LUSID representation of an Interest Rate Swap, including: * Vanilla (single currency fixed-float non-amortising) * CrossCurrency (>1 currency is used by the swap legs) * Basis (single currency, floating-floating legs of different tenors) * Amortising (the swap has 1+ leg with amortised notional) More...
Public Member Functions | |
| InterestRateSwap (DateTimeOffset startDate=default(DateTimeOffset), DateTimeOffset maturityDate=default(DateTimeOffset), bool isNonDeliverable=default(bool), List< InstrumentLeg > legs=default(List< InstrumentLeg >), string settlementCcy=default(string), InstrumentTypeEnum instrumentType=default(InstrumentTypeEnum)) | |
| Initializes a new instance of the InterestRateSwap 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 (InterestRateSwap input) |
| Returns true if InterestRateSwap 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 | |
| InterestRateSwap () | |
| Initializes a new instance of the InterestRateSwap 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... | |
| bool | IsNonDeliverable [get, set] |
| Is the contract an IRS of "Non-Deliverable" type, meaning a single payment in the settlement currency based on the difference between the fixed and floating rates. More... | |
| List< InstrumentLeg > | Legs [get, set] |
| The set of instrument legs that define the swap instrument, these should be FloatingLeg or FixedLeg. More... | |
| string | SettlementCcy [get, set] |
| Settlement currency if IRS is non-deliverable. 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 an Interest Rate Swap, including: * Vanilla (single currency fixed-float non-amortising) * CrossCurrency (>1 currency is used by the swap legs) * Basis (single currency, floating-floating legs of different tenors) * Amortising (the swap has 1+ leg with amortised notional)
Constructor & Destructor Documentation
◆ InterestRateSwap() [1/2]
|
inlineprotected |
Initializes a new instance of the InterestRateSwap class.
◆ InterestRateSwap() [2/2]
|
inline |
Initializes a new instance of the InterestRateSwap 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 that may well be observed or set prior to the maturity date, but refer to a termination date beyond it. (required). isNonDeliverable Is the contract an IRS of "Non-Deliverable" type, meaning a single payment in the settlement currency based on the difference between the fixed and floating rates.. legs The set of instrument legs that define the swap instrument, these should be FloatingLeg or FixedLeg. (required). settlementCcy Settlement currency if IRS is non-deliverable.. 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 "InterestRateSwap").
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 InterestRateSwap instances are equal
- Parameters
-
input Instance of InterestRateSwap 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
◆ IsNonDeliverable
|
getset |
Is the contract an IRS of "Non-Deliverable" type, meaning a single payment in the settlement currency based on the difference between the fixed and floating rates.
Is the contract an IRS of "Non-Deliverable" type, meaning a single payment in the settlement currency based on the difference between the fixed and floating rates.
◆ Legs
|
getset |
The set of instrument legs that define the swap instrument, these should be FloatingLeg or FixedLeg.
The set of instrument legs that define the swap instrument, these should be FloatingLeg or FixedLeg.
◆ 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.
◆ SettlementCcy
|
getset |
Settlement currency if IRS is non-deliverable.
Settlement currency if IRS is non-deliverable.
◆ 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/InterestRateSwap.cs
