CapeTools Basis Swap Portfolio
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In total there are 8 functions present within the CapeTools Basis Swap Portfolio category of functions.
General Description
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).
Function list.
- BSWBKDisplayLeg - Returns a range of information (regarding a swap leg) given a swap object.
- BSWBKDisplayLeg2 - Returns a range of extended information (regarding a swap leg) given a swap object.
- BSWBKDisplayLegEx - Returns a range of information (regarding a swap leg) given a basis swap object.
- BSWBKDisplayLegEx2 - Returns a range of extended information (regarding a swap leg) given a swap object.
- BasisSwapPortfolio - Creates a basis swap portfolio (same currency) object.
- BasisSwapPortfolioEx - Creates a basis swap portfolio (different currencies on each leg) object.
- PriceBSWBook - Prices the given Basis Swap portfolio object.
- PriceBSWBookEx - Prices the given Basis Swap portfolio object.
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