products.md

Basic Products

Financial instruments are decomposed into legs.

A product is a collection of one or more legs.

Basic Cash Flow Legs

DiffFusion.CashFlowLeg

DiffFusion.DeterministicCashFlowLeg

DiffFusion.cashflow_leg

Cross Currency Swap Legs

DiffFusion.MtMCashFlowLeg

DiffFusion.mtm_cashflow_leg

Cash and Assets

DiffFusion.CashBalanceLeg

DiffFusion.cash_balance_leg

DiffFusion.AssetLeg

Cash Flow Leg Functions

Future Cash Flows (Undiscounted)

DiffFusion.future_cashflows(leg::DiffFusion.CashFlowLeg, obs_time::ModelTime)

DiffFusion.future_cashflows(leg::DiffFusion.DeterministicCashFlowLeg, obs_time::ModelTime)

DiffFusion.future_cashflows(leg::DiffFusion.MtMCashFlowLeg, obs_time::ModelTime)

DiffFusion.future_cashflows(leg::DiffFusion.AssetLeg, obs_time::ModelTime)

DiffFusion.future_cashflows(leg::DiffFusion.CashBalanceLeg, obs_time::ModelTime)

Discounted Cash Flows

DiffFusion.discounted_cashflows(leg::DiffFusion.CashFlowLeg, obs_time::ModelTime)

DiffFusion.discounted_cashflows(leg::DiffFusion.DeterministicCashFlowLeg, obs_time::ModelTime)

DiffFusion.discounted_cashflows(leg::DiffFusion.MtMCashFlowLeg, obs_time::ModelTime)

DiffFusion.discounted_cashflows(leg::DiffFusion.AssetLeg, obs_time::ModelTime)

DiffFusion.discounted_cashflows(leg::DiffFusion.CashBalanceLeg, obs_time::ModelTime)