CapeTools Exotic Legs

CapeTools Exotic Legs

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In total there are 22 functions present within the CapeTools Exotic Legs category of functions.

General Description

Creates an interest rate option strategy based on an floating interest rate leg (or an inverse floating leg). (using the traditional black model on futures). Possible option strategies are :

Cap

Floor

Cap And Floor

Bull Call Spread

Bull Put Spread

Bear Call Spread

Bear Put Spread

Butterfly

Call Back Spread

Put Back Spread

Call Ratio Vertical Spread

Put Ratio Vertical Spread

Condor

Straddle

Strangle

Xmas Tree

Each of the strategy above will be applied to each cashflow of the underlying leg.

In-Arrear legs on non-CMS indexes are not currently supported under this framework.

Function list.

CreateBBSFLTLeg - Creates a portfolio of BEAR/BULL spread option caplets/floorlets from this floating Rate Leg.
CreateBBSFLTLegTS - Creates a portfolio of BEAR/BULL spread option caplets/floorlets from this floating Rate Leg.
CreateBFLYFLTLeg - Creates a portfolio of BUTTERFLY caplets/floorlets from this floating Rate Leg.
CreateBFLYFLTLegTS - Creates a portfolio of BUTTERFLY caplets/floorlets from this floating Rate Leg.
CreateBKSFLTLeg - Creates a portfolio of BACKSPREAD caplets/floorlets from this floating Rate Leg.
CreateBKSFLTLegTS - Creates a portfolio of BACKSPREAD caplets/floorlets from this floating Rate Leg.
CreateCONDORFLTLeg - Creates a portfolio of CONDOR caplets/floorlets from this floating Rate Leg.
CreateCONDORFLTLegTS - Creates a portfolio of CONDOR caplets/floorlets from this floating Rate Leg.
CreateCapAndFLRFLTLeg - Creates a portfolio of caplet and floorlet options from this floating Rate Leg.
CreateCapAndFLRFLTLegTS - Creates a portfolio of caplet and floorlet options from this floating Rate Leg.
CreateCapFLTLeg - Creates a porfolio of caplet or floorlet options from this floating Rate Leg.
CreateCapFLTLegTS - Creates a portfolio of caplet or floorlet options from this floating Rate Leg.
CreateFloorFLTLeg - Creates a portfolio of caplet or floorlet options from this floating Rate Leg.
CreateFloorFLTLegTS - Creates a portfolio of caplet or floorlet options from this floating Rate Leg.
CreateSTRDFLTLeg - Creates a portfolio of STRADDLE caplets/floorlets from this floating Rate Leg.
CreateSTRDFLTLegTS - Creates a portfolio of STRADDLE caplets/floorlets from this floating Rate Leg.
CreateSTRGFLTLeg - Creates a portfolio of STRANGLE caplets/floorlets from this floating Rate Leg.
CreateSTRGFLTLegTS - Creates a portfolio of STRANGLE caplets/floorlets from this floating Rate Leg.
CreateXTREEFLTLeg - Creates a portfolio of XMAS TREE caplets/floorlets from this floating Rate Leg.
CreateXTREEFLTLegTS - Creates a portfolio of XMAS TREE caplets/floorlets from this floating Rate Leg.
PrcIROptionStrategy - Prices a capped/floored or a combination of option strategies on a floating (or inverse) leg object via a Black Scholes methodology.
PrcIROptionStrategyTS - Prices a capped/floored or a combination of option strategies on a floating (or inverse) leg object via an interest rate term structure model.