Swap

Overview

functions to construct and use Swap objects.

Function List

qlMakeCms ()
qlSwap ()
qlSwapLegAnalysis ()
qlSwapLegBPS ()
qlSwapLegNPV ()
qlSwapMaturityDate ()
qlSwapNumberOfLegs ()
qlSwapStartDate ()

Function Documentation

qlMakeCms

string returnValue
 
qlMakeCms(
        string ObjectId
        string SwapTenor
        string SwapIndex
        string IborIndex
        double IborSpread
        string ForwardStart
        string CmsCouponPricer
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Swap and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
SwapTenor	swap tenor period.
SwapIndex	SwapIndex object ID.
IborIndex	IborIndex object ID.
IborSpread	spread over the ibor leg. Default value = QuantLib::Null<QuantLib::Spread>().
ForwardStart	forward start period.
CmsCouponPricer	CmsCouponPricer object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwap

string returnValue
 
qlSwap(
        string ObjectId
        vector<string> LegIDs
        vector<bool> Payer
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Swap and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
LegIDs	leg object IDs.
Payer	TRUE for payed leg.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwapLegAnalysis

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

Description:

Returns the cash flow analysis of the i-th leg for the given Swap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::Swap object
LegNumber	Zero based leg number (e.g. use 0 for the first leg, 1 for the second leg, etc.).
AfterDate	Shows only cashflows after given date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlSwapLegBPS

double returnValue
 
qlSwapLegBPS(
        string ObjectId
        long LegNumber
        any Trigger)

Description:

returns the BPS of the i-th leg for the given Swap object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Swap object
LegNumber	Zero based leg number (e.g. use 0 for the first leg, 1 for the second leg, etc.).
Trigger	dependency tracking trigger

qlSwapLegNPV

double returnValue
 
qlSwapLegNPV(
        string ObjectId
        long LegNumber
        any Trigger)

Description:

returns the NPV of the i-th leg for the given Swap object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Swap object
LegNumber	Zero based leg number (e.g. use 0 for the first leg, 1 for the second leg, etc.).
Trigger	dependency tracking trigger

qlSwapMaturityDate

long returnValue
 
qlSwapMaturityDate(
        string ObjectId
        any Trigger)

Description:

Returns the maturity (i.e. last payment) date for the given Swap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlSwapNumberOfLegs

double returnValue
 
qlSwapNumberOfLegs(
        string ObjectId
        any Trigger)

Description:

returns the number of legs for the given Swap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlSwapStartDate

long returnValue
 
qlSwapStartDate(
        string ObjectId
        any Trigger)

Description:

Returns the start (i.e. first accrual) date for the given Swap object.

Supported Platforms:

Excel, Calc

Parameters

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