I would like to calculate cash flows for FRNs (Floating Rate Notes).
I couldn’t find a class representing FRNs in the Strata library. Is there one?
(cf. Pricing Floating Rate Notes )
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?
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” ?
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?