FLTBookFixingBPV




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CapeTools Leg Portfolio function list

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Returns the basis point value (by shifting the fixing (reset) curve) given a Floating Rate leg portfolio object.

You can request for the total BPV 'TOTAL' or the BPV of each leg deal 'CASHFLOW'.



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


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



Parameter Description


  1. FLTBookKey parameter

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

    The type of output you would like to see. 'TOTAL' (for total price) or 'CASHFLOW' for the price of each swap contract within the portfolio.


Extended information

Function Syntax

VB Syntax 


Variant CTLegPortfolio.FLTBookFixingBPV( _
String FLTBookKey, _
String Level)


Excel Spreadsheet Syntax 


=CT.BOOK.FLTBookFixingBPV(
Excel String Cell FLTBookKey,
Excel String Cell Level)


C++ Syntax 


static CTRangeDataCPP FLTBookFixingBPV(
std::string FLTBookKey,
std::string Level);


DotNET Syntax 


CTRangeData CTLegPortfolioSA.FLTBookFixingBPV(
System.String FLTBookKey,
System.String Level);

Parameter data types

ArgNameArgTypeIsKey
FLTBookKeyStringTRUE
LevelStringFALSE

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
FLTBookKeyFALSEFLTBookKeyNAME.EXTTAG.TICKER (from a function call)
LevelFALSECASHFLOW


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 FLTBookFixingBPV() 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 FLTBookFixingBPV() function call


Example
ContractIDResult
FLT-12345618605.2
FLT : 25-Jul-2005 - EURLIBOR6M20246.5
FLT : 25-Jan-2006 - EURLIBOR6M-3980.18
FLT : 25-Jul-2006 - EURCMS5Y-4524.5
FLT : 25-Jan-2007 - EURCMS5Y-4368.98



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