Creates a new GBP Swap Index for the computation of CMS fixing rates.
This function requires either a call to the
CreateIndex() function with the correct currency code or you can use the specialised
IDXGBPLibor() index object in order to define the details of the floating leg of this CMS swap index.
For the fixed side leg of this index, this function will use the following : Coupon frequency 'SemiAnnual', BusinessDayConvention
BDCModifiedFollowing(), DayCounter
DCActual365Fixed(), Calendar
CALUKExchange() and settlement days of 0 days.
This Index can model the 'GBP-Semi-Annual Swap Rate-Reference Banks' definition as defined by ISDA.
If you require a different definition of a GBP CMS swap rate, you can execute the
CreateSwapIndex() function.
There are nine algorithms that you can specify for the computation of the CMS adjustments.
Hull (which is described in 'Options, Futures, and derivatives' 5th Edition, pp600) and the other eight algorithms are based on Hagan ('Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors', wilmott magazine) . HaganFullStd (integration via swaptions using Bond maths) is based on - equations 2.19a and A.3. HaganFullExact (integration via swaptions using exact yields) is based on - equations 2.19a and A.8. HaganFullPShift (integration via swaptions using Parallel shifts) is based on - equations 2.19a and A.12a. HaganFullNonPShift (integration via swaptions using Non-Parallel shifts) is based on - equations 2.19a and A.15a. HaganBlackStd (Analytical version of Hagan's formula using the Black model coupled with Bond maths) is based on - equations 3.5a and A.3. HaganBlackExact (Analytical version of Hagan's formula using the Black model coupled with exact yield calculations) is based on - equations 3.5a and A.8. HaganBlackPShift (Analytical version of Hagan's formula using the Black model coupled with Parallel shifts) is based on - equations 3.5a and A.12a. HaganBlackNonPShift (Analytical version of Hagan's formula using the Black model coupled with Non-Parallel shifts) is based on - equations 3.5a and A.15a. In terms of rate convexity adjustment, 'Hull' is the fastest but the least accurate.
Next we have 'HaganBlackStd', 'HaganBlackPShift', 'HaganBlackNonPShift' and 'HaganBlackExact'. These are quite fast also however they suffer from the fact that they do not take advantage of the volatility smile.
They use the ATM volatility only within their convexity formula.
'Hull' also uses ATM volatilities but uses a different method to handle CMS payment date adjustments.
The most accurate, but the slowest are the 'HaganFullStd', 'HaganFullPShift', 'HaganFullNonPShift' and 'HaganFullExact' algorithms.
They try to capture the volatility smile via the integration of swaptions.
We have made some optimizations to the volatility curves to detect when the 'HaganFullStd' and 'HaganFullExact' are being conducted and thus optimise volatility retrival.
Finally the value within the 'CMSAlgo' parameter determines the algorithm used for the computation of CMS caplets and floorlets.
'HaganBlackStd' will be used if 'Hull' is specified.
CMS Caplets and Floorlets are computed via CALL-PUT Parity.
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 : "IDXGBPSW"
- Key parameter
Key value to use as a handle for the created object
- 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).
- SwapIndName parameter
A Tag name you would like the new Swap Index code to display when querying.
- SwapTenor parameter
The tenor of the swap index.
- IndexKey parameter
Key to an already constructed Libor Index key. This Index contains all the information for the Float side of the swap.
- CMSAlgo parameter
The CMS algorithm to apply. Possible values are 'Hull', 'HaganFullStd' (integration via swaptions using Bond maths), 'HaganFullExact' (integration via swaptions using exact yields), 'HaganFullPShift' (integration via swaptions using Parallel shifts), 'HaganFullNonPShift' (integration via swaptions using Non-Parallel shifts), 'HaganBlackStd' (Analytical version of Hagan's formula using the Black model coupled with Bond maths), 'HaganBlackExact' (Analytical version of Hagan's formula using the Black model coupled with exact yield calculations), , 'HaganBlackPShift' (Analytical version of Hagan's formula using the Black model coupled with Parallel shifts) or 'HaganBlackNonPShift' (Analytical version of Hagan's formula using the Black model coupled with Non-Parallel shifts).
- CMSMeanRev parameter
If the 'CMSAlgo' parameter is set to 'HaganBlackNonPShift' or 'HaganFullNonPShift' then a positive mean reversion parameter is required.
- PastFixings parameter
Optional Swap past fixings range.
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.
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Function Syntax