LUSID C# SDK
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Lusid.Sdk.Model.InflationLeg Class Reference

LUSID representation of an Inflation Leg. This leg instrument is part of the InflationSwap instrument, but can also be used as a standalone instrument. The implementation supports the following inflation leg types: * Zero Coupon inflation leg (CPI Leg), with a single payment at maturity. * Year on Year inflation leg * LPI Swap Leg (capped and floored YoY) More...

Inheritance diagram for Lusid.Sdk.Model.InflationLeg:
Inheritance graph
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Public Member Functions

 InflationLeg (DateTimeOffset startDate=default(DateTimeOffset), DateTimeOffset maturityDate=default(DateTimeOffset), FlowConventions flowConventions=default(FlowConventions), decimal? baseCPI=default(decimal?), string calculationType=default(string), decimal? capRate=default(decimal?), decimal? floorRate=default(decimal?), InflationIndexConventions inflationIndexConventions=default(InflationIndexConventions), decimal notional=default(decimal), string payReceive=default(string), InstrumentTypeEnum instrumentType=default(InstrumentTypeEnum))
 Initializes a new instance of the InflationLeg 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 (InflationLeg input)
 Returns true if InflationLeg 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

 InflationLeg ()
 Initializes a new instance of the InflationLeg 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 that may well be observed or set prior to the maturity date, but refer to a termination date beyond it. More...
 
FlowConventions FlowConventions [get, set]
 Gets or Sets FlowConventions More...
 
decimal? BaseCPI [get, set]
 Optional BaseCPI, if specified it will be used in place of BaseCPI(StartDate). This should not be required for standard inflation swaps. More...
 
string CalculationType [get, set]
 The calculation type. ZeroCoupon is used for CPILegs where there is a single payment at maturity of Notional * (CPI(T) / CPI(T0) - 1) where CPI(T0) is the BaseCPI of this leg YearOnYear is used for YoY and LPI swap legs where there is a series of annual payments Notional * dayCount * (CPI(t) / CPI(t-1) - 1) If a cap and floor is added to this it becomes an LPI swap leg. Compounded is used for inflation swap legs where there is a series of annual payments Notional * dayCount * (CPI(t) / CPI(T0) - 1) i.e. the BaseCPI is used every year. These swaps are not as common as CPI or Supported string (enumeration) values are: [ZeroCoupon, YearOnYear, Compounded]. More...
 
decimal? CapRate [get, set]
 Optional cap, needed for LPI Legs or CPI Legs with Caps More...
 
decimal? FloorRate [get, set]
 Optional floor, needed for LPI Legs or CPI Legs with Floors. More...
 
InflationIndexConventions InflationIndexConventions [get, set]
 Gets or Sets InflationIndexConventions More...
 
decimal Notional [get, set]
 The notional More...
 
string PayReceive [get, set]
 PayReceive flag for the inflation leg. This field is optional and defaults to Pay. Supported string (enumeration) values are: [Pay, Receive]. 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, TotalReturnSwap, InflationLeg, FundShareClass More...
 

Additional Inherited Members

- Public Types inherited from Lusid.Sdk.Model.LusidInstrument
enum class  InstrumentTypeEnum {
  QuotedSecurity = 1 , InterestRateSwap = 2 , FxForward = 3 , Future = 4 ,
  ExoticInstrument = 5 , FxOption = 6 , CreditDefaultSwap = 7 , InterestRateSwaption = 8 ,
  Bond = 9 , EquityOption = 10 , FixedLeg = 11 , FloatingLeg = 12 ,
  BespokeCashFlowsLeg = 13 , Unknown = 14 , TermDeposit = 15 , ContractForDifference = 16 ,
  EquitySwap = 17 , CashPerpetual = 18 , CapFloor = 19 , CashSettled = 20 ,
  CdsIndex = 21 , Basket = 22 , FundingLeg = 23 , FxSwap = 24 ,
  ForwardRateAgreement = 25 , SimpleInstrument = 26 , Repo = 27 , Equity = 28 ,
  ExchangeTradedOption = 29 , ReferenceInstrument = 30 , ComplexBond = 31 , InflationLinkedBond = 32 ,
  InflationSwap = 33 , SimpleCashFlowLoan = 34 , TotalReturnSwap = 35 , InflationLeg = 36 ,
  FundShareClass = 37
}
 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, TotalReturnSwap, InflationLeg, FundShareClass More...
 

Detailed Description

LUSID representation of an Inflation Leg. This leg instrument is part of the InflationSwap instrument, but can also be used as a standalone instrument. The implementation supports the following inflation leg types: * Zero Coupon inflation leg (CPI Leg), with a single payment at maturity. * Year on Year inflation leg * LPI Swap Leg (capped and floored YoY)

Constructor & Destructor Documentation

◆ InflationLeg() [1/2]

Lusid.Sdk.Model.InflationLeg.InflationLeg ( )
inlineprotected

Initializes a new instance of the InflationLeg class.

◆ InflationLeg() [2/2]

Lusid.Sdk.Model.InflationLeg.InflationLeg ( DateTimeOffset  startDate = default(DateTimeOffset),
DateTimeOffset  maturityDate = default(DateTimeOffset),
FlowConventions  flowConventions = default(FlowConventions),
decimal?  baseCPI = default(decimal?),
string  calculationType = default(string),
decimal?  capRate = default(decimal?),
decimal?  floorRate = default(decimal?),
InflationIndexConventions  inflationIndexConventions = default(InflationIndexConventions),
decimal  notional = default(decimal),
string  payReceive = default(string),
InstrumentTypeEnum  instrumentType = default(InstrumentTypeEnum) 
)
inline

Initializes a new instance of the InflationLeg class.

Parameters
startDateThe start date of the instrument. This is normally synonymous with the trade-date. (required).
maturityDateThe 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 that may well be observed or set prior to the maturity date, but refer to a termination date beyond it. (required).
flowConventionsflowConventions (required).
baseCPIOptional BaseCPI, if specified it will be used in place of BaseCPI(StartDate). This should not be required for standard inflation swaps..
calculationTypeThe calculation type. ZeroCoupon is used for CPILegs where there is a single payment at maturity of Notional * (CPI(T) / CPI(T0) - 1) where CPI(T0) is the BaseCPI of this leg YearOnYear is used for YoY and LPI swap legs where there is a series of annual payments Notional * dayCount * (CPI(t) / CPI(t-1) - 1) If a cap and floor is added to this it becomes an LPI swap leg. Compounded is used for inflation swap legs where there is a series of annual payments Notional * dayCount * (CPI(t) / CPI(T0) - 1) i.e. the BaseCPI is used every year. These swaps are not as common as CPI or Supported string (enumeration) values are: [ZeroCoupon, YearOnYear, Compounded]. (required).
capRateOptional cap, needed for LPI Legs or CPI Legs with Caps.
floorRateOptional floor, needed for LPI Legs or CPI Legs with Floors..
inflationIndexConventionsinflationIndexConventions (required).
notionalThe notional (required).
payReceivePayReceive flag for the inflation leg. This field is optional and defaults to Pay. Supported string (enumeration) values are: [Pay, Receive]..
instrumentTypeThe 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, TotalReturnSwap, InflationLeg, FundShareClass (required) (default to "InflationLeg").

Member Function Documentation

◆ BaseValidate()

IEnumerable<System.ComponentModel.DataAnnotations.ValidationResult> Lusid.Sdk.Model.InflationLeg.BaseValidate ( ValidationContext  validationContext)
inlineprotected

To validate all properties of the instance

Parameters
validationContextValidation context
Returns
Validation Result

◆ Equals() [1/2]

bool Lusid.Sdk.Model.InflationLeg.Equals ( InflationLeg  input)
inline

Returns true if InflationLeg instances are equal

Parameters
inputInstance of InflationLeg to be compared
Returns
Boolean

◆ Equals() [2/2]

override bool Lusid.Sdk.Model.InflationLeg.Equals ( object  input)
inline

Returns true if objects are equal

Parameters
inputObject to be compared
Returns
Boolean

◆ GetHashCode()

override int Lusid.Sdk.Model.InflationLeg.GetHashCode ( )
inline

Gets the hash code

Returns
Hash code

◆ ToJson()

override string Lusid.Sdk.Model.InflationLeg.ToJson ( )
inlinevirtual

Returns the JSON string presentation of the object

Returns
JSON string presentation of the object

Reimplemented from Lusid.Sdk.Model.LusidInstrument.

◆ ToString()

override string Lusid.Sdk.Model.InflationLeg.ToString ( )
inline

Returns the string presentation of the object

Returns
String presentation of the object

Property Documentation

◆ BaseCPI

decimal? Lusid.Sdk.Model.InflationLeg.BaseCPI
getset

Optional BaseCPI, if specified it will be used in place of BaseCPI(StartDate). This should not be required for standard inflation swaps.

Optional BaseCPI, if specified it will be used in place of BaseCPI(StartDate). This should not be required for standard inflation swaps.

◆ CalculationType

string Lusid.Sdk.Model.InflationLeg.CalculationType
getset

The calculation type. ZeroCoupon is used for CPILegs where there is a single payment at maturity of Notional * (CPI(T) / CPI(T0) - 1) where CPI(T0) is the BaseCPI of this leg YearOnYear is used for YoY and LPI swap legs where there is a series of annual payments Notional * dayCount * (CPI(t) / CPI(t-1) - 1) If a cap and floor is added to this it becomes an LPI swap leg. Compounded is used for inflation swap legs where there is a series of annual payments Notional * dayCount * (CPI(t) / CPI(T0) - 1) i.e. the BaseCPI is used every year. These swaps are not as common as CPI or Supported string (enumeration) values are: [ZeroCoupon, YearOnYear, Compounded].

The calculation type. ZeroCoupon is used for CPILegs where there is a single payment at maturity of Notional * (CPI(T) / CPI(T0) - 1) where CPI(T0) is the BaseCPI of this leg YearOnYear is used for YoY and LPI swap legs where there is a series of annual payments Notional * dayCount * (CPI(t) / CPI(t-1) - 1) If a cap and floor is added to this it becomes an LPI swap leg. Compounded is used for inflation swap legs where there is a series of annual payments Notional * dayCount * (CPI(t) / CPI(T0) - 1) i.e. the BaseCPI is used every year. These swaps are not as common as CPI or Supported string (enumeration) values are: [ZeroCoupon, YearOnYear, Compounded].

◆ CapRate

decimal? Lusid.Sdk.Model.InflationLeg.CapRate
getset

Optional cap, needed for LPI Legs or CPI Legs with Caps

Optional cap, needed for LPI Legs or CPI Legs with Caps

◆ FloorRate

decimal? Lusid.Sdk.Model.InflationLeg.FloorRate
getset

Optional floor, needed for LPI Legs or CPI Legs with Floors.

Optional floor, needed for LPI Legs or CPI Legs with Floors.

◆ FlowConventions

FlowConventions Lusid.Sdk.Model.InflationLeg.FlowConventions
getset

Gets or Sets FlowConventions

◆ InflationIndexConventions

InflationIndexConventions Lusid.Sdk.Model.InflationLeg.InflationIndexConventions
getset

◆ MaturityDate

DateTimeOffset Lusid.Sdk.Model.InflationLeg.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 that may well be observed or set prior to the maturity date, but refer to a termination date beyond it.

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 that may well be observed or set prior to the maturity date, but refer to a termination date beyond it.

◆ Notional

decimal Lusid.Sdk.Model.InflationLeg.Notional
getset

The notional

The notional

◆ PayReceive

string Lusid.Sdk.Model.InflationLeg.PayReceive
getset

PayReceive flag for the inflation leg. This field is optional and defaults to Pay. Supported string (enumeration) values are: [Pay, Receive].

PayReceive flag for the inflation leg. This field is optional and defaults to Pay. Supported string (enumeration) values are: [Pay, Receive].

◆ StartDate

DateTimeOffset Lusid.Sdk.Model.InflationLeg.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: