TFeeLeg Struct Reference

Fee leg with fixed payments. More...

#include <cx.h>

Data Fields

int nbDates
 Defines array size for accStartDates, accEndDates, payDates, notionals, couponRates.
 Array of size nbDates. Start date for calculating accrued interest.
 Array of size nbDates. End date for calculating accrued interest.
 Array of size nbDates. Payment date for each fee payment.
double notional
double couponRate
 Coupon rate of fee payment.
long dcc
 Day count convention for computing fee payments and accruals in case of default.
TAccrualPayConv accrualPayConv
 Determines how accruals are handled in case of default.
TBoolean obsStartOfDay
 Denotes whether observation of defaults is at the start of the day or the end of the day for the accrual start and end dates.

Detailed Description

Fee leg with fixed payments.
The documentation for this struct was generated from the following file:

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