Overview

functions to construct and use CmsMarket objects.

Function List

Function Documentation

qlBrowseCmsMarket

vector<vector<any> > returnValue
 
qlBrowseCmsMarket(
        string ObjectId
        any Trigger)

Description:

return the market and implied spreads matrix.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::CmsMarket object
Trigger	dependency tracking trigger

qlCmsMarket

string returnValue
 
qlCmsMarket(
        string ObjectId
        vector<string> SwapLengths
        vector<string> SwapIndexes
        string IborIndex
        vector<vector<string> > BidAskSpreads
        vector<string> CmsCouponPricers
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CmsMarket and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
SwapLengths	vector of swap lengths.
SwapIndexes	vector of SwapIndex object IDs.
IborIndex	IborIndex object ID.
BidAskSpreads	matrix of bid/ask cms quotes (spread over ibor leg).
CmsCouponPricers	vector of HaganPricer object IDs.
YieldCurve	discounting YieldTermStructure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag