Cashflows, contracts and positions

QuantSupport represents many financial contracts as cashflows grouped into legs. An instrument collects contractual terms, including payment amounts, dates and observation rules. A trade adds the position held in that instrument. Pricers use these objects for valuation, and supported trades can also be converted into claims for exposure simulation.

Amounts and signs

A fixed coupon combines notional \(N\), a rate \(r\), and a rate definition. Its general amount is \(N(C(r,\tau)-1)\), where \(C\) is the compound factor. Only simple compounding reduces this to \(Nr\tau\). A floating coupon combines an observed or projected index rate with spread and accrual conventions. Optional coupon variants retain a cap, floor or more general payoff expression. Redemptions and disbursements represent principal movements separately.

A leg shares currency, side, projection identity and optional discount identity. Its side is LongReceive or PayShort, with signs \(+1\) and \(-1\). For a regular swap, leg zero is fixed and leg one is floating; the builder assigns opposite directions. Product-specific pricers and claim converters apply position direction according to their own contract/trade conventions. Do not multiply signs twice because both an instrument and a trade expose direction-related fields.

Cashflow reports show signed amounts: receipts are positive and payments are negative. The generic report applies leg direction and reverses disbursements, so an initial advance has the opposite sign to principal repayment. The loan pricer reports projected signed receipts after prepayment and credit adjustments.

Schedules are economic inputs

MakeSchedule and product builders convert start/maturity dates, payment frequency, calendar, business-day convention and generation rule into dated obligations. Front and back stubs, end-of-month behavior and termination-date adjustment can change amounts as well as payment dates.

A coupon has an accrual interval, an observation date or schedule, and a payment date. These dates serve different purposes. For example, a loan can pay monthly while resetting against EURIBOR annually. An OIS coupon compounds daily overnight observations with the appropriate accrual weights. Its observation rules determine which fixings enter the coupon, while payment lag determines when the resulting amount is paid.

DayCounter converts dates into accrual fractions. Curve interpolation can use a different day counter from the coupon; the equivalent projected rate must still be expressed on the coupon’s basis. Calendar adjustment also differs from day-count measurement. Neither can be inferred from a displayed rate alone.

Calendars

Generic builders often default to a null calendar and unadjusted dates; market-specific builders may apply presets. SOFR OIS uses its index calendar, while SONIA and TONAR use London and Japanese settlement holidays. Canonical serialized forms include UnitedKingdom(Settlement) and Japan.

Joint calendars encode which markets must be open. JoinHolidays requires all components to be business days; JoinBusinessDays requires at least one. Canonical nested definitions round-trip through JSON. Local holiday overrides participate in calculations, but serialization stores the calendar definition, not an independently complete record of mutable overrides.

Holiday rules are historical models too. London recurring rules follow the regime since 1971; Japan’s public-holiday rules begin in July 1948. Future Japanese equinox dates remain estimates until announced, and exceptional closures require updates or explicit local overrides.

Builders and positions

Make* makers retain contractual inputs. Their MakeInstrument::build method uses supplied parameters; build_using supplies a reference date and market observations when needed. Both methods return concrete instruments for trades and pricers. Missing context dependencies raise UnresolvedProductErr. See Building instruments explicitly.

Makers validate required terms and construct the instrument. Check their defaults against the contract’s market conventions. MakeSwap produces regular single-fixing coupons; MakeOvernightIndexSwap starts from index-specific overnight conventions. Bond and loan builders have distinct principal, schedule and optionality responsibilities.

A trade adds date, side and position sizing as supported by the product. Bond positions additionally carry a clean/dirty price or spread anchor. Discounting remains a pricing policy rather than a general contractual promise embedded in every instrument.

For simulation, supported trades implement IntoContingentClaims. Each claim represents a scheduled payment with evaluation instructions and stable trade and leg identifiers. Conversion checks whether the exposure implementation supports the contract’s features. The legacy claim converter, for example, rejects nonstandard overnight conventions.