IDXGBPLibor




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GBPLibor, Pound Sterling LIBOR fixed by BBA.

Fixing calendar : London stock-exchange, payment calendar : London stock-exchange, Business Day Convention MonthEndReference, Currency GBP, DayCounter Actual365Fixed and settlement days of 0 days.



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 : "GBPLibor"



Note: Within Excel, the function is named - CT.IDX.GBPLibor


High level graphic of IDXGBPLibor() 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. IndexCode parameter

    Name of new index
  4. Tenor parameter

    Length in Tenor format. (ie - 1W (one week), 2M (two months), 3Y (three years), 4D (four days) ).
  5. LIBORMethod parameter

    Within a Floating leg object, where there are many fixing periods, when fixing a rate there are two ways the end date of a fixing period can be computed. Either 'LIBOR' or 'ParCoupon'. The 'LIBOR' method ignores the end date of the period and computes the end date by adding on the Frequency length (value within the 'Tenor' parameter of this object) to the start date of the period. The 'ParCoupon' method uses the period end date. When this Index is passed to such a floating leg object, this flag informs the floating leg object of which method to use. However for In-Arrear or CMS type legs, the 'LIBOR' method is always used.
  6. BasisSwaps parameter

    An optional 2 or 3 column range of interest rate basis swap tenors and spreads. The third column is an optional boolean column as to whether the basis spread is to be used within the building of this index. The basis spread defined within this index is the basis swap spread between this index and the index (or more rather the deposit template) stored within the yieldCurve object (ie '3M Index' (this index) vs '6M YieldCurve Index' (via the curve's DepositTemplate object) ). This Basis Swap range is required as well as the value within the 'SpreadInterp' parameter if you wish to price basis swaps where there is a spread in order to entice buyers/sellers to trade with this index instead of the default (popular) index stored within the YieldCurve object (via the yieldcurve's Deposit Template
    object, created by the CreateDepoTemplate() function). There are numerous functions for pricing Basis Swaps and portfolio of Basis Swaps ( see BasisSwap() and BasisSwapPortfolio() ). If you do not wish to price basis swaps with this index, simply provide an empty range object (or leave blank in the case of Excel) to the 'BasisSwaps' parameter. Providing a basis swap curve of zeros (0.0), is not the same as providing an empty range because if the definition of this index object and the index within the yieldcurve differs by more than just the Tenor (ie - Business day convention , Calendar, LIBORMethod etc...) then this index will generate a non-zero forward spread curve and thus the FRA rates computed
    via this index will be affected.
  7. SpreadInterp parameter

    Interpolation methodology to utilise when interpolating the forward spread curve (generated from the interest basis swaps). Possible values are : 'BackStep', (for a flat interpolation in the backwards direction), 'ForwardStep', (for a flat interpolation in the forwards direction), 'Linear' or 'LogLinear'.
  8. PastFixings parameter

    Optional past fixings range.
  9. YCKey parameter

    Key to an already constructed YieldCurve object. This curve will be used to extract forward rates based on the details of this Indexes parameters.


Extended information

Function Syntax

VB Syntax 


String CTIndexes.IDXGBPLibor( _
String Key, _
Long Reload, _
String IndexCode, _
String Tenor, _
Boolean LIBORMethod, _
Variant BasisSwaps, _
InterpEnum SpreadInterp, _
Variant PastFixings, _
String YCKey)


Excel Spreadsheet Syntax 


=CT.IDX.GBPLibor(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell IndexCode,
Excel String Cell Tenor,
Excel Boolean Value Cell LIBORMethod,
XLRange BasisSwaps,
Excel String Cell SpreadInterp,
XLRange PastFixings,
Excel String Cell YCKey)


C++ Syntax 


static std::string IDXGBPLibor(
std::string Key,
long Reload,
std::string IndexCode,
std::string Tenor,
bool LIBORMethod,
CTRangeDataCPP BasisSwaps,
InterpEnum SpreadInterp,
CTRangeDataCPP PastFixings,
std::string YCKey);


DotNET Syntax 


System.String CTIndexesSA.IDXGBPLibor(
System.String Key,
System.Int32 Reload,
System.String IndexCode,
System.String Tenor,
System.Boolean LIBORMethod,
CTRangeData BasisSwaps,
CTIEnums.InterpEnum SpreadInterp,
CTRangeData PastFixings,
System.String YCKey);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
IndexCodeStringFALSE
TenorStringFALSE
LIBORMethodBooleanFALSE
BasisSwapsRangeFALSE
SpreadInterpInterpEnumFALSE
PastFixingsRangeFALSE
YCKeyStringTRUE

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
KeyFALSEMyGBPIndex
ReloadFALSE1
IndexCodeFALSEGBP3MLIBOR
TenorFALSE3M
LIBORMethodFALSEtrue
BasisSwapsTRUEIDXGBPLibor_BasisSwaps_Range (creates a range object)
SpreadInterpTRUEForwardStep
PastFixingsTRUEIDXGBPLibor_PastFixings_Range (creates a range object)
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)


Example range for parameter : BasisSwaps

Within Excel, a range such as this can be passed directly into the BasisSwaps parameter.

1Y3.5True
2Y3True
3Y3.25True
4Y3.25True
5Y3.25True
7Y3.25True
10Y3.25True
15Y3True
20Y2.75True
30Y2.75True

Example C# API usage for setting the range data for parameter : BasisSwaps 


CTQL.CTRangeData IDXGBPLibor_BasisSwaps = new CTQL.CTRangeData();

System.Text.StringBuilder IDXGBPLibor_BasisSwaps_builder =
new System.Text.StringBuilder(100);

IDXGBPLibor_BasisSwaps_builder.Append("{");
IDXGBPLibor_BasisSwaps_builder.Append("'1Y'	 | 3.5	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'2Y'	 | 3	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'3Y'	 | 3.25	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'4Y'	 | 3.25	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'5Y'	 | 3.25	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'7Y'	 | 3.25	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'10Y'	 | 3.25	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'15Y'	 | 3	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'20Y'	 | 2.75	 | True ;");
IDXGBPLibor_BasisSwaps_builder.Append("'30Y'	 | 2.75	 | True");
IDXGBPLibor_BasisSwaps_builder.Append("}");

// Parse the string into the Range object.
IDXGBPLibor_BasisSwaps.RangeFromStr( IDXGBPLibor_BasisSwaps_builder.ToString() );

Example range for parameter : PastFixings

Within Excel, a range such as this can be passed directly into the PastFixings parameter.

21/Mar/20050.0552
22/Mar/20050.055
23/Mar/20050.0551
24/Mar/20050.0552
25/Mar/20050.055
28/Mar/20050.0551
29/Mar/20050.0549
30/Mar/20050.0551
31/Mar/20050.0549
1/Apr/20050.0548
4/Apr/20050.055
5/Apr/20050.0549
6/Apr/20050.0551
7/Apr/20050.0551
8/Apr/20050.0549
11/Apr/20050.0551
12/Apr/20050.0552
13/Apr/20050.0551
14/Apr/20050.0549
15/Apr/20050.0549
18/Apr/20050.0549
19/Apr/20050.0552
20/Apr/20050.0549
21/Apr/20050.055
22/Apr/20050.055
25/Apr/20050.055
26/Apr/20050.0549
27/Apr/20050.0551
28/Apr/20050.0549
29/Apr/20050.055
2/May/20050.0552
3/May/20050.055
4/May/20050.0551
5/May/20050.055
6/May/20050.0548
9/May/20050.0549
10/May/20050.0549
11/May/20050.0552
12/May/20050.0551
13/May/20050.0549
16/May/20050.0551
17/May/20050.0548
18/May/20050.055
19/May/20050.055
20/May/20050.055
23/May/20050.0549
24/May/20050.0548
25/May/20050.0551
26/May/20050.0549
27/May/20050.055
30/May/20050.055
31/May/20050.0551
1/Jun/20050.0551
2/Jun/20050.055
3/Jun/20050.0548
6/Jun/20050.0551
7/Jun/20050.0548
8/Jun/20050.055
9/Jun/20050.0548
10/Jun/20050.055
13/Jun/20050.0551
14/Jun/20050.055
15/Jun/20050.055
16/Jun/20050.0551
17/Jun/20050.0551
20/Jun/20050.0549
21/Jun/20050.055
22/Jun/20050.0548
23/Jun/20050.0549
24/Jun/20050.0551
27/Jun/20050.0549
28/Jun/20050.0551
29/Jun/20050.0552
30/Jun/20050.055
1/Jul/20050.055
4/Jul/20050.0551
5/Jul/20050.0549
6/Jul/20050.0549
7/Jul/20050.0549
8/Jul/20050.0552
11/Jul/20050.0551
12/Jul/20050.0551
13/Jul/20050.055
14/Jul/20050.0548
15/Jul/20050.0552

Example C# API usage for setting the range data for parameter : PastFixings 


CTQL.CTRangeData IDXGBPLibor_PastFixings = new CTQL.CTRangeData();

System.Text.StringBuilder IDXGBPLibor_PastFixings_builder =
new System.Text.StringBuilder(100);

IDXGBPLibor_PastFixings_builder.Append("{");
IDXGBPLibor_PastFixings_builder.Append("#21/Mar/2005#	 | 0.0552 ;");
IDXGBPLibor_PastFixings_builder.Append("#22/Mar/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#23/Mar/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#24/Mar/2005#	 | 0.0552 ;");
IDXGBPLibor_PastFixings_builder.Append("#25/Mar/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#28/Mar/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#29/Mar/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#30/Mar/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#31/Mar/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#1/Apr/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#4/Apr/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#5/Apr/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#6/Apr/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#7/Apr/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#8/Apr/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#11/Apr/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#12/Apr/2005#	 | 0.0552 ;");
IDXGBPLibor_PastFixings_builder.Append("#13/Apr/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#14/Apr/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#15/Apr/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#18/Apr/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#19/Apr/2005#	 | 0.0552 ;");
IDXGBPLibor_PastFixings_builder.Append("#20/Apr/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#21/Apr/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#22/Apr/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#25/Apr/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#26/Apr/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#27/Apr/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#28/Apr/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#29/Apr/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#2/May/2005#	 | 0.0552 ;");
IDXGBPLibor_PastFixings_builder.Append("#3/May/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#4/May/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#5/May/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#6/May/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#9/May/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#10/May/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#11/May/2005#	 | 0.0552 ;");
IDXGBPLibor_PastFixings_builder.Append("#12/May/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#13/May/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#16/May/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#17/May/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#18/May/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#19/May/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#20/May/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#23/May/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#24/May/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#25/May/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#26/May/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#27/May/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#30/May/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#31/May/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#1/Jun/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#2/Jun/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#3/Jun/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#6/Jun/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#7/Jun/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#8/Jun/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#9/Jun/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#10/Jun/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#13/Jun/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#14/Jun/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#15/Jun/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#16/Jun/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#17/Jun/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#20/Jun/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#21/Jun/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#22/Jun/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#23/Jun/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#24/Jun/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#27/Jun/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#28/Jun/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#29/Jun/2005#	 | 0.0552 ;");
IDXGBPLibor_PastFixings_builder.Append("#30/Jun/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#1/Jul/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#4/Jul/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#5/Jul/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#6/Jul/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#7/Jul/2005#	 | 0.0549 ;");
IDXGBPLibor_PastFixings_builder.Append("#8/Jul/2005#	 | 0.0552 ;");
IDXGBPLibor_PastFixings_builder.Append("#11/Jul/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#12/Jul/2005#	 | 0.0551 ;");
IDXGBPLibor_PastFixings_builder.Append("#13/Jul/2005#	 | 0.055 ;");
IDXGBPLibor_PastFixings_builder.Append("#14/Jul/2005#	 | 0.0548 ;");
IDXGBPLibor_PastFixings_builder.Append("#15/Jul/2005#	 | 0.0552");
IDXGBPLibor_PastFixings_builder.Append("}");

// Parse the string into the Range object.
IDXGBPLibor_PastFixings.RangeFromStr( IDXGBPLibor_PastFixings_builder.ToString() );


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 IDXGBPLibor() 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 IDXGBPLibor() function call


MyGBPIndex_9.GBPLibor.0

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