CapeTools CapFloor Portfolio
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In total there are 7 functions present within the CapeTools CapFloor Portfolio category of functions.
General Description
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.
Function list.
- CFBKDisplayLeg - Returns a range of information (regarding the underlying caplets/floorlets) given a capfloor object.
- CFBookDiscountBPV - Returns the basis point value (by shifting the discounting curve) given a CapFloor portfolio object.
- CFBookFixingBPV - Returns the basis point value (by shifting the fixing (reset) curve) given a CapFloor portfolio object.
- CapFloorPortfolio - Creates a CapFloor portfolio object.
- IVCFBook - Solves for the flat implied volatilites given an IVCapFloor portfolio object.
- IVCapFloorPortfolio - Creates a CapFloor portfolio object for the solving of implied volatilites.
- PriceCFBook - Prices the given CapFloor portfolio object.
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