leg_type

Payoff type of a derivative leg, which may be a stand-alone trade (e.g. fra, cap), or part of an instrument refered to in the derivative_type attibute (eg. vanilla_swap). The atribute is an enum with the following members:

fixed

the leg cash flows are fixed amounts

floating

cashflows are floating interest amount linked to a rate index ((e.g. USD_LIBOR_BBA) populated in the underlying_index attribute; the notional amount is fixed (not indexed). Used only for the interest rate asset class.

indexed

cashflows are linked to the performance/price variation of an underlying index (e.g inflation, equity index, security price, etc.) for transactions in all asset classes

call

option leg in any asset class with variable amounts equal to max(underlying value - strike, 0)

put

option leg in any asset class with variable amounts equal to max(strike - underlying value, 0)