Vanilla Swap

Overview

functions to construct and use VanillaSwap objects.

Function List

qlMakeIMMSwap ()
qlMakeVanillaSwap ()
qlVanillaSwap ()
qlVanillaSwapFairRate ()
qlVanillaSwapFairSpread ()
qlVanillaSwapFixedDayCount ()
qlVanillaSwapFixedLegAnalysis ()
qlVanillaSwapFixedLegBPS ()
qlVanillaSwapFixedLegNPV ()
qlVanillaSwapFixedRate ()
qlVanillaSwapFloatingDayCount ()
qlVanillaSwapFloatingLegAnalysis ()
qlVanillaSwapFloatingLegBPS ()
qlVanillaSwapFloatingLegNPV ()
qlVanillaSwapFromSwapIndex ()
qlVanillaSwapFromSwapRateHelper ()
qlVanillaSwapNominal ()
qlVanillaSwapPaymentConvention ()
qlVanillaSwapSpread ()
qlVanillaSwapType ()

Function Documentation

qlMakeIMMSwap

string returnValue
 
qlMakeIMMSwap(
        string ObjectId
        string SwapTenor
        string IborIndex
        double FixedRate
        long FirstImmDate
        string FixDayCounter
        double Spread
        string PricingEngineID
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class VanillaSwap and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
SwapTenor	swap tenor period (e.g. 2Y).
IborIndex	floating IborIndex object ID.
FixedRate	the fixed leg rate. If missing atm rate is used. Default value = QuantLib::Null<QuantLib::Rate>().
FirstImmDate	First (IMM) date. Default value = QuantLib::Date().
FixDayCounter	fixed leg day counter. Default value = 30/360 (Bond Basis).
Spread	floating leg spread. Default value = 0.0.
PricingEngineID	DiscountSwapEngine object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMakeVanillaSwap

string returnValue
 
qlMakeVanillaSwap(
        string ObjectId
        long SettlDays
        string SwapTenor
        string IborIndex
        double FixedRate
        string ForwardStart
        string FixDayCounter
        double Spread
        string PricingEngineID
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class VanillaSwap and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
SettlDays	Number of days to spot date. Default value = 2.
SwapTenor	swap tenor period (e.g. 5Y).
IborIndex	floating IborIndex object ID.
FixedRate	the fixed leg rate. If missing atm rate is used. Default value = QuantLib::Null<QuantLib::Rate>().
ForwardStart	forward start period (from spot date).
FixDayCounter	fixed leg day counter. Default value = DayCounter.
Spread	floating leg spread. Default value = 0.0.
PricingEngineID	DiscountSwapEngine object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlVanillaSwap

string returnValue
 
qlVanillaSwap(
        string ObjectId
        string PayerReceiver
        double Nominal
        string FixSchedule
        double FixedRate
        string FixDayCounter
        string FloatingLegSchedule
        string IborIndex
        double Spread
        string FloatingLegDayCounter
        string PaymentConvention
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class VanillaSwap and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
PayerReceiver	PAYER to pay the fixed rate, RECEIVER to receive it. Default value = Payer.
Nominal	Notional Amount. Default value = 100.
FixSchedule	fixed leg Schedule object ID.
FixedRate	the fixed leg rate. Default value = 0.0.
FixDayCounter	fixed leg day counter (e.g. Actual/360).
FloatingLegSchedule	floating leg Schedule object ID.
IborIndex	floating leg IborIndex object ID.
Spread	floating leg spread. Default value = 0.0.
FloatingLegDayCounter	floating day counter (e.g. Actual/360).
PaymentConvention	Payment dates' business day convention. Default value = Following.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlVanillaSwapFairRate

double returnValue
 
qlVanillaSwapFairRate(
        string ObjectId
        any Trigger)

Description:

returns the fair fixed leg rate which would zero the swap NPV for the given VanillaSwap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlVanillaSwapFairSpread

double returnValue
 
qlVanillaSwapFairSpread(
        string ObjectId
        any Trigger)

Description:

returns the fair spread over the floating rate which would zero the swap NPV for the given VanillaSwap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlVanillaSwapFixedDayCount

string returnValue
 
qlVanillaSwapFixedDayCount(
        string ObjectId
        any Trigger)

Description:

returns the fixed rate day count convention for the given VanillaSwap object.

Supported Platforms:

Excel

Parameters

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

qlVanillaSwapFixedLegAnalysis

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

Description:

returns the fixed rate leg cash flow analysis of the given VanillaSwap object.

Supported Platforms:

Excel

Parameters

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

qlVanillaSwapFixedLegBPS

double returnValue
 
qlVanillaSwapFixedLegBPS(
        string ObjectId
        any Trigger)

Description:

returns the BPS of the fixed rate leg for the given VanillaSwap object.

Supported Platforms:

Excel

Parameters

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

qlVanillaSwapFixedLegNPV

double returnValue
 
qlVanillaSwapFixedLegNPV(
        string ObjectId
        any Trigger)

Description:

returns the NPV of the fixed rate leg for the given VanillaSwap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlVanillaSwapFixedRate

double returnValue
 
qlVanillaSwapFixedRate(
        string ObjectId
        any Trigger)

Description:

returns the fixed leg rate for the given VanillaSwap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlVanillaSwapFloatingDayCount

string returnValue
 
qlVanillaSwapFloatingDayCount(
        string ObjectId
        any Trigger)

Description:

returns the floating leg day count convention for the given VanillaSwap object.

Supported Platforms:

Excel

Parameters

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

qlVanillaSwapFloatingLegAnalysis

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

Description:

returns the floating rate leg cash flow analysis.

Supported Platforms:

Excel

Parameters

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

qlVanillaSwapFloatingLegBPS

double returnValue
 
qlVanillaSwapFloatingLegBPS(
        string ObjectId
        any Trigger)

Description:

returns the BPS of the floating rate leg for the given VanillaSwap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlVanillaSwapFloatingLegNPV

double returnValue
 
qlVanillaSwapFloatingLegNPV(
        string ObjectId
        any Trigger)

Description:

returns the NPV of the floating rate leg for the given VanillaSwap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlVanillaSwapFromSwapIndex

string returnValue
 
qlVanillaSwapFromSwapIndex(
        string ObjectId
        string SwapIndex
        long FixingDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class VanillaSwap and return its id

Supported Platforms:

Excel, C++

Parameters

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

qlVanillaSwapFromSwapRateHelper

string returnValue
 
qlVanillaSwapFromSwapRateHelper(
        string ObjectId
        string SwapRateHelper
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class VanillaSwap and return its id

Supported Platforms:

Excel, C++

Parameters

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

qlVanillaSwapNominal

double returnValue
 
qlVanillaSwapNominal(
        string ObjectId
        any Trigger)

Description:

returns the swap nominal for the given VanillaSwap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlVanillaSwapPaymentConvention

string returnValue
 
qlVanillaSwapPaymentConvention(
        string ObjectId
        any Trigger)

Description:

returns the payment business day convention for the given VanillaSwap object.

Supported Platforms:

Excel

Parameters

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

qlVanillaSwapSpread

double returnValue
 
qlVanillaSwapSpread(
        string ObjectId
        any Trigger)

Description:

returns the spread over floating rate for the given VanillaSwap object.

Supported Platforms:

Excel, Calc

Parameters

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

qlVanillaSwapType

string returnValue
 
qlVanillaSwapType(
        string ObjectId
        any Trigger)

Description:

returns the swap type (Payer or Receiver) of the given VanillaSwap object.

Supported Platforms:

Excel

Parameters

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