CapeTools Leg Portfolio
http://www.QuantTools.com
In total there are 11 functions present within the CapeTools Leg Portfolio category of functions.
General Description
Functions to construct a portfolio of legs (Floating rate and Fixed rate leg).
In addition you can query for the total PV of the portfolio, the PV for each individual deal, basis point value (BPV) for the total portfolio, and the BPV for each individual deal.
Given an ID of a contract within the portfolio, you can request for more detailed information (a breakdown of the instrument cashflows).
Function list.
- FIXBKDisplayLeg - Returns a range of information regarding the indicated leg.
- FIXBKDisplayLeg2 - Returns a range of extended information regarding the indicated leg.
- FIXBookBPV - Returns the basis point value (by shifting the discounting curve) given a Fixed Rate leg portfolio object.
- FLTBKDisplayLeg - Returns a range of information regarding the indicated leg.
- FLTBKDisplayLeg2 - Returns a range of extended information regarding the indicated leg.
- FLTBookDiscountBPV - Returns the basis point value (by shifting the discounting curve) given a Floating Rate leg portfolio object.
- FLTBookFixingBPV - Returns the basis point value (by shifting the fixing (reset) curve) given a Floating Rate leg portfolio object.
- FixedLegPortfolio - Creates a fixed rate leg portfolio object.
- FloatLegPortfolio - Creates a floating rate leg portfolio object (No quanto legs at this time).
- PriceFIXBook - Prices the given Fixed Rate leg portfolio object.
- PriceFLTBook - Prices the given Floating Rate leg portfolio object.
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