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Some swap suggestions #177

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vlade21 opened this issue Apr 11, 2023 · 0 comments
Open

Some swap suggestions #177

vlade21 opened this issue Apr 11, 2023 · 0 comments

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@vlade21
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vlade21 commented Apr 11, 2023

A few swap suggestions (I have implemented most of these locally, happy to contribute into a pull request):

  • notional schedule. Allows for swaps with rolling/amortizing notional. Can be backwards compatible, where notional passed into constructor is (float,list)
  • refactor SwapLeg classes into a SwapLeg as a common object, and subclasses Fixed and Floating. Apart from string representation, the major difference is how the coupon for a period is calculated. Clearer separating IMO allows for easier implementations of things like libor-in-arrears or compounding swaps.
  • expose some more protected attributes via properties, including exposing the legs from the swap class.
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