Is it possible (or are there any examples) of modelling a loan using Strata that has several interest rates to replicate the behaviour of, for example, a mortgage with a fixed interest rate period followed by a remaining term that tracks a base rate + margin (e.g. Bank of England + 5%)?
The holiday, day count, and schedule generation looks like it’s exactly what I need to calculate the accrual periods. Should I model this as a Swap with a single SwapLeg? Do I then need to create some sort of custom market data to represent the interest rates that apply?
I’ve had a look at the examples in the repo, but can’t quite see one that matches this example.
Many thanks for your guidance!