FixedLegMtm#

class rateslib.legs.FixedLegMtm(*args, fixed_rate=NoInput.blank, **kwargs)#

Bases: _FixedLegMixin, BaseLegMtm

Create a leg of FixedPeriod s and initial, mtm and final Cashflow s.

Parameters:

  • args (dict) – Required positional args to BaseLeg.

  • fixed_rate (float or None) – The fixed rate applied to determine cashflows. Can be set to None and designated later, perhaps after a mid-market rate for all periods has been calculated.

  • fx_fixings (float, Dual, Dual2, list of such) – Specify a known initial FX fixing or a list of such for historical legs. Fixings that are not specified will be calculated at pricing time with an FXForwards object.

  • alt_currency (str) – The alternative currency against which mark-to-market fixings and payments are made. This is considered as the domestic currency in FX fixings.

  • alt_notional (float, optional) – The notional of the alternative currency from which to calculate notional under the determined fx_fixings. If None sets a default for alt_notional.

  • kwargs (dict) – Required keyword arguments to BaseLeg.

Notes

Warning

amortization is currently not implemented for on FloatLegExchangeMtm.

notional is not used on an FloatLegMtm. It is determined from alt_notional under given fx_fixings.

currency and alt_currency are required in order to determine FX fixings from an FXForwards object at pricing time.

Examples

For an example see Mtm Legs.

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