CDSwapObj

High level graphic of CDSwapObj() function with parameters. Blue square node is the actual function with the parameters ordered.

1. Key parameter
   
   
   Key value to use as a handle for the created object
2. Reload parameter
   
   
   When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
3. payPremium parameter
   
   
   Whether we are paying the premium rate.
4. StartDate parameter
   
   
   Initial Start Date.
5. EndDate parameter
   
   
   Final End Date.
6. RecoveryRate parameter
   
   
   RecoveryRate of bond principal only
7. Premium parameter
   
   
   Premium
8. FixedPremiums parameter
   
   
   A two-column (Date, PremiumValue) fixed premiums table. Premiums before the start and after the end date of the Credit default swap contract will be ignored.
9. Notional parameter
   
   
   Notional
10. premiumFreq parameter
    
    
    Premium Frequency. Can use any of the Frequency codes contained within the 'CapeTools Frequency Enums' category of functions.
11. DefaultFreq parameter
    
    
    The frequency of default within a premium period. Can use any of the Frequency codes contained within the 'CapeTools Frequency Enums' category of functions. This frequency should be equal to or less than (in terms of the length of the frequency period) the 'premiumFreq' parameter.
12. payaccrued parameter
    
    
    Whether any accrued premiums are paid upon default.
13. DayCount parameter
    
    
    DayCounter to use
14. Cal parameter
    
    
    Calendar to use for the adjustment of dates that lands on a holiday or weekend, if you use the EmptyCalendar() function, no adjustments will be made
15. BusDayConv parameter
    
    
    Business Day Convention. treatment of date adjustments
16. CDCKey parameter
    
    
    Key to an already constructed Credit Default Curve object.

String CTCreditDefaultSwaps.CDSwapObj( _
String Key, _
Long Reload, _
Boolean payPremium, _
Long StartDate, _
Long EndDate, _
Double RecoveryRate, _
Double Premium, _
Variant FixedPremiums, _
Double Notional, _
FreqEnum premiumFreq, _
FreqEnum DefaultFreq, _
Boolean payaccrued, _
DayCountEnum DayCount, _
String Cal, _
BDCEnum BusDayConv, _
String CDCKey)

=CT.CDS.CDSwapObj(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel Boolean Value Cell payPremium,
Excel Numeric Cell StartDate,
Excel Numeric Cell EndDate,
Excel Numeric Cell RecoveryRate,
Excel Numeric Cell Premium,
XLRange FixedPremiums,
Excel Numeric Cell Notional,
Excel String Cell premiumFreq,
Excel String Cell DefaultFreq,
Excel Boolean Value Cell payaccrued,
Excel String Cell DayCount,
Excel String Cell Cal,
Excel String Cell BusDayConv,
Excel String Cell CDCKey)

static std::string CDSwapObj(
std::string Key,
long Reload,
bool payPremium,
long StartDate,
long EndDate,
double RecoveryRate,
double Premium,
CTRangeDataCPP FixedPremiums,
double Notional,
FreqEnum premiumFreq,
FreqEnum DefaultFreq,
bool payaccrued,
DayCountEnum DayCount,
std::string Cal,
BDCEnum BusDayConv,
std::string CDCKey);

System.String CTCreditDefaultSwapsSA.CDSwapObj(
System.String Key,
System.Int32 Reload,
System.Boolean payPremium,
System.Int32 StartDate,
System.Int32 EndDate,
System.Double RecoveryRate,
System.Double Premium,
CTRangeData FixedPremiums,
System.Double Notional,
CTIEnums.FreqEnum premiumFreq,
CTIEnums.FreqEnum DefaultFreq,
System.Boolean payaccrued,
CTIEnums.DayCountEnum DayCount,
System.String Cal,
CTIEnums.BDCEnum BusDayConv,
System.String CDCKey);

CTQL.CTRangeData CDSwapObj_FixedPremiums = new CTQL.CTRangeData();

System.Text.StringBuilder CDSwapObj_FixedPremiums_builder =
new System.Text.StringBuilder(100);

CDSwapObj_FixedPremiums_builder.Append("{");
CDSwapObj_FixedPremiums_builder.Append("#21/Jul/2006#	 | 1");
CDSwapObj_FixedPremiums_builder.Append("}");

// Parse the string into the Range object.
CDSwapObj_FixedPremiums.RangeFromStr( CDSwapObj_FixedPremiums_builder.ToString() );

• CALEURO() ( CT.QL.Curves20 )
• ValueDateObj() ( CT.QL.Utils20 )
• CALUKExchange() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• MKTYC_D() ( CT.QL.Curves20 )
• CreditCurveCDS() ( CT.QL.Curves20 )
• CDSwapObj() ( CT.QL.CreditDerivatives20 )

• Example VB.NET Driver function. Preparing the parameters and the final function call (the result).
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• Example Visual Basic 6 Driver function. Preparing the parameters and the final function call (the result).
• Example Excel VBA Driver function. Preparing the parameters and the final function call (the result).
• Example C++ Driver function. Preparing the parameters and the final function call (the result).
• Example Java Driver function. Preparing the parameters and the final function call (the result).