CapeTools CDS Swap Portfolio

CapeTools CDS Swap Portfolio

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In total there are 5 functions present within the CapeTools CDS Swap Portfolio category of functions.

General Description

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).

Function list.

CDSBKExPremiums - Returns a range of the expected premiums.
CDSBKPVPremiums - Returns a range of the PV premiums.
CDSBookBPV - Returns the basis point value given a CDS Swap portfolio object.
CDSSwapPortfolio - Creates a credit default swap portfolio object.
PriceCDSBook - Prices the given CDS Swap portfolio object.