- CapeTools FLOAT Legs
General Description
Creates interest rate floating leg objects. Amortised, Quanto, In-Arrear and constant-maturity-swap legs can be constructed.
Amortised legs can be constructed via the amortised versions of the leg objects or you can provide your own amortised notional values. If you are seeking to construct a regular, non amortised leg, simply pass in a single constant notional value to the notional range parameter.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
- CapeTools FIXED Legs
General Description
Creates interest rate FIXED leg objects. Amortised and non-amortised legs can be constructed.
Amortised legs can be constructed via the amortised versions of the leg objects or you can provide your own amortised notional values. If you are seeking to construct a regular, non amortised leg, simply pass in a single constant notional value to the notional range parameter.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
- CapeTools ZeroCoupon FLOAT Legs
General Description
Creates interest rate FIXED RATE leg objects that receive no cashflows until the maturity date of the leg.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
- CapeTools Averaging FLOAT Legs
General Description
Creates interest rate floating rate leg objects which averages a number of fixings within a paying coupon period. Amortised, Quanto, In-Arrear and constant-maturity-swap legs can be constructed.
Amortised legs can be constructed via the amortised versions of the leg objects or you can provide your own amortised notional values. If you are seeking to construct a regular, non amortised leg, simply pass in a single constant notional value to the notional range parameter.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
- CapeTools Compounding FLOAT Legs
General Description
Creates interest rate floating leg objects that receive no cashflows until the maturity date of the leg. Quanto, In-Arrear and constant-maturity-swap legs can be constructed.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
- CapeTools FIXED + FLOAT Legs
General Description
Creates interest rate inverse floater leg objects. Amortised, Quanto, In-Arrear and constant-maturity-swap floater legs can be constructed.
Amortised legs can be constructed via the amortised versions of the leg objects or you can provide your own amortised notional values. If you are seeking to construct a regular, non amortised leg, simply pass in a single constant notional value to the notional range parameter.
The payoff for this leg is in fact the difference of two coupons. The first a FIXED coupon rate, the second FLOAT rate. Thus for each coupon period, the coupon rate computed will be either a FIXED INVERSE FLOATER LEG [X - N*L] or a FLOAT INVERSE FLOATER LEG [N*L - X], where N is a positive integer gearing amount. N represents the 'FixingGearing' parameter within the function call. X is the FIXED coupon rate and L is the floating rate fixing.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
- CapeTools FIXED + AVERAGE FLOAT Legs
General Description
Creates interest rate inverse floater leg objects. Amortised, Quanto, In-Arrear and constant-maturity-swap floater legs can be constructed.
Amortised legs can be constructed via the amortised versions of the leg objects or you can provide your own amortised notional values. If you are seeking to construct a regular, non amortised leg, simply pass in a single constant notional value to the notional range parameter.
The payoff for this leg is in fact the difference of two coupons. The first a FIXED coupon rate, the second averages a number of fixings within the same paying coupon period. Thus for each coupon period, the coupon rate computed will be either a FIXED INVERSE FLOATER LEG [X - N*L] or a FLOAT INVERSE FLOATER LEG [N*L - X], where N is a positive integer gearing amount. N represents the 'FixingGearing' parameter within the function call. X is the FIXED coupon rate and L is the average of a number of fixings within the period.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
- CapeTools FIXED + COMPOUNDING FLOAT Legs
General Description
Creates interest rate inverse floater leg objects. Amortised, Quanto, In-Arrear and constant-maturity-swap floater legs can be constructed.
Amortised legs can be constructed via the amortised versions of the leg objects or you can provide your own amortised notional values. If you are seeking to construct a regular, non amortised leg, simply pass in a single constant notional value to the notional range parameter.
The payoff for this leg is in fact the difference of two coupons. The first a FIXED coupon rate, the second compounds a number of fixings within the same paying coupon period. Thus for each coupon period, the coupon rate computed will be either a FIXED INVERSE FLOATER LEG [X - N*L] or a FLOAT INVERSE FLOATER LEG [N*L - X], where N is a positive integer gearing amount. N represents the 'FixingGearing' parameter within the function call. X is the FIXED coupon rate and L is the result of a number of fixings compounded within the payment period.
These leg objects can be priced and queried via functions present within the 'CapeTools Query Legs' category of functions.
- CapeTools Exotic Legs
General Description
Creates an interest rate option strategy based on an floating interest rate leg (or an inverse floating leg). (using the traditional black model on futures). Possible option strategies are :
- Cap
- Floor
- Cap And Floor
- Bull Call Spread
- Bull Put Spread
- Bear Call Spread
- Bear Put Spread
- Butterfly
- Call Back Spread
- Put Back Spread
- Call Ratio Vertical Spread
- Put Ratio Vertical Spread
- Condor
- Straddle
- Strangle
- Xmas Tree
Each of the strategy above will be applied to each cashflow of the underlying leg.
In-Arrear legs on non-CMS indexes are not currently supported under this framework.
- CapeTools Query Legs
General Description
Functions to query for information given a leg object.
There are functions to query the details of a floating or fixed leg object. The underlying legs must have been created via leg creation functions within the following categories :
There are functions to display various cashflow details from the leg object as well as pricing the leg object.
In addition you can use the CreateStructure function to create a portfolio of leg objects
From this leg portfolio, you can solve for the flat coupon rate or flat margin rate across all the legs.
Furthermore, you can pass the object created from the CreateStructure function to the functions present within the CapeTools IR Risk category of functions in order to run complex interest rate risk analysis.
The CreateStructure function can take in objects created within the following category of functions :
However not all the legs (objects) created from these categories of functions are compatible for solving a flat margin/fixed coupon rate across all the legs (objects). The former list above lists the category of functions that satisfies this criterion.
From either of these lists, you can execute the PrcStructure function in order to see the aggregated PV.
Again interest rate risk can be conducted via the functions present within the CapeTools IR Risk category of functions.
Copyright (c) 2003-2007 CapeTools - All Rights Reserved.
