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 requires the input of a Calendar object key, which must have been produced via a call to one of the Calendar creation functions present within the CapeTools Calendars category of functions.

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

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.

Please refer to the large number of enumeration functions present within the CapeTools Enums category of functions.

The CapeTools Enums category of functions return correct string codes that can be passed to parameters taking fixed string values defined by the library (ie - DayCount codes, frequency codes, currency codes, compounding codes, business day convention codes etc...).

You can thus execute these enumeration functions which return the proper code, instead of trying to remember the string code needed or making spelling mistakes which can be difficult to debug.

Double CTQryCurves.CompMKTSwap2( _
Long Start, _
Long EndDate, _
FreqEnum Freq, _
BDCEnum BusDayConv, _
DayCountEnum DayCount, _
String Cal, _
String IndexKeyTPL, _
FreqEnum FixingLength, _
String YCKey)

=CT.MKT.CompMKTSwap2(
Excel Numeric Cell Start,
Excel Numeric Cell EndDate,
Excel String Cell Freq,
Excel String Cell BusDayConv,
Excel String Cell DayCount,
Excel String Cell Cal,
Excel String Cell IndexKeyTPL,
Excel String Cell FixingLength,
Excel String Cell YCKey)

static double CompMKTSwap2(
long Start,
long EndDate,
FreqEnum Freq,
BDCEnum BusDayConv,
DayCountEnum DayCount,
std::string Cal,
std::string IndexKeyTPL,
FreqEnum FixingLength,
std::string YCKey);

System.Double CTQryCurvesSA.CompMKTSwap2(
System.Int32 Start,
System.Int32 EndDate,
CTIEnums.FreqEnum Freq,
CTIEnums.BDCEnum BusDayConv,
CTIEnums.DayCountEnum DayCount,
System.String Cal,
System.String IndexKeyTPL,
CTIEnums.FreqEnum FixingLength,
System.String YCKey);

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.