BasisSwap




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CapeTools Query Curves function list

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Returns the spread on the exotic leg of a Basis swap.

The exotic side details of the BasisSwap is extracted from the 'EIndexKey' parameter.

The vanilla Leg details are extracted from the 'VIndexKey' parameter.

Both indexes must be based from the same currency.

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

This function would have returned a string 'KEY' which are to be passed to the 'EIndexKey' and 'VIndexKey' parameters of this function.



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


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



Parameter Description


  1. Start parameter

    Start date of the swap
  2. EndDate parameter

    End date of the swap
  3. VIndexKey parameter

    The Vanilla Index Key to an already constructed Index object. The vanilla side of the swap will extract its information from this index.
  4. EIndexKey parameter

    The Exotic Index Key to an already constructed Index object. The exotic side of the swap will extract its information from this index.


Extended information

Function Syntax

VB Syntax 


Double CTQryCurves.BasisSwap( _
Long Start, _
Long EndDate, _
String VIndexKey, _
String EIndexKey)


Excel Spreadsheet Syntax 


=CT.MKT.BasisSwap(
Excel Numeric Cell Start,
Excel Numeric Cell EndDate,
Excel String Cell VIndexKey,
Excel String Cell EIndexKey)


C++ Syntax 


static double BasisSwap(
long Start,
long EndDate,
std::string VIndexKey,
std::string EIndexKey);


DotNET Syntax 


System.Double CTQryCurvesSA.BasisSwap(
System.Int32 Start,
System.Int32 EndDate,
System.String VIndexKey,
System.String EIndexKey);

Parameter data types

ArgNameArgTypeIsKey
StartLongFALSE
EndDateLongFALSE
VIndexKeyStringTRUE
EIndexKeyStringTRUE

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
StartFALSE21/Jul/2006 (serial date type)
EndDateFALSE21/Jul/2011 (serial date type)
VIndexKeyFALSEVIndexKeyNAME.EXTTAG.TICKER (from a function call)
EIndexKeyFALSEEIndexKeyNAME.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 BasisSwap() 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 BasisSwap() function call


-0.00040000120046553

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