CapeTools FpML Swaps

• AdjustedPrincipleExchangeDates - Returns an array of all the adjusted principle exchange dates.
• AmortisedDates - If this leg is amortised, it returns an array of amortised dates.
• AmortisedValues - If this leg is amortised, it returns an array of amortised notional amounts.
• AreThereCashflows - Determines whether there is a cash flows structure, embedded within the FpML object.
• CalPeriodDatesEffectiveDate - Returns the Calculation Period Dates objects unadjusted effectiveDate.
• CalPeriodDatesEffectiveDateBCs - Returns the Calculation Period Dates object's Business Centers for the Effective Date.
• CalPeriodDatesEffectiveDateBDC - Returns the Calculation Period Dates object's Business Day Convention for the Effective Date.
• CalPeriodDatesID - Returns the ID value of the Calculation period Dates object.
• CalPeriodDatesPeriodBCRef - Returns the Calculation Period Dates object's Business Centers reference name used for each of the cashflow periods.
• CalPeriodDatesPeriodBDC - Returns the Calculation Period Dates object's Business Day Convention used for each of the cashflow periods.
• CalPeriodDatesPeriodRollConv - Returns the Calculation Period Dates object's Roll convention used for each of the cashflow periods.
• CalPeriodDatesTerminationDate - Returns the Calculation Period Dates objects unadjusted Termination Date.
• CalPeriodDatesTerminationDateBCs - Returns the Calculation Period Dates object's Business Centers for the Termination Date.
• CalPeriodDatesTerminationDateBDC - Returns the Calculation Period Dates object's Business Day Convention for the Termination Date.
• CalPeriodSatesPeriodFreq - Returns the Calculation Period Dates object's Frequency used for each of the cashflow periods.
• CashflowMatchParameters - This function returns whether the cashflow array (if there is one) matches the parameters of the deal, or whether the cash flows have been adjusted in such a way such that you cannot reproduce the cashflow array just using the parameters of the deal.
• CompoundingMethod - Compounding method for this leg (If present).
• FinalExchange - Determines whether there is a final Exchange of principle.
• FinalStubIndex - Returns the final stub Floating Rate Index.
• FinalStubRate - What is the final stub rate? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : //descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount[1]/finalStub[1]/stubRate/text().
• FinalStubRateIndexMultiplier - Returns the final stub floating rate index multiplier.
• FinalStubRateIndexPeriod - Returns the final stub floating rate index period.
• FirstAdjustedPrincipleExchangeDate - Returns the first adjusted principle exchange Date.
• FirstPrincipleExchangeAmount - Returns the first principle exchange amount.
• FirstRegularPeriodStartDate - Is there a first regular period start date present within this leg.
• FixedRateCoupon - Returns the fixed rate coupon of the leg (Fixed rate leg only).
• FixedRateStepDates - Returns the fixed rate coupon schedule's step dates.
• FixedRateStepValuess - Returns the fixed rate coupon schedule's step values.
• FloatingRateDCF - Returns the floating rate Day Count Fraction.
• FloatingRateIndex - Returns the Floating Rate Index.
• FloatingRateMultiplier - Returns the floating rate multiplier.
• FloatingRatePeriod - Returns the floating rate period.
• GetFirstRegPeriodStartDate - Returns the value of the first regularperiod start date element within the Calculation periods date object.
• InitialExchange - Determines whether there is an initial Exchange of principle.
• InitialNotional - Returns the Initial notional used by this particular swapStream object.
• InitialNotionalCurrency - Returns the Initial notional's currency used by this particular swapStream object.
• InitialStubIndex - Returns the initial stub Floating Rate Index.
• InitialStubRate - What is the initial stub rate? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : //descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount[1]/initialStub[1]/stubRate/text().
• InitialStubRateIndexMultiplier - Returns the initial stub floating rate index multiplier.
• InitialStubRateIndexPeriod - Returns the initial stub floating rate index period.
• IntermediateExchange - Determines whether there are intermediate Exchanges.
• IsAmortised - Returns whether this particular swapStream leg is amortised.
• IsCompoundingMethod - Is there a compounding method.
• IsFinalStub - Is there a final stub? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount[1]/finalStub) > 0.
• IsFinalStubFloatingRate - Is there a final stub floatingRate? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount[1]/finalStub[1]/floatingRate) > 0.
• IsFinalStubRate - Is there a final stub rate? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount[1]/finalStub[1]/stubRate) > 0.
• IsFirstRegPeriodStartDate - Determines whether there is a first regularperiod start date element within the Calculation periods date object.
• IsFirstRegularPeriodStartDate - Is there a first regular period start date present within this leg.
• IsFixLeg - Determines whether the swapStream Leg provided is a fixed rate leg.
• IsFixedRateStepArray - Is there a fixedRate Schedule Step collection? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/calculationPeriodAmount[1]/calculation[1]/fixedRateSchedule[1]/step) > 0.
• IsFloatLeg - Determines whether the swapStream Leg provided is a float leg.
• IsInitialStub - Is there an initial stub? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount[1]/initialStub) > 0.
• IsInitialStubFloatingRate - Is there an initial stub floatingRate? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount[1]/initialStub[1]/floatingRate) > 0.
• IsInitialStubRate - Is there an initial stub rate? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount[1]/initialStub[1]/stubRate) > 0.
• IsLastRegularPeriodEndDate - Is there a last regular period end date present within this leg.
• IsPayDatesOffset - Is there a payment dates offset object present within this swapStream object.
• IsSpreadSchedule - Is there a spread schedule present within this leg (float leg only).
• IsStubCalcObject - Is there a stub Calculation object? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/stubCalculationPeriodAmount) > 0.
• LastRegularPeriodEndDate - Returns the last regular period end date.
• NoOfAmotisedPeriods - If this leg is amortised, it returns the number of amortised periods.
• NoOfCompoundingPeriods - Number of Compounding Periods within a Payment calculation period.
• NumberOfCashflows - If there are cashflow elements embedded within the FpML object, this function returns the number of cash flow elements.
• NumberOfLegs - Number of legs in swap.
• PayCalcPeriodAdjCompEndDates - Returns an array of all the adjusted end dates within a single calculation period.
• PayCalcPeriodAdjCompFixingDates - Returns an array of all the adjusted fixing dates within a single calculation period.
• PayCalcPeriodAdjCompStartDates - Returns an array of all the adjusted start dates within a single calculation period.
• PayCalcPeriodAdjEndDates - Returns an array of all the adjusted end dates from the cash flows objects.
• PayCalcPeriodAdjFixingDates - Returns an array of all the adjusted fixing dates from the cash flows objects.
• PayCalcPeriodAdjPaymentDates - Returns an array of all the adjusted payment dates from the cash flows objects.
• PayCalcPeriodAdjStartDates - Returns an array of all the adjusted start dates from the cash flows objects.
• PayCalcPeriodCompFixedRates - Returns an array of all the fixed rate values within a single calculation period.
• PayCalcPeriodCompNotionals - Payment calculation Period Notionals within a single calculation period.
• PayCalcPeriodCompObsWeights - Returns an array of all the observation weights within a single calculation period.
• PayCalcPeriodFixedRates - Returns an array of all the fixed rate values from the cash flows objects (Fixed Leg only).
• PayCalcPeriodNotionals - Payment calculation Period Notionals.
• PayCalcPeriodObsWeights - Returns an array of all the observation weights from the cash flows objects.
• PayDatesBCRef - Returns the Payment Dates object's Business Centers reference name used for each of the cashflow periods.
• PayDatesBDC - Returns the Payment Dates object's Business Day Convention value used for each of the cashflow periods.
• PayDatesCalcPeriodDatesRef - Returns the Payment Dates Calculation Period Dates Reference name.
• PayDatesFreq - Returns the Payment Dates object's Frequency used for each of the cashflow periods.
• PayDatesOffsetDayType - Payment dates offset object's DayType.
• PayDatesOffsetMultiplier - Payment dates offset object's period multiplier.
• PayDatesOffsetPeriod - Payment dates offset object's period.
• PayDatesRelativeTo - Returns the Payment Dates object's RelativeTo value used for each of the cashflow periods.
• PayerPartyRef - Returns the Payer party reference.
• PrincipleExchangeAmounts - Returns an array of all the principle exchange amounts.
• PrincipleExchanges - Are there principle exchanges? The XPath query which can also be passed to the FpMLGenericQuery() function to generate the same result is : count(//descendant::swap/swapStream[LegNo]/principalExchanges) > 0.
• ReceiverpartyRef - Returns the Reciever party reference.
• ResetDatesBCRef - Returns the Reset Dates object's Business Centers reference name used for each of the cashflow periods.
• ResetDatesBDC - Returns the Reset Dates object's Business Day Convention value used for each of the cashflow periods.
• ResetDatesCalcPeriodDatesRef - Returns the Reset Dates Calculation Period Dates Reference name, You can execute IsFloatLeg() to determine whether this leg is a floating rate leg or a fixed rate leg.
• ResetDatesFixingBCs - Returns the Reset Dates Fixing object's Business Centers value used for each of the cashflow periods.
• ResetDatesFixingBDC - Returns the Reset Dates Fixing object's Business Day Convention value used for each of the cashflow periods.
• ResetDatesFixingDayType - Returns the Reset Dates object's Fixing Day Type used for each of the cashflow periods.
• ResetDatesFixingMultiplier - Returns the Reset Dates object's Fixing Multiplier (part of the component that will determine the frequency of the reset, the other part if Fixing period) value used for each of the cashflow periods.
• ResetDatesFixingPeriod - Returns the Reset Dates object's Fixing Period (part of the component that will determine the frequency of the reset, the other part if Fixing multiplier) value used for each of the cashflow periods.
• ResetDatesFixingRelativeto - Returns the Reset Dates Fixing object's RelativeTo value used for each of the cashflow periods.
• ResetDatesRelativeTo - Returns the Reset Dates object's RelativeTo value used for each of the cashflow periods.
• ResetdatesResetFrequency - Returns the Reset Dates object's Reset Frequency value used for each of the cashflow periods.
• SecondAdjustedPrincipleExchangeDate - Returns the second adjusted principle exchange Date.
• SecondPrincipleExchangeAmount - Returns the second principle exchange amount.
• SpreadInitialValue - Returns the spread's Initial value.
• SpreadStepDates - Returns the spread schedule's step dates.
• SpreadStepValues - Returns the spread schedule's step values.
• StubCalcRef - Returns the Stub CalculationPeriod Calculation Period Dates Reference value, if there is one.
• SwapComment - Returns the comment on the swap trade if there is one.