CDSwap

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

1. StartDate parameter
   
   
   Initial Start Date.
2. EndDate parameter
   
   
   Final End Date.
3. RecoveryRate parameter
   
   
   RecoveryRate of bond principal only
4. premiumFreq parameter
   
   
   Premium Frequency. Can use any of the Frequency codes contained within the 'CapeTools Frequency Enums' category of functions.
5. DefaultFreq parameter
   
   
   The frequency of default within a premium period. Can use any of the Frequency codes contained within the 'CapeTools Frequency Enums' category of functions. This frequency should be equal to or less than (in terms of the length of the frequency period) the 'premiumFreq' parameter.
6. payaccrued parameter
   
   
   Whether any accrued premiums are paid upon default.
7. DayCount parameter
   
   
   DayCounter to use
8. Cal parameter
   
   
   Calendar to use for the adjustment of dates that lands on a holiday or weekend, if you use the EmptyCalendar() function, no adjustments will be made
9. BusDayConv parameter
   
   
   Business Day Convention. treatment of date adjustments
10. CDCKey parameter
    
    
    Key to an already constructed Credit Default Curve object.

Double CTQryCreditCurves.CDSwap( _
Long StartDate, _
Long EndDate, _
Double RecoveryRate, _
FreqEnum premiumFreq, _
FreqEnum DefaultFreq, _
Boolean payaccrued, _
DayCountEnum DayCount, _
String Cal, _
BDCEnum BusDayConv, _
String CDCKey)

=CT.CDS.CDSwap(
Excel Numeric Cell StartDate,
Excel Numeric Cell EndDate,
Excel Numeric Cell RecoveryRate,
Excel String Cell premiumFreq,
Excel String Cell DefaultFreq,
Excel Boolean Value Cell payaccrued,
Excel String Cell DayCount,
Excel String Cell Cal,
Excel String Cell BusDayConv,
Excel String Cell CDCKey)

static double CDSwap(
long StartDate,
long EndDate,
double RecoveryRate,
FreqEnum premiumFreq,
FreqEnum DefaultFreq,
bool payaccrued,
DayCountEnum DayCount,
std::string Cal,
BDCEnum BusDayConv,
std::string CDCKey);

System.Double CTQryCreditCurvesSA.CDSwap(
System.Int32 StartDate,
System.Int32 EndDate,
System.Double RecoveryRate,
CTIEnums.FreqEnum premiumFreq,
CTIEnums.FreqEnum DefaultFreq,
System.Boolean payaccrued,
CTIEnums.DayCountEnum DayCount,
System.String Cal,
CTIEnums.BDCEnum BusDayConv,
System.String CDCKey);

• CALEURO() ( CT.QL.Curves20 )
• ValueDateObj() ( CT.QL.Utils20 )
• CALUKExchange() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• MKTYC_D() ( CT.QL.Curves20 )
• CreditCurveCDS() ( CT.QL.Curves20 )
• CDSwap() ( CT.QL.Curves20 )

• Example VB.NET Driver function. Preparing the parameters and the final function call (the result).
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• Example Visual Basic 6 Driver function. Preparing the parameters and the final function call (the result).
• Example Excel VBA Driver function. Preparing the parameters and the final function call (the result).
• Example C++ Driver function. Preparing the parameters and the final function call (the result).
• Example Java Driver function. Preparing the parameters and the final function call (the result).