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| | 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...
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| override string | ToString () |
| | Returns the string presentation of the object More...
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| override string | ToJson () |
| | Returns the JSON string presentation of the object More...
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| override bool | Equals (object input) |
| | Returns true if objects are equal More...
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| bool | Equals (InflationLeg input) |
| | Returns true if InflationLeg instances are equal More...
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| override int | GetHashCode () |
| | Gets the hash code More...
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| | LusidInstrument (InstrumentTypeEnum instrumentType=default(InstrumentTypeEnum)) |
| | Initializes a new instance of the LusidInstrument class. More...
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| override string | ToString () |
| | Returns the string presentation of the object More...
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| override bool | Equals (object input) |
| | Returns true if objects are equal More...
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| bool | Equals (LusidInstrument input) |
| | Returns true if LusidInstrument instances are equal More...
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| override int | GetHashCode () |
| | Gets the hash code More...
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| DateTimeOffset | StartDate [get, set] |
| | The start date of the instrument. This is normally synonymous with the trade-date. More...
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| 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...
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| FlowConventions | FlowConventions [get, set] |
| | Gets or Sets FlowConventions More...
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| 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...
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| 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...
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| decimal? | CapRate [get, set] |
| | Optional cap, needed for LPI Legs or CPI Legs with Caps More...
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| decimal? | FloorRate [get, set] |
| | Optional floor, needed for LPI Legs or CPI Legs with Floors. More...
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| InflationIndexConventions | InflationIndexConventions [get, set] |
| | Gets or Sets InflationIndexConventions More...
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| decimal | Notional [get, set] |
| | The notional More...
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| 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...
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| 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, FlexibleLoan More...
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| 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
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BespokeCashFlowsLeg = 13
, Unknown = 14
, TermDeposit = 15
, ContractForDifference = 16
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EquitySwap = 17
, CashPerpetual = 18
, CapFloor = 19
, CashSettled = 20
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CdsIndex = 21
, Basket = 22
, FundingLeg = 23
, FxSwap = 24
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ForwardRateAgreement = 25
, SimpleInstrument = 26
, Repo = 27
, Equity = 28
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ExchangeTradedOption = 29
, ReferenceInstrument = 30
, ComplexBond = 31
, InflationLinkedBond = 32
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InflationSwap = 33
, SimpleCashFlowLoan = 34
, TotalReturnSwap = 35
, InflationLeg = 36
,
FundShareClass = 37
, FlexibleLoan = 38
} |
| | 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, FlexibleLoan More...
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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)
| string Lusid.Sdk.Model.InflationLeg.CalculationType |
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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].
| DateTimeOffset Lusid.Sdk.Model.InflationLeg.MaturityDate |
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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.
Public Member Functions inherited from Lusid.Sdk.Model.LusidInstrument