IR Portfolio Category Group

1. CapeTools Leg Portfolio

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   General Description

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   Functions to construct a portfolio of legs (Floating rate and Fixed rate leg).
   
   
   In addition you can query for the total PV of the portfolio, the PV for each individual deal, basis point value (BPV) for the total portfolio, and the BPV for each individual deal.
   
   Given an ID of a contract within the portfolio, you can request for more detailed information (a breakdown of the instrument cashflows).
   
   
   
2. CapeTools Swap Portfolio

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   General Description

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   Functions to construct a portfolio of swaps (same currency).
   
   
   In addition you can query for the total PV of the portfolio, the PV for each individual deal, basis point value (BPV) for the total portfolio, and the BPV for each individual deal.
   
   Given an ID of a contract within the portfolio, you can request for more detailed information (a breakdown of the instrument cashflows).
   
   
   
3. CapeTools Basis Swap Portfolio

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   General Description

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   Functions to construct a portfolio of interest rate basis swaps.
   
   
   In addition you can query for the total PV of the portfolio, the PV for each individual deal, basis point value (BPV) for the total portfolio, and the BPV for each individual deal.
   
   Given an ID of a contract within the portfolio, you can request for more detailed information (a breakdown of the instrument cashflows).
   
   
   
4. CapeTools XCcy Swap Portfolio

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   General Description

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   Functions to construct a portfolio of cross-currency swaps.
   
   
   In addition you can query for the total PV of the portfolio, the PV for each individual deal, basis point value (BPV) for the total portfolio, and the BPV for each individual deal.
   
   Given an ID of a contract within the portfolio, you can request for more detailed information (a breakdown of the instrument cashflows).
   
   
   
5. CapeTools CDS Swap Portfolio

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   General Description

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   Functions to construct a portfolio of regular and binary Credit Default Swap instruments.
   
   
   In addition you can query for the total PV of the portfolio, the PV for each individual deal, basis point value (BPV) for the total portfolio, and the BPV for each individual deal.
   
   Given an ID of a contract within the portfolio, you can request for more detailed information (a breakdown of the instrument cashflows).
   
   
   
6. CapeTools CapFloor Portfolio

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   General Description

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   Functions to construct a portfolio of vanilla Cap/Floor instruments.
   
   
   In addition you can query for the total PV of the portfolio and also the PV for each individual deal.
   
   Given an ID of a contract within the portfolio, you can request for more detailed information.
   
   
   There is also a function to construct a portfolio of Cap/Floor instruments where the prices are already known. From this one can request for the implied volatility for each Cap/Floor instrument.
   
   
   
7. CapeTools Swaption Portfolio

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   General Description

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   Functions to construct a portfolio of vanilla swaption instruments.
   
   
   In addition you can query for the total PV of the portfolio and also the PV for each individual deal.
   
   Given an ID of a contract within the portfolio, you can request for more detailed information.
   
   
   There is also a function to construct a portfolio of swaption instruments where the prices are already known. From this one can request for the implied volatility for each swaption instrument.