AvgFixingRate




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Returns the average fixing rate given a fixing date, a fixing period and an index Key (not index template).

Internally, using the 'dtFixing' and 'FixingLength' parameters, the end date of this fixing period will be computed as follows [ dtEndDate = Advance(dtFixing, FixingLength) ]. The 'Tenor' parameter of the index object passed to the 'IndexKey' parameter must be less (in duration/time) than the frequency specified within the 'FixingLength' parameter.

All market information are derived from the Index object.

An Index object has an embedded yieldCurve object within it (unlike an index object template).

This function requires the input of an Index object key, which must have been produced via a call to one of the Index creation functions present within the CapeTools Indexes category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'IndexKey' parameter of this function.



Note: Within Excel, the function is named - CT.MKT.AvgFixingRate


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



Parameter Description


  1. dtFixing parameter

    Fixing date of this rate
  2. FixingLength parameter

    Length of the Fixing rate. Internally, using the dtFixing and FixingLength parameters, the end date of this fixing period will be computed as follows [ dtEndDate = Advance(dtFixing, FixingLength) ]. The 'Tenor' parameter of the index object passed to the 'IndexKey' parameter must be less (in duration/time) than the frequency specified here. The number of fixing periods will depend on how often the 'Tenor' (defined within the index object passed to the 'IndexKey' parameter) can fit within the 'FixingLength' parameter. Thus if '1M' (for one month) is specified for the index object and the frequency specified here is 'Annual', then 12 fixing periods will be averaged.
  3. IndexKey parameter

    Key to an already constructed Index object. The 'Tenor' parameter of the index object passed here must be less (in duration/time) than the frequency specified within the 'FixingLength' parameter.


Extended information

Function Syntax

VB Syntax 


Double CTQryCurves.AvgFixingRate( _
Long dtFixing, _
FreqEnum FixingLength, _
String IndexKey)


Excel Spreadsheet Syntax 


=CT.MKT.AvgFixingRate(
Excel Numeric Cell dtFixing,
Excel String Cell FixingLength,
Excel String Cell IndexKey)


C++ Syntax 


static double AvgFixingRate(
long dtFixing,
FreqEnum FixingLength,
std::string IndexKey);


DotNET Syntax 


System.Double CTQryCurvesSA.AvgFixingRate(
System.Int32 dtFixing,
CTIEnums.FreqEnum FixingLength,
System.String IndexKey);

Parameter data types

ArgNameArgTypeIsKey
dtFixingLongFALSE
FixingLengthFreqEnumFALSE
IndexKeyStringTRUE

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
dtFixingFALSE21/Oct/2005 (serial date type)
FixingLengthFALSES
IndexKeyFALSEIndexKeyNAME.EXTTAG.TICKER (from a function call)


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.Curves20 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 AvgFixingRate() 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 AvgFixingRate() function call


0.0369048152769926

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