IR Swap Rollout of date sequence from September 2016 to 2017 with semi-annual frequency arrange { rollOut("2016-09-01", "2017-09-01", Frequency.SemiAnnual) { val floating = interest(notional, "act/365", fix("LIBOR", start, Tenor("6M")), start, end) val fixed = interest(notional, "act/365", Note placeholders for start and end date for interval 0.5, start, end) actions { (acmeCorp or highSteetBank).may { "exercise floating".anytime { highStreetBank.owes(acmeCorp, floating - fixed, GBP) next() } "exercise fixed".anytime { Links to next interval in date sequence acmeCorp.owes(highStreetBank, fixed - floating, GBP) next() } } } } } UNRESTRICTED 99