-notebooks/blob/master/examples/use-cases/instruments/Funding%20Leg%20Swap.ipynb Knowledge Base article: https://support.lusid.com/knowledgebase/article/KA-01764/. instrumentType The available values are: QuotedSecurity, InterestRateSwap, FxForward, Future, ExoticInstrument, FxOption, CreditDefaultSwap, InterestRateSwaption, Bond, EquityOption, FixedLeg, FloatingLeg, BespokeCashFlowsLeg, Unknown, TermDeposit, ContractForDifference, EquitySwap, CashPerpetual, CapFloor, CashSettled, CdsIndex, Basket, FundingLeg, FxSwap, ForwardRateAgreement, SimpleInstrument, Repo, Equity, ExchangeTradedOption, ReferenceInstrument, ComplexBond, InflationLinkedBond, InflationSwap, SimpleCashFlowLoan (required) (default to "FundingLeg").
Member Function Documentation
◆ BaseValidate()
|
inlineprotected |
To validate all properties of the instance
- Parameters
-
validationContext Validation context
- Returns
- Validation Result
◆ Equals() [1/2]
|
inline |
Returns true if objects are equal
- Parameters
-
input Object to be compared
- Returns
- Boolean
◆ Equals() [2/2]
|
inline |
Returns true if FundingLeg instances are equal
- Parameters
-
input Instance of FundingLeg to be compared
- Returns
- Boolean
◆ GetHashCode()
|
inline |
Gets the hash code
- Returns
- Hash code
◆ ToJson()
|
inlinevirtual |
Returns the JSON string presentation of the object
- Returns
- JSON string presentation of the object
Reimplemented from Lusid.Sdk.Model.LusidInstrument.
◆ ToString()
|
inline |
Returns the string presentation of the object
- Returns
- String presentation of the object
Property Documentation
◆ LegDefinition
|
getset |
Gets or Sets LegDefinition
◆ MaturityDate
|
getset |
The final maturity date of the instrument. This means the last date on which the instruments makes a payment of any amount. For the avoidance of doubt, that is not necessarily prior to its last sensitivity date for the purposes of risk; e.g. instruments such as Constant Maturity Swaps (CMS) often have sensitivities to rates beyond their last payment date.
The final maturity date of the instrument. This means the last date on which the instruments makes a payment of any amount. For the avoidance of doubt, that is not necessarily prior to its last sensitivity date for the purposes of risk; e.g. instruments such as Constant Maturity Swaps (CMS) often have sensitivities to rates beyond their last payment date.
◆ Notional
|
getset |
The initial notional of the Funding Leg instrument. When "RequiresFundingLegHistory" property key is present in transaction key, during a GetValuation endpoint call (for instance), this field would overriden by the Funding Leg history's notional and this notional field would not be used in the pricing and accrual calculations. As such, we recommend setting this to 0 or not setting it at all. Please see the following Notebook example and Knowledge Base article: Notebook: https://github.com/finbourne/sample-notebooks/blob/master/examples/use-cases/instruments/Funding%20Leg%20Swap.ipynb Knowledge Base article: https://support.lusid.com/knowledgebase/article/KA-01764/
The initial notional of the Funding Leg instrument. When "RequiresFundingLegHistory" property key is present in transaction key, during a GetValuation endpoint call (for instance), this field would overriden by the Funding Leg history's notional and this notional field would not be used in the pricing and accrual calculations. As such, we recommend setting this to 0 or not setting it at all. Please see the following Notebook example and Knowledge Base article: Notebook: https://github.com/finbourne/sample-notebooks/blob/master/examples/use-cases/instruments/Funding%20Leg%20Swap.ipynb Knowledge Base article: https://support.lusid.com/knowledgebase/article/KA-01764/
◆ StartDate
|
getset |
The start date of the instrument. This is normally synonymous with the trade-date.
The start date of the instrument. This is normally synonymous with the trade-date.
The documentation for this class was generated from the following file:
- /home/docs/checkouts/readthedocs.org/user_builds/lusid-sdk-csharp/checkouts/latest/sdk/Lusid.Sdk/Model/FundingLeg.cs
