CapeTools Swaption Portfolio
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In total there are 6 functions present within the CapeTools Swaption Portfolio category of functions.
General Description
Functions to construct a portfolio of vanilla swaption instruments.
In addition you can query for the total PV of the portfolio and also the PV for each individual deal.
Given an ID of a contract within the portfolio, you can request for more detailed information.
There is also a function to construct a portfolio of swaption instruments where the prices are already known. From this one can request for the implied volatility for each swaption instrument.
Function list.
- IVOSBook - Solves for the implied volatilies given an IVSwaption portfolio object.
- IVSwaptionPortfolio - Creates a Swaption portfolio object in order to compute a series of implied black scholes volatilities.
- OSBKDisplayLeg - Returns a range of information (regarding the underlying swap leg) given a Swaption object.
- OSBKDisplayLeg2 - Returns a range of extended information (regarding the underlying swap leg) given a Swaption object.
- PriceOSBook - Prices the given Swaption portfolio object.
- SwaptionPortfolio - Creates a Swaption portfolio object.
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