CMSForward

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

1. Start parameter
   
   
   Start date of the Forward rate
2. EndDate parameter
   
   
   End date of the Forward rate
3. CMSIndexKey parameter
   
   
   SWAP Index Key to an already constructed Swap Index object (via a call to the CreateSwapIndex(), IDXEURSwap(), IDXGBPSwap(), IDXJPYSwap(), IDXCHFSwap() or IDXUSDSwap() function). Used for the description of the SWAP underlying the CMS for the Fixing period of this forward rate.
4. VCKey parameter
   
   
   Key to an already constructed interest rate VolCurve object.
5. InArrears parameter
   
   
   Is the swap Index fixed on the payment date of the payment period?
6. CMSRho parameter
   
   
   The correlation between swap rates and fwd rates (required if the 'InArrears' parameter is set to false and the 'CMSAlgo' parameter within the CMS Index is set to 'Hull').

Double CTQryCurves.CMSForward( _
Long Start, _
Long EndDate, _
String CMSIndexKey, _
String VCKey, _
Boolean InArrears, _
Double CMSRho)

=CT.MKT.CMSForward(
Excel Numeric Cell Start,
Excel Numeric Cell EndDate,
Excel String Cell CMSIndexKey,
Excel String Cell VCKey,
Excel Boolean Value Cell InArrears,
Excel Numeric Cell CMSRho)

static double CMSForward(
long Start,
long EndDate,
std::string CMSIndexKey,
std::string VCKey,
bool InArrears,
double CMSRho);

System.Double CTQryCurvesSA.CMSForward(
System.Int32 Start,
System.Int32 EndDate,
System.String CMSIndexKey,
System.String VCKey,
System.Boolean InArrears,
System.Double CMSRho);

• CALTARGET() ( CT.QL.Curves20 )
• CALUKExchange() ( CT.QL.Curves20 )
• CALEURO() ( CT.QL.Curves20 )
• ValueDateObj() ( CT.QL.Utils20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• SABRVolCurve() ( CT.QL.Curves20 )
• MKTYC_XCCY_D() ( CT.QL.Curves20 )
• CreateIndex() ( CT.QL.Curves20 )
• CreateSwapIndex() ( CT.QL.Curves20 )
• CMSForward() ( CT.QL.Curves20 )

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