CreateSwapTemplate




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Creates a Swap template which is almost identical to the definition of the parameters of a swap contract, but without the swap duration, buysell, and YieldCurve information.

This template object can be used within the construction of YieldCurves in order to provide default information for all swap rates.

The template also simplifies input to functions that require the details of a swap contract (ie - MKTSwap5() function).

Please refer to the large number of enumeration functions present within the CapeTools Enums category of functions.

The CapeTools Enums category of functions return correct string codes that can be passed to parameters taking fixed string values defined by the library (ie - DayCount codes, frequency codes, currency codes, compounding codes, business day convention codes etc...).

You can thus execute these enumeration functions which return the proper code, instead of trying to remember the string code needed or making spelling mistakes which can be difficult to debug.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "SwapTPL"



Note: Within Excel, the function is named - CT.TPL.CreateSwapTemplate


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



Parameter Description


  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. Name parameter

    A friendly name that you wish to associate with this template
  4. FixingDays parameter

    Number of days for fixing a rate.
  5. CashFlowCal parameter

    Calendar Key required for holiday adjustments of the end dates of each cashflow period on the FIX leg of the swap.
  6. CashFlowBDConv parameter

    Business day convention needed for day adjustments when an adjustment moves the date into the preceding, following month. Needed for each cashflow period of the FIX side of the swap leg.
  7. CashFlowFreq parameter

    The Frequency of the FIX side of the swap. (Can use any of the Frequency codes contained within the 'CapeTools Frequency Enums' category of functions).
  8. dayCounter parameter

    Daycounter required for year length calculations. Used for each cashflow period of the FIX side of the swap.
  9. FLTIndTemplate parameter

    The Index template that will be applied to the FLOAT side of the swap.


Extended information

Function Syntax

VB Syntax 


String CTIndexes.CreateSwapTemplate( _
String Key, _
Long Reload, _
String Name, _
Long FixingDays, _
String CashFlowCal, _
BDCEnum CashFlowBDConv, _
FreqEnum CashFlowFreq, _
DayCountEnum dayCounter, _
String FLTIndTemplate)


Excel Spreadsheet Syntax 


=CT.TPL.CreateSwapTemplate(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell Name,
Excel Numeric Cell FixingDays,
Excel String Cell CashFlowCal,
Excel String Cell CashFlowBDConv,
Excel String Cell CashFlowFreq,
Excel String Cell dayCounter,
Excel String Cell FLTIndTemplate)


C++ Syntax 


static std::string CreateSwapTemplate(
std::string Key,
long Reload,
std::string Name,
long FixingDays,
std::string CashFlowCal,
BDCEnum CashFlowBDConv,
FreqEnum CashFlowFreq,
DayCountEnum dayCounter,
std::string FLTIndTemplate);


DotNET Syntax 


System.String CTIndexesSA.CreateSwapTemplate(
System.String Key,
System.Int32 Reload,
System.String Name,
System.Int32 FixingDays,
System.String CashFlowCal,
CTIEnums.BDCEnum CashFlowBDConv,
CTIEnums.FreqEnum CashFlowFreq,
CTIEnums.DayCountEnum dayCounter,
System.String FLTIndTemplate);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
NameStringFALSE
FixingDaysLongFALSE
CashFlowCalStringTRUE
CashFlowBDConvBDCEnumFALSE
CashFlowFreqFreqEnumFALSE
dayCounterDayCountEnumFALSE
FLTIndTemplateStringTRUE

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
KeyFALSEMySwapTPL
ReloadFALSE1
NameFALSEMySwapIndexTemplate
FixingDaysFALSE2
CashFlowCalFALSECashFlowCalNAME.EXTTAG.TICKER (from a function call)
CashFlowBDConvFALSEModifiedFollowing
CashFlowFreqFALSES
dayCounterFALSEACT365F
FLTIndTemplateFALSEFLTIndTemplateNAME.EXTTAG.TICKER (from a function call)


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 CreateSwapTemplate() 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 CreateSwapTemplate() function call


MySwapTPL_2.SwapTPL.0

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