Asset Swap

Overview

functions to construct and use AssetSwap objects.

Function List

qlAssetSwap ()
qlAssetSwap2 ()
qlAssetSwapBondLegAnalysis ()
qlAssetSwapFairCleanPrice ()
qlAssetSwapFairNonParRepayment ()
qlAssetSwapFairSpread ()
qlAssetSwapFloatingLegAnalysis ()
qlAssetSwapFloatingLegBPS ()
qlAssetSwapParSwap ()
qlAssetSwapPayBondCoupon ()

Function Documentation

qlAssetSwap

string returnValue
 
qlAssetSwap(
        string ObjectId
        bool PayBondCoupon
        string Bond
        double CleanPrice
        string IborIndex
        double Spread
        string FloatingLegSchedule
        string FloatingLegDayCounter
        bool ParAssetSwap
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class AssetSwap and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
PayBondCoupon	TRUE to pay the bond's coupons and receive floating. Default value = false.
Bond	underlying bond object ID.
CleanPrice	market price of the underlying bond.
IborIndex	floating leg IborIndex object ID.
Spread	Floating leg spread. Default value = 0.0.
FloatingLegSchedule	floating leg schedule object ID. Default value = .
FloatingLegDayCounter	floating day counter (e.g. Actual/360).
ParAssetSwap	TRUE for par asset swap, FALSE for market asset swap. Default value = true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlAssetSwap2

string returnValue
 
qlAssetSwap2(
        string ObjectId
        bool ParAssetSwap
        string Bond
        double CleanPrice
        double NonParRepayment
        double Gearing
        string IborIndex
        double Spread
        string FloatingLegDayCounter
        long DealMaturity
        bool PayBondCoupon
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class AssetSwap and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
ParAssetSwap	TRUE for par asset swap, FALSE for market asset swap. Default value = true.
Bond	underlying bond object ID.
CleanPrice	market price of the underlying bond.
NonParRepayment	non par repayment on deal maturity date.
Gearing	gearing. Default value = 1.0.
IborIndex	floating leg IborIndex object ID.
Spread	Floating leg spread. Default value = 0.0.
FloatingLegDayCounter	floating day counter (e.g. Actual/360). Default value = QuantLib::DayCounter().
DealMaturity	deal maturity (bond maturity if missing). Default value = QuantLib::Date().
PayBondCoupon	TRUE to pay the bond's coupons and receive floating. Default value = false.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlAssetSwapBondLegAnalysis

vector<vector<any> > returnValue
 
qlAssetSwapBondLegAnalysis(
        string ObjectId
        long AfterDate
        any Trigger)

Description:

The bond leg cash flow analysis.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::AssetSwap object
AfterDate	Shows only cashflows after given date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlAssetSwapFairCleanPrice

double returnValue
 
qlAssetSwapFairCleanPrice(
        string ObjectId
        any Trigger)

Description:

the fair price of the bond in the asset swap.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::AssetSwap object
Trigger	dependency tracking trigger

qlAssetSwapFairNonParRepayment

double returnValue
 
qlAssetSwapFairNonParRepayment(
        string ObjectId
        any Trigger)

Description:

the fair non par repayment of the bond in the asset swap.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::AssetSwap object
Trigger	dependency tracking trigger

qlAssetSwapFairSpread

double returnValue
 
qlAssetSwapFairSpread(
        string ObjectId
        any Trigger)

Description:

the fair rate of the asset swap, i.e. the asset swap spread.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::AssetSwap object
Trigger	dependency tracking trigger

qlAssetSwapFloatingLegAnalysis

vector<vector<any> > returnValue
 
qlAssetSwapFloatingLegAnalysis(
        string ObjectId
        long AfterDate
        any Trigger)

Description:

The floating leg cash flow analysis.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLibAddin::AssetSwap object
AfterDate	Shows only cashflows after given date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlAssetSwapFloatingLegBPS

double returnValue
 
qlAssetSwapFloatingLegBPS(
        string ObjectId
        any Trigger)

Description:

the BPS of the floating leg.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::AssetSwap object
Trigger	dependency tracking trigger

qlAssetSwapParSwap

bool returnValue
 
qlAssetSwapParSwap(
        string ObjectId
        any Trigger)

Description:

Returns TRUE if par swap

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::AssetSwap object
Trigger	dependency tracking trigger

qlAssetSwapPayBondCoupon

bool returnValue
 
qlAssetSwapPayBondCoupon(
        string ObjectId
        any Trigger)

Description:

Returns TRUE if it is a bond coupon payer swap

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::AssetSwap object
Trigger	dependency tracking trigger