Cash flows (for Floating Rate Notes)


I would like to calculate cash flows for FRNs (Floating Rate Notes).

  1. I couldn’t find a class representing FRNs in the Strata library. Is there one?
    (cf. Pricing Floating Rate Notes )

  2. I tried passing/casting a IborIndex to CapitalIndexedBond but failed. Is this such a bad idea, or why won’t CapitalIndexedBond accept a libor index?

  3. I have managed to create cash flows for Swaps, cf. StandardIborSwapConventions.
    I have managed to create cash flows for FixedCouponBond.
    Is there anything (theoretical/practical) stopping me from accurately calculating the cash flows by constructing the FRN synthetically; something similar to “FRN cashflow = Swap floating leg cashflow” OR “FRN cashflow = Swap cashflow minus fixed coupon bond cashflow” ?

  4. What is the difference between the internal representation of, say, FixedRateSwapLegConvention and a FixedCouponBond in terms of cash flows? Are they just different classes representing the same idea, or am I missing something more fundamental here?

Thank you,

For others in the same situation as I was above: many of the questions were answered by examining the floating leg of a swap. It is not a contract, but represents a stream of floating rate cash flows.

Cf the unit test


in strata-measure