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

to_dict

Returns the model properties as a dict

to_str

Returns the string representation of the model

Attributes

amortisation

E501

attribute_map

compounding

E501

convention_name

E501

conventions

E501

first_coupon_type

E501

first_regular_payment_date

E501

index_convention

E501

index_convention_name

E501

last_coupon_type

E501

last_regular_payment_date

E501

notional_exchange_type

E501

openapi_types

pay_receive

E501

rate_or_spread

E501

required_map

reset_convention

E501

stub_type

E501
property amortisation

E501

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

E501

Returns:

The convention_name of this LegDefinition. # noqa: E501

Return type:

lusid.FlowConventionName

Type:

Gets the convention_name of this LegDefinition. # noqa

property conventions

E501

Returns:

The conventions of this LegDefinition. # noqa: E501

Return type:

lusid.FlowConventions

Type:

Gets the conventions of this LegDefinition. # noqa

property first_coupon_type

E501

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:

str

Type:

Gets the first_coupon_type of this LegDefinition. # noqa

property first_regular_payment_date

E501

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

E501

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

E501

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:

str

Type:

Gets the last_coupon_type of this LegDefinition. # noqa

property last_regular_payment_date

E501

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

E501

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:

str

Type:

Gets the notional_exchange_type of this LegDefinition. # noqa

property pay_receive

E501

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:

str

Type:

Gets the pay_receive of this LegDefinition. # noqa

property rate_or_spread

E501

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:

float

Type:

Gets the rate_or_spread of this LegDefinition. # noqa

property reset_convention

E501

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:

str

Type:

Gets the reset_convention of this LegDefinition. # noqa

property stub_type

E501

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:

str

Type:

Gets the stub_type of this LegDefinition. # noqa

to_dict(serialize=False)[source]

Returns the model properties as a dict

to_str()[source]

Returns the string representation of the model