sdk.lusid.models.leg_definition.LegDefinition¶
- class LegDefinition(convention_name=None, conventions=None, index_convention=None, index_convention_name=None, notional_exchange_type=None, pay_receive=None, rate_or_spread=None, reset_convention=None, stub_type=None, compounding=None, amortisation=None, first_regular_payment_date=None, first_coupon_type=None, last_regular_payment_date=None, last_coupon_type=None, local_vars_configuration=None)[source]¶
Bases:
object
NOTE: This class is auto generated by OpenAPI Generator. Ref: https://openapi-generator.tech
Do not edit the class manually.
LegDefinition - a model defined in OpenAPI”
- Parameters:
convention_name (lusid.FlowConventionName) –
conventions (lusid.FlowConventions) –
index_convention (lusid.IndexConvention) –
index_convention_name (lusid.FlowConventionName) –
notional_exchange_type (str) – what type of notional exchange does the leg have Supported string (enumeration) values are: [None, Initial, Final, Both]. (required)
pay_receive (str) – Is the leg to be paid or received Supported string (enumeration) values are: [Pay, Receive]. (required)
rate_or_spread (float) – Is there either a fixed rate (non-zero) or spread to be paid over the value of the leg. (required)
reset_convention (str) – Control how resets are generated relative to swap payment convention(s). Supported string (enumeration) values are: [InAdvance, InArrears].
stub_type (str) – If a stub is required should it be at the front or back of the leg. Supported string (enumeration) values are: [None, ShortFront, ShortBack, LongBack, LongFront, Both]. (required)
compounding (lusid.Compounding) –
amortisation (lusid.StepSchedule) –
first_regular_payment_date (datetime) – Optional payment date of the first regular coupon. Must be greater than the StartDate. If set, the regular coupon schedule will be built such that the first regular coupon will end on this date. The start date of this coupon will be calculated as normal and a stub coupon will be created from the StartDate to the start of the first regular coupon.
first_coupon_type (str) – Optional coupon type setting for the first coupon, can be used with Stub coupons. If set to “ProRata” (the default), the coupon year fraction is calculated as normal, however if set to “Full” the year fraction is overwritten with the standard year fraction for a regular ful” coupon. Note this does not use the day count convention but rather is defined directly from the tenor (i.e. a quarterly leg will be set to 0.25). Supported string (enumeration) values are: [ProRata, Full].
last_regular_payment_date (datetime) – Optional payment date of the last regular coupon. Must be less than the Maturity date. If set, the regular coupon schedule will be built up to this date and the final coupon will be a stub between this date and the Maturity date.
last_coupon_type (str) – Optional coupon type setting for the last coupon, can be used with Stub coupons. If set to “ProRata” (the default), the coupon year fraction is calculated as normal, however if set to “Full” the year fraction is overwritten with the standard year fraction for a regular ful” coupon. Note this does not use the day count convention but rather is defined directly from the tenor (i.e. a quarterly leg will be set to 0.25). Supported string (enumeration) values are: [ProRata, Full].
Methods
Returns the model properties as a dict
Returns the string representation of the model
Attributes
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openapi_types
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required_map
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- property amortisation¶
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- Returns:
The amortisation of this LegDefinition. # noqa: E501
- Return type:
lusid.StepSchedule
- Type:
Gets the amortisation of this LegDefinition. # noqa
- property compounding¶
E501
- Returns:
The compounding of this LegDefinition. # noqa: E501
- Return type:
lusid.Compounding
- Type:
Gets the compounding of this LegDefinition. # noqa
- property convention_name¶
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- Returns:
The convention_name of this LegDefinition. # noqa: E501
- Return type:
lusid.FlowConventionName
- Type:
Gets the convention_name of this LegDefinition. # noqa
- property conventions¶
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- Returns:
The conventions of this LegDefinition. # noqa: E501
- Return type:
lusid.FlowConventions
- Type:
Gets the conventions of this LegDefinition. # noqa
- property first_coupon_type¶
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Optional coupon type setting for the first coupon, can be used with Stub coupons. If set to “ProRata” (the default), the coupon year fraction is calculated as normal, however if set to “Full” the year fraction is overwritten with the standard year fraction for a regular ful” coupon. Note this does not use the day count convention but rather is defined directly from the tenor (i.e. a quarterly leg will be set to 0.25). Supported string (enumeration) values are: [ProRata, Full]. # noqa: E501
- Returns:
The first_coupon_type of this LegDefinition. # noqa: E501
- Return type:
- Type:
Gets the first_coupon_type of this LegDefinition. # noqa
- property first_regular_payment_date¶
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Optional payment date of the first regular coupon. Must be greater than the StartDate. If set, the regular coupon schedule will be built such that the first regular coupon will end on this date. The start date of this coupon will be calculated as normal and a stub coupon will be created from the StartDate to the start of the first regular coupon. # noqa: E501
- Returns:
The first_regular_payment_date of this LegDefinition. # noqa: E501
- Return type:
datetime
- Type:
Gets the first_regular_payment_date of this LegDefinition. # noqa
- property index_convention¶
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- Returns:
The index_convention of this LegDefinition. # noqa: E501
- Return type:
lusid.IndexConvention
- Type:
Gets the index_convention of this LegDefinition. # noqa
- property index_convention_name¶
E501
- Returns:
The index_convention_name of this LegDefinition. # noqa: E501
- Return type:
lusid.FlowConventionName
- Type:
Gets the index_convention_name of this LegDefinition. # noqa
- property last_coupon_type¶
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Optional coupon type setting for the last coupon, can be used with Stub coupons. If set to “ProRata” (the default), the coupon year fraction is calculated as normal, however if set to “Full” the year fraction is overwritten with the standard year fraction for a regular ful” coupon. Note this does not use the day count convention but rather is defined directly from the tenor (i.e. a quarterly leg will be set to 0.25). Supported string (enumeration) values are: [ProRata, Full]. # noqa: E501
- Returns:
The last_coupon_type of this LegDefinition. # noqa: E501
- Return type:
- Type:
Gets the last_coupon_type of this LegDefinition. # noqa
- property last_regular_payment_date¶
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Optional payment date of the last regular coupon. Must be less than the Maturity date. If set, the regular coupon schedule will be built up to this date and the final coupon will be a stub between this date and the Maturity date. # noqa: E501
- Returns:
The last_regular_payment_date of this LegDefinition. # noqa: E501
- Return type:
datetime
- Type:
Gets the last_regular_payment_date of this LegDefinition. # noqa
- property notional_exchange_type¶
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what type of notional exchange does the leg have Supported string (enumeration) values are: [None, Initial, Final, Both]. # noqa: E501
- Returns:
The notional_exchange_type of this LegDefinition. # noqa: E501
- Return type:
- Type:
Gets the notional_exchange_type of this LegDefinition. # noqa
- property pay_receive¶
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Is the leg to be paid or received Supported string (enumeration) values are: [Pay, Receive]. # noqa: E501
- Returns:
The pay_receive of this LegDefinition. # noqa: E501
- Return type:
- Type:
Gets the pay_receive of this LegDefinition. # noqa
- property rate_or_spread¶
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Is there either a fixed rate (non-zero) or spread to be paid over the value of the leg. # noqa: E501
- Returns:
The rate_or_spread of this LegDefinition. # noqa: E501
- Return type:
- Type:
Gets the rate_or_spread of this LegDefinition. # noqa
- property reset_convention¶
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Control how resets are generated relative to swap payment convention(s). Supported string (enumeration) values are: [InAdvance, InArrears]. # noqa: E501
- Returns:
The reset_convention of this LegDefinition. # noqa: E501
- Return type:
- Type:
Gets the reset_convention of this LegDefinition. # noqa
- property stub_type¶
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If a stub is required should it be at the front or back of the leg. Supported string (enumeration) values are: [None, ShortFront, ShortBack, LongBack, LongFront, Both]. # noqa: E501
- Returns:
The stub_type of this LegDefinition. # noqa: E501
- Return type:
- Type:
Gets the stub_type of this LegDefinition. # noqa