CompMKTSwap




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Returns the fair rate for an interest rate compounded swap.

The fixings on the float side of the swap are the result of compounded rates.

The 'FixingLength' parameter now determines the frequency of the float side of the swap.

This function uses the market information for the FIX side of the swap that is contained within the YieldCurve.

Obtains details for the FLOAT side of the SWAP via the IndexKey template passed in.

The IndexKey template object is a collection of information pertaining to a fixing period.

This function requires the input of a IndexKey template object key, which must have been produced via a call to CreateDepoTemplate(). This function would have returned a string 'KEY' which is to be passed to the 'IndexKeyTPL' parameter of this function.

This function requires the input of a YieldCurve object key, which must have been produced via a call to one of the YieldCurve (CapeTools Curves, CapeTools XCCY Curves or CapeTools Bond Curves) or Credit Default Curves (CapeTools Credit Curves) category of functions.

(You cannot use the DiscountCurve(), ForwardCurve(), ZeroCurve() or FlatYieldCurve() functions as these do not contain enough information for pricing.).

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



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


High level graphic of CompMKTSwap() 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. IndexKeyTPL parameter

    Index Key to an already constructed Index Template object. Used for the FLOAT side of the swap.
  4. FixingLength parameter

    Frequency of the floating swap leg. Internally, the floating frequency stored within the Index Template object (created via the CreateDepoTemplate() function and passed to the 'IndexKeyTPL' parameter of this function) will be used as the tenor/frequency in order to compute a number of fixing rates within this 'FixingLength' parameter. Thus if the 'FixingLength' parameter is defined as 'S' (for Semi-Annual) and the 'FLTLegFreq' parameter (within the CreateDepoTemplate() object passed to the 'IndexKeyTPL' parameter of this function) is defined as 'M' (for monthly), then six fixing values will be compounded within a single floating period. If you specified 'D' (for one day) for the 'FLTLegFreq' parameter, you are bascially computing
    an OIS compounding rate (ie - EONIA).
  5. YCKey parameter

    Key to an already constructed YieldCurve object.


Extended information

Function Syntax

VB Syntax 


Double CTQryCurves.CompMKTSwap( _
Long Start, _
Long EndDate, _
String IndexKeyTPL, _
FreqEnum FixingLength, _
String YCKey)


Excel Spreadsheet Syntax 


=CT.MKT.CompMKTSwap(
Excel Numeric Cell Start,
Excel Numeric Cell EndDate,
Excel String Cell IndexKeyTPL,
Excel String Cell FixingLength,
Excel String Cell YCKey)


C++ Syntax 


static double CompMKTSwap(
long Start,
long EndDate,
std::string IndexKeyTPL,
FreqEnum FixingLength,
std::string YCKey);


DotNET Syntax 


System.Double CTQryCurvesSA.CompMKTSwap(
System.Int32 Start,
System.Int32 EndDate,
System.String IndexKeyTPL,
CTIEnums.FreqEnum FixingLength,
System.String YCKey);

Parameter data types

ArgNameArgTypeIsKey
StartLongFALSE
EndDateLongFALSE
IndexKeyTPLStringTRUE
FixingLengthFreqEnumFALSE
YCKeyStringTRUE

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)
IndexKeyTPLFALSEIndexKeyTPLNAME.EXTTAG.TICKER (from a function call)
FixingLengthFALSES
YCKeyFALSEYCKeyNAME.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 CompMKTSwap() 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 CompMKTSwap() function call


0.044850115266888

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