FLTBKDisplayLeg2

FLTBKDisplayLeg2

http://www.QuantTools.com
CapeTools Leg Portfolio function list

Welcome | Documentation format | QuantTools Groups | QuantTools Categories | Licence

Returns a range of extended information regarding the indicated leg.

The function requires the input of a floating rate leg portfolio object which must have been constructed via the FloatLegPortfolio() function.

This function would have returned a string 'KEY' which is to be passed to the 'FLTBookKey' parameter of this function.

Note: Within Excel, the function is named - CT.BOOK.FLTBKDisplayLeg2

High level graphic of FLTBKDisplayLeg2() function with parameters. Blue square node is the actual function with the parameters ordered.

Parameter Description

FLTBookKey parameter

Key Handle to an already constructed Leg Portfolio (Book) object.
FLTDealID parameter

The Swap deal ID to query for.

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
FLTBookKey	String	TRUE
FLTDealID	String	FALSE

Example Inputs

ArgName	IsOptional (Excel only)	Example
FLTBookKey	FALSE	FLTBookKeyNAME.EXTTAG.TICKER (from a function call)
FLTDealID	FALSE	FLT-123456

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.IRPortfolio20 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 FLTBKDisplayLeg2() 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 :

CALUKExchange() ( CT.QL.Curves20 )
CALEURO() ( CT.QL.Curves20 )
ValueDateObj() ( CT.QL.Utils20 )
CALUKSettlement() ( CT.QL.Curves20 )
CALTARGET() ( CT.QL.Curves20 )
CreateDepoTemplate() ( CT.QL.Curves20 )
CreateSwapTemplate() ( CT.QL.Curves20 )
MKTYC_XCCY_D() ( CT.QL.Curves20 )
SABRVolCurve() ( CT.QL.Curves20 )
CreateIndex() ( CT.QL.Curves20 )
CreateSwapIndex() ( CT.QL.Curves20 )
MKTYC_D() ( CT.QL.Curves20 )
IDXGBPLibor() ( CT.QL.Curves20 )
GroupedIndex() ( CT.QL.Curves20 )
FloatLegPortfolio() ( CT.QL.IRPortfolio20 )
FLTBKDisplayLeg2() ( CT.QL.IRPortfolio20 )

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 FLTBKDisplayLeg2() function call

Example
Gearing	Notional (EUR)	FixingDate	PeriodStartDate	PeriodEndDate	PayDate	IndexStartDate	IndexEndDate	AccrualDays	ResetTimes	StartTimes	PayTimes	UnAdjustedRates	FwdSpreads	ConvexityAdjs	QuantoAdjFactors	QuantoFXVols	QuantoRhos	Margins	Fixings	Gearing*Fixings+Margins	Coverage	DCF
1	5e+007	38372	38376	38467	38467	38376	38467	91	-0.493151	-0.487671	-0.238356	0	0	0	0	0	0	0.0002	0	0.0002	0.249315	0
1	5e+007	38463	38467	38558	38558	38467	38558	91	-0.243836	-0.238356	0.0109589	0.036	0.00035	0	1	0	0	0.0002	0.036	0.0362	0.249315	0.999431
1	5e+007	38554	38558	38649	38649	38558	38650	91	0.00547945	0.0109589	0.260274	0.0358539	0.00035	0	1	0	0	0.0002	0.0358539	0.0360539	0.249315	0.990664
1	5e+007	38645	38649	38741	38741	38649	38741	92	0.254795	0.260274	0.512329	0.0362806	0.00035	0	1	0	0	0.0002	0.0362806	0.0364806	0.252055	0.981772
1	5e+007	38737	38741	38831	38831	38741	38831	90	0.506849	0.512329	0.758904	0.0371354	0.00035	0	1	0	0	0.0002	0.0371354	0.0373354	0.246575	0.972947
1	5e+007	38827	38831	38922	38922	38831	38922	91	0.753425	0.758904	1.00822	0.0400789	0.000248344	0	1	0	0	0.0002	0.0400789	0.0402789	0.249315	0.96338
1	5e+007	38918	38922	39014	39014	38922	39014	92	1.00274	1.00822	1.26027	0.0383331	0.000248344	0	1	0	0	0.0002	0.0383331	0.0385331	0.252055	0.954221
1	5e+007	39010	39014	39106	39106	39014	39106	92	1.25479	1.26027	1.51233	0.0383331	0.000248344	0	1	0	0	0.0002	0.0383331	0.0385331	0.252055	0.945148
1	5e+007	39104	39106	39196	39196	39106	39196	90	1.51233	1.51233	1.7589	0.0383291	0.000248344	0	1	0	0	0.0002	0.0383291	0.0385291	0.246575	0.936355
1	5e+007	39192	39196	39287	39287	39196	39287	91	1.75342	1.7589	2.00822	0.0384638	0.000378236	0	1	0	0	0.0002	0.0384638	0.0386638	0.249315	0.927548
1	5e+007	39283	39287	39379	39379	39287	39379	92	2.00274	2.00822	2.26027	0.0387188	0.000378236	0	1	0	0	0.0002	0.0387188	0.0389188	0.252055	0.91867
1	5e+007	39377	39379	39471	39471	39379	39471	92	2.26027	2.26027	2.51233	0.0387188	0.000378236	0	1	0	0	0.0002	0.0387188	0.0389188	0.252055	0.909877
1	5e+007	39469	39471	39562	39562	39471	39562	91	2.51233	2.51233	2.76164	0.0387168	0.000378236	0	1	0	0	0.0002	0.0387168	0.0389168	0.249315	0.901263
1	5e+007	39560	39562	39653	39653	39562	39653	91	2.76164	2.76164	3.01096	0.0386636	0.000325	0	1	0	0	0.0002	0.0386636	0.0388636	0.249315	0.89273
1	5e+007	39651	39653	39745	39745	39653	39745	92	3.01096	3.01096	3.26301	0.0386656	0.000325	0	1	0	0	0.0002	0.0386656	0.0388656	0.252055	0.884185
1	5e+007	39743	39745	39839	39839	39745	39839	94	3.26301	3.26301	3.52055	0.0386696	0.000325	0	1	0	0	0.0002	0.0386696	0.0388696	0.257534	0.875539
1	5e+007	39835	39839	39927	39927	39839	39930	88	3.51507	3.52055	3.76164	0.0386636	0.000325	0	1	0	0	0.0002	0.0386636	0.0388636	0.241096	0.867521
1	5e+007	39925	39927	40018	40018	39927	40018	91	3.76164	3.76164	4.01096	0.0386636	0.000325	0	1	0	0	0.0002	0.0386636	0.0388636	0.249315	0.859308
1	5e+007	40016	40018	40112	40112	40018	40112	94	4.01096	4.01096	4.26849	0.0386696	0.000325	0	1	0	0	0.0002	0.0386696	0.0388696	0.257534	0.850905
1	5e+007	40108	40112	40203	40203	40112	40204	91	4.26301	4.26849	4.51781	0.0386656	0.000325	0	1	0	0	0.0002	0.0386656	0.0388656	0.249315	0.842849