CapeTools Query Curves

CapeTools Query Curves

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In total there are 54 functions present within the CapeTools Query Curves category of functions.

General Description

These functions query VolCurves and Yieldcurve objects for various information.

You can request for the market sensitivity of the instruments used within the underlying Volalility Curve objects (delta, gamma, vega and theta). This is useful if you are conducting risk-management calculations yourself.
You can also generate a market rate matrix for each of the ('UnderlyingStart' / 'UnderlyingEnd') instrument combination (for a unit notional of the underlying deposits/swaps). Basically a rates matrix where the rows are the rate start tenors and the columns are the rate Length (in a Tenor format also).

Function list.

AvgFixingRate - Returns the average fixing rate given a fixing date, a fixing period and an index Key (not index template).
AvgForwardRate - Returns the average forward rate between 2 dates.
AvgMKTSwap - Returns the fair rate for an interest rate average swap.
AvgMKTSwap2 - Returns the fair rate for an interest rate average swap.
BasisSwap - Returns the spread on the exotic leg of a Basis swap.
CMSForward - Returns the CMS adjusted rate between 2 dates, given a swap index object.
CMSForward2 - Returns the CMS adjusted rate between 2 dates, given a swap index object and a flat lognormal volatility.
CMSForwardAdj - Returns the CMS adjustment (that is added onto the computed swap rate) between 2 dates, given a swap index object.
CMSForwardAdj2 - Returns the CMS adjustment (that is added onto the computed swap rate) between 2 dates, given a swap index object and a flat lognormal volatility.
CMSOption - Computes a CMS caplet or floorlet given a swap index object.
CMSOption2 - Computes a CMS caplet or floorlet given a swap index object and a flat lognormal volatility.
CompFixingRate - Returns the compounded fixing rate given a fixing date, a fixing period and an index Key (not index template).
CompForwardRate - Returns the compounded forward rate between 2 dates.
CompMKTSwap - Returns the fair rate for an interest rate compounded swap.
CompMKTSwap2 - Returns the fair rate for an interest rate compounded swap.
DRSOption - Computes a DRS (In-Arrears or delayed-reset) caplet or floorlet given an index object.
DRSOption2 - Computes a DRS (In-Arrears or delayed-reset) caplet or floorlet given an index object and a flat lognormal volatility.
Discount - Returns the Discount Factor at a particular date.
EquitySABRVol - Returns the volatility given an equity/FX/Commodity SABR volatility VOL Key.
EquitySABRVol2 - Returns the volatility given an equity/FX/Commodity SABR volatility VOL Key and a Forward value.
FRA - Returns the FRA rate given a FRA tenor.
FRA2 - Returns the FRA rate given a FRA tenor.
FixingRate - Returns the fixing rate given a fixing date and an index Key (not index template).
FixingRate2 - Returns the fixing rate given a fixing date and a YieldCurve object.
Forward - Returns the forward rate between 2 dates.
Forward2 - Returns the forward rate between 2 dates.
FutAdj_HW - Computes the convexity adjustment from an interest rate futures price that needs to be added onto the quoted futures price in order to back out an unbiased forward rate.
FutAdj_KN - Computes the convexity adjustment from an interest rate futures price that needs to be added onto the quoted futures price in order to back out an unbiased forward rate.
IRVolatility - Returns the volatility given an interest rate volatility VOL Key (use the SABRVol() function for the SABR model).
IVCapFloor - Returns the flat implied vanilla cap/floor volatility.
IVSwaption - Returns the implied vanilla swaption volatility.
MKTCapFloor - Returns the premium from an vanilla cap/floor structure.
MKTSwap - Returns the fair rate for an interest rate swap.
MKTSwap2 - Returns the fair rate for an interest rate swap.
MKTSwap3 - Returns the fair rate for an interest rate swap.
MKTSwap4 - Returns the fair rate for an interest rate swap.
MKTSwap5 - Returns the fair rate for an interest rate swap.
MKTSwaption - Returns the premium from an vanilla swaption structure.
QuickBPSMatrix - Given a Discounting YieldCurve, this function will display the market basis-point-sensitivity (BPS) matrix on each of the ('UnderlyingStart' / 'UnderlyingLength') instrument combination (for a unit notional of the underlying deposits/swaps).
QuickOptionDelta - Given a Fixing YieldCurve, Discounting YieldCurve and a VolCurve, this function will display the at-the-money option delta matrix on each of the ('option maturity' / 'option underlying') instrument combination (for a unit notional).
QuickOptionGamma - Given a Fixing YieldCurve, Discounting YieldCurve and a VolCurve, this function will display the at-the-money option gamma matrix on each of the ('option maturity' / 'option underlying') instrument combination (for a unit notional).
QuickOptionTheta - Given a Fixing YieldCurve, Discounting YieldCurve and a VolCurve, this function will display the at-the-money option theta matrix on each of the ('option maturity' / 'option underlying') instrument combination (for a unit notional).
QuickOptionVega - Given a Fixing YieldCurve, Discounting YieldCurve and a VolCurve, this function will display the at-the-money option vega matrix on each of the ('option maturity' / 'option underlying') instrument combination (for a unit notional).
QuickRateMatrix - Given a Fixing YieldCurve this function will display the market rates matrix on each of the ('UnderlyingStart' / 'UnderlyingEnd') instrument combination (for a unit notional of the underlying deposits/swaps).
SABRATMVol - Returns the ATM volatility given an interest rate SABR volatility VOL Key.
SABRAlpha - Returns the Alpha value (controls the wings of the smile) given an interest rate SABR volatility VOL Key.
SABRBeta - Returns the Beta value given an interest rate SABR volatility VOL Key.
SABRRho - Returns the Rho value given an interest rate SABR volatility VOL Key.
SABRVol - Returns the volatility given an interest rate SABR volatility VOL Key.
SABRVol2 - Returns the volatility given an interest rate SABR volatility VOL Key.
SABRVol3 - Returns the volatility given the parameters of a SABR model.
Volatility - Returns the volatility given a non interest rate volatility VOL Key.
XCcySwap - Returns the spread on the non-dollar leg of a XCcySwap against the neutral dollar leg.
ZeroRate - Returns the zero rate.