IR “Swaplet” Calculation of interest of floating and fixed leg. Floating leg uses placeholder for LIBOR fixing. arrange { val floating = interest(notional, "act/365", fix("LIBOR", "2016-04-01", Tenor("6M")), "2016-04-01", "2016-10-01") val fixed = interest(notional, "act/365", 0.5, "2016-04-01", "2016-10-01") Choice of exercise depends on which is larger, actions { (acmeCorp or highSteetBank).may { fixed or floating leg "exercise floating".anytime { highStreetBank.owes(acmeCorp, floating - fixed, GBP) } "exercise fixed".anytime { acmeCorp.owes(highStreetBank, fixed - floating, GBP) } } } } UNRESTRICTED 98