CMSForwardAdj2

High level graphic of CMSForwardAdj2() 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. FlatVol parameter
   
   
   A numeric Lognormal volatility value.
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.CMSForwardAdj2( _
Long Start, _
Long EndDate, _
String CMSIndexKey, _
Double FlatVol, _
Boolean InArrears, _
Double CMSRho)

=CT.MKT.CMSForwardAdj2(
Excel Numeric Cell Start,
Excel Numeric Cell EndDate,
Excel String Cell CMSIndexKey,
Excel Numeric Cell FlatVol,
Excel Boolean Value Cell InArrears,
Excel Numeric Cell CMSRho)

static double CMSForwardAdj2(
long Start,
long EndDate,
std::string CMSIndexKey,
double FlatVol,
bool InArrears,
double CMSRho);

System.Double CTQryCurvesSA.CMSForwardAdj2(
System.Int32 Start,
System.Int32 EndDate,
System.String CMSIndexKey,
System.Double FlatVol,
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 )
• MKTYC_XCCY_D() ( CT.QL.Curves20 )
• CreateIndex() ( CT.QL.Curves20 )
• CreateSwapIndex() ( CT.QL.Curves20 )
• CMSForwardAdj2() ( CT.QL.Curves20 )

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