A few swap suggestions (I have implemented most of these locally, happy to contribute into a pull request):
- notional schedule. Allows for swaps with rolling/amortizing notional. Can be backwards compatible, where notional passed into constructor is (float,list)
- refactor SwapLeg classes into a SwapLeg as a common object, and subclasses Fixed and Floating. Apart from string representation, the major difference is how the coupon for a period is calculated. Clearer separating IMO allows for easier implementations of things like libor-in-arrears or compounding swaps.
- expose some more protected attributes via properties, including exposing the legs from the swap class.
A few swap suggestions (I have implemented most of these locally, happy to contribute into a pull request):