ShowYCFwdSpreads





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Returns the XCcy Forward Spread curve values for each of the end dates (of the tenor/date instruments used within the stripping).

This function requires the input of a YieldCurve object key, which must have been produced via a call to one of the YieldCurve (CapeTools XCCY Curves) category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'YCKey' parameter of this function.



Note: Within Excel, the function is named - CT.MKT.ShowYCFwdSpreads




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



Parameter Description


  1. YCKey parameter

    Key to an already constructed YieldCurve object.
  2. StartDate parameter

    Initial Start Date.
  3. EndDate parameter

    Final End Date.
  4. Freq parameter

    Frequency of the schedule.
  5. calKey parameter

    Key to an already constructed Calendar object. Used to adjust dates for holidays.
  6. BusDayConv parameter

    Business Day Convention to use.


Extended information

Function Syntax

VB Syntax


Variant CTDisplayCurves.ShowYCFwdSpreads( _
String YCKey, _
Long StartDate, _
Long EndDate, _
FreqEnum Freq, _
String calKey, _
BDCEnum BusDayConv)


Excel Spreadsheet Syntax


=CT.MKT.ShowYCFwdSpreads(
Excel String Cell YCKey,
Excel Numeric Cell StartDate,
Excel Numeric Cell EndDate,
Excel String Cell Freq,
Excel String Cell calKey,
Excel String Cell BusDayConv)


C++ Syntax


static CTRangeDataCPP ShowYCFwdSpreads(
std::string YCKey,
long StartDate,
long EndDate,
FreqEnum Freq,
std::string calKey,
BDCEnum BusDayConv);


DotNET Syntax


CTRangeData CTDisplayCurvesSA.ShowYCFwdSpreads(
System.String YCKey,
System.Int32 StartDate,
System.Int32 EndDate,
CTIEnums.FreqEnum Freq,
System.String calKey,
CTIEnums.BDCEnum BusDayConv);

Parameter data types

ArgNameArgTypeIsKey
YCKeyStringTRUE
StartDateLongFALSE
EndDateLongFALSE
FreqFreqEnumFALSE
calKeyStringTRUE
BusDayConvBDCEnumFALSE


Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)
StartDateFALSE21/Jul/2006 (serial date type)
EndDateFALSE21/Jul/2011 (serial date type)
FreqFALSEQ
calKeyFALSEcalKeyNAME.EXTTAG.TICKER (from a function call)
BusDayConvFALSEModifiedFollowing


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Curves20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the ShowYCFwdSpreads() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the ShowYCFwdSpreads() function call


Example
389190.0003
390130.0003
391040.0003
391950.0003
392860.000325
393770.000325
394680.000325
395590.000325
396500.000325
397420.000325
398340.000325
399240.000325
400150.000325
401070.000325
401990.000325
402890.000325
403800.000325
404720.000325
405640.000325
406540.000325
407450.000325



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