For the. intermediate periods, there is a contribution to the payment due to changes in the forecast curve and a contribution to the change in notional over the period
an end of period cash flow that is something similar to this this …
- notional(at start) * (rate + spread) * yearFraction
- notional(end of period) minus notional (start of period)
the first term is common to most IRswaps, and i can see in strata how/where this piece is calculated
I just could not find where the second term is accounted for in strata, even after looking at SwapCrossCurrencyEnd2EndTest as well as the examples module
i am sure this term is accounted for, i just cannot locate where.
could you please point me to where this second term is calculated/considered in the pricers?