Index 1


Key Index 1 in
IRS refers to the floating rate index related to the first leg, expressed as an object of type Interest Rate
It may be left unspecified, in which case the corresponding leg is regarded as a fixed leg with a fixed rate (or rates) given by the entry in key
Spreads 1
Several values may be also entered here in the form of a
1D-array
The realized value of the index here observed at each cash flow period is used to calculate the respective cash flow amount as described in
IRS
Look at
Indexed Coupon for more information on how the index dates are defined in each period of the corresponding leg.
If n values are provided, then the first n cash flows are paired with the provided n values in successive order.
If any cash flows are left over, they will use the last value.