CapeTools Credit Link Bond/Notes
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In total there are 12 functions present within the CapeTools Credit Link Bond/Notes category of functions.
General Description
Functions to create regular and binary credit link bond/notes (CLN) objects based on data extracted from a Bond, Floating leg or Fixed leg object. These CLN objects can then be queried and priced via functions present within this category.
A CLN object is simply the sum of the price of the instrument (priced using the risky curve) plus the value of the default leg over the protection period.
The chosen instrument can be one of the objects constructed from the following functions or categories :
You can query for the following information :
- FairValue
- Accrued interest
- Fair value + accrued interest
- Payoff value
- Risky PV of the instrument
- Rho (risk) of the recovery rate (one percent additive change)
Function list.
- BinaryCreditLinkBondObj - Creates a Binary Credit Link Bond object.
- BinaryCreditLinkFIXLegObj - Creates a Binary Credit Link Note object from a Fixed leg.
- BinaryCreditLinkFLTLegObj - Creates a Binary Credit Link Note object from a floating leg.
- CLNAccInterest - Computes the accrued interest from a Credit Link Bond/Note object.
- CLNFairValue - Computes the fair value (dirty price of the risky bond plus the value of the CDS payoff leg) from a Credit Link Bond/Note object.
- CLNFairValuePlusAcc - Computes the fair value + accrued interest (dirty price of the risky bond + Accrued interest + the value of the CDS payoff leg) clean price from a Credit Link Bond/Note object.
- CLNInstPV - Computes the Risky PV of the given Leg/Bond within the Credit Note object.
- CLNPayoffValue - Computes the payoff value from a Credit Link Bond/Note object.
- CLNRho - Computes the Rho of the recovery rate from a Credit Link Bond/Note object.
- CreditLinkBondObj - Creates a Credit Link Bond object.
- CreditLinkFIXLegObj - Creates a Credit Link Note object from a Fixed leg.
- CreditLinkFLTLegObj - Creates a Credit Link Note object from a floating leg.
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