BTP

Overview

functions to construct and use BTP objects.

Function List

qlBTP ()
qlBTP2 ()
qlCCTEU ()
qlRendistatoBasket ()
qlRendistatoBasketOutstanding ()
qlRendistatoBasketOutstandings ()
qlRendistatoBasketSize ()
qlRendistatoBasketWeights ()
qlRendistatoCalculator ()
qlRendistatoCalculatorDuration ()
qlRendistatoCalculatorDurations ()
qlRendistatoCalculatorEquivalentSwapDuration ()
qlRendistatoCalculatorEquivalentSwapLength ()
qlRendistatoCalculatorEquivalentSwapRate ()
qlRendistatoCalculatorEquivalentSwapSpread ()
qlRendistatoCalculatorEquivalentSwapYield ()
qlRendistatoCalculatorSwapDurations ()
qlRendistatoCalculatorSwapLengths ()
qlRendistatoCalculatorSwapRates ()
qlRendistatoCalculatorSwapYields ()
qlRendistatoCalculatorYield ()
qlRendistatoCalculatorYields ()
qlRendistatoEquivalentSwapLengthQuote ()
qlRendistatoEquivalentSwapSpreadQuote ()

Function Documentation

qlBTP

string returnValue
 
qlBTP(
        string ObjectId
        string Description
        long MaturityDate
        double Coupon
        long StartDate
        long IssueDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BTP and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null. Default value = std::string().
MaturityDate	maturityDate date.
Coupon	simple annual compounding coupon rate.
StartDate	accrual first start date. Default value = QuantLib::Date().
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBTP2

string returnValue
 
qlBTP2(
        string ObjectId
        string Description
        long MaturityDate
        double Coupon
        double Redemption
        long StartDate
        long IssueDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BTP and return its id, allowing for non-100 redemption.

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null. Default value = std::string().
MaturityDate	maturityDate date.
Coupon	simple annual compounding coupon rate.
Redemption	Redemption value. Default value = 100.0.
StartDate	accrual first start date. Default value = QuantLib::Date().
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCCTEU

string returnValue
 
qlCCTEU(
        string ObjectId
        string Description
        long MaturityDate
        double Spread
        string FwdCurve
        long StartDate
        long IssueDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CCTEU and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null. Default value = std::string().
MaturityDate	maturityDate date.
Spread	spread over Euribor6M.
FwdCurve	Forwarding YieldTermStructure object ID.
StartDate	accrual first start date. Default value = QuantLib::Date().
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRendistatoBasket

string returnValue
 
qlRendistatoBasket(
        string ObjectId
        vector<string> BTPs
        vector<double> Outstandings
        vector<string> Prices
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RendistatoBasket and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
BTPs	BTP IDs.
Outstandings	BTP outstanding amounts.
Prices	BTP clean prices Quotes.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRendistatoBasketOutstanding

double returnValue
 
qlRendistatoBasketOutstanding(
        string ObjectId
        any Trigger)

Description:

Returns the overall outstanding of the BTPs in the RendistatoBasket.

Supported Platforms:

Excel

Parameters

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

qlRendistatoBasketOutstandings

vector<double> returnValue
 
qlRendistatoBasketOutstandings(
        string ObjectId
        any Trigger)

Description:

Returns the outstandings of the BTPs in the RendistatoBasket.

Supported Platforms:

Excel

Parameters

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

qlRendistatoBasketSize

long returnValue
 
qlRendistatoBasketSize(
        string ObjectId
        any Trigger)

Description:

Returns the number of BTPs in the RendistatoBasket.

Supported Platforms:

Excel

Parameters

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

qlRendistatoBasketWeights

vector<double> returnValue
 
qlRendistatoBasketWeights(
        string ObjectId
        any Trigger)

Description:

Returns the weights of the BTPs in the RendistatoBasket.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculator

string returnValue
 
qlRendistatoCalculator(
        string ObjectId
        string RendistatoBasket
        string Euribor
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RendistatoCalculator and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
RendistatoBasket	RendistatoBasket object ID.
Euribor	Euribor index object ID.
YieldCurve	discounting YieldTermStructure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRendistatoCalculatorDuration

double returnValue
 
qlRendistatoCalculatorDuration(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's duration.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorDurations

vector<double> returnValue
 
qlRendistatoCalculatorDurations(
        string ObjectId
        any Trigger)

Description:

Returns the durations of the BTPs in the RendistatoCalculator's underlying basket.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorEquivalentSwapDuration

double returnValue
 
qlRendistatoCalculatorEquivalentSwapDuration(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swap duration.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorEquivalentSwapLength

double returnValue
 
qlRendistatoCalculatorEquivalentSwapLength(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swap lenght in years.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorEquivalentSwapRate

double returnValue
 
qlRendistatoCalculatorEquivalentSwapRate(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swap rate.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorEquivalentSwapSpread

double returnValue
 
qlRendistatoCalculatorEquivalentSwapSpread(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swap spread.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorEquivalentSwapYield

double returnValue
 
qlRendistatoCalculatorEquivalentSwapYield(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swap yield.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorSwapDurations

vector<double> returnValue
 
qlRendistatoCalculatorSwapDurations(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swaps' durations.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorSwapLengths

vector<double> returnValue
 
qlRendistatoCalculatorSwapLengths(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swaps' lengths.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorSwapRates

vector<double> returnValue
 
qlRendistatoCalculatorSwapRates(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swaps' rates.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorSwapYields

vector<double> returnValue
 
qlRendistatoCalculatorSwapYields(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's equivalent swaps' yields.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorYield

double returnValue
 
qlRendistatoCalculatorYield(
        string ObjectId
        any Trigger)

Description:

Returns RendistatoCalculator's yield.

Supported Platforms:

Excel

Parameters

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

qlRendistatoCalculatorYields

vector<double> returnValue
 
qlRendistatoCalculatorYields(
        string ObjectId
        any Trigger)

Description:

Returns the yields of the BTPs in the RendistatoCalculator's underlying basket.

Supported Platforms:

Excel

Parameters

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

qlRendistatoEquivalentSwapLengthQuote

string returnValue
 
qlRendistatoEquivalentSwapLengthQuote(
        string ObjectId
        string RendistatoCalculator
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RendistatoEquivalentSwapLengthQuote and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
RendistatoCalculator	RendistatoCalculator object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRendistatoEquivalentSwapSpreadQuote

string returnValue
 
qlRendistatoEquivalentSwapSpreadQuote(
        string ObjectId
        string RendistatoCalculator
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RendistatoEquivalentSwapSpreadQuote and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
RendistatoCalculator	RendistatoCalculator object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag