CapeTools Query Legs
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In total there are 29 functions present within the CapeTools Query Legs category of functions.
General Description
Functions to query for information given a leg object.
There are functions to query the details of a floating or fixed leg object. The underlying legs must have been created via leg creation functions within the following categories :
There are functions to display various cashflow details from the leg object as well as pricing the leg object.
In addition you can use the CreateStructure function to create a portfolio of leg objects
From this leg portfolio, you can solve for the flat coupon rate or flat margin rate across all the legs.
Furthermore, you can pass the object created from the CreateStructure function to the functions present within the CapeTools IR Risk category of functions in order to run complex interest rate risk analysis.
The CreateStructure function can take in objects created within the following category of functions :
However not all the legs (objects) created from these categories of functions are compatible for solving a flat margin/fixed coupon rate across all the legs (objects). The former list above lists the category of functions that satisfies this criterion.
From either of these lists, you can execute the PrcStructure function in order to see the aggregated PV.
Again interest rate risk can be conducted via the functions present within the CapeTools IR Risk category of functions.
Function list.
- CompLegPayments - Return an array of the compounding payment amounts for each period.
- CreateStructure - Creates a Structure object (which is really a portfolio of leg objects).
- FLTLegAccrualDays - Return an array of the Floating Rate Leg's fixing Accrual Days.
- FLTLegAccrualTimes - Return an array of the Floating Rate Leg's rate fixings length (t).
- FLTLegDCFs - Return an array of the Floating Rate Leg's Discount factors.
- FLTLegEndDates - Return an array of the Floating Rate Leg's fixing end dates.
- FLTLegFixings - Return an array of the Floating Rate Leg's rate fixings.
- FLTLegNotionals - Return an array of the Floating Rate Leg's Notional array.
- FLTLegPayTimes - Return an array of the Floating Rate Leg's Pay Times.
- FLTLegResetTimes - Return an array of the Floating Rate Leg's Reset Times.
- FLTLegSpreads - Return an array of the Floating Rate Leg's Spreads.
- FLTLegStartDates - Return an array of the Floating Rate Leg's fixing start dates.
- FixLegAccrualDays - Return an array of the Fixed Rate Leg's Coupon Accrual Days.
- FixLegAccrualTimes - Return a range object containing an array of the Fixed Rate Leg's Accrual Times.
- FixLegCoupons - Return a range object containing an array of a Fixed Rate Leg's coupons.
- FixLegDCFs - Return an array of the Fixed Rate Leg's Discount factors.
- FixLegEndDates - Return an array of the Fixed Rate Leg's Coupon end dates.
- FixLegNotionals - Return a range object containing an array of a Fixed Rate Leg's Notionals.
- FixLegPayTimes - Return an array of the Fixed Rate Leg's Pay Times.
- FixLegStartDates - Return an array of the Fixed Rate Leg's Coupon start dates.
- LegDiscountingBPV - Computes the change in a leg's object value for an upward shift (one basis point) of the discounting YieldCurve (if the yieldcurve has been compose from market rates and can be internally bumped).
- LegDuration - Computes the Leg's duration.
- LegFixingBPV - Computes the change in a leg's object value for an upward shift (one basis point) of the FIXING (reset) YieldCurve (if the yieldcurve has been compose from market rates and can be internally bumped).
- PrcInverseLegObject - Prices an inverse leg object (cannot price regular leg objects, see PrcLegObject()).
- PrcLegObject - Prices a Leg object (cannot price inverse leg objects, see PrcInverseLegObject()).
- PrcStructure - Values a Structure object (which is really a portfolio of leg objects) as a group.
- SolveForCoupon - Given a structure object and FIXED Leg index numbers within this structure object, this function will solve for, if possible, the fair flat Coupon (that will be applied to each cashflow) that will result in a zero (0) PV (Present Value) for this structure.
- SolveForMargin - Given a structure object and FLOATING Leg index numbers within this structure object, this function will solve for, if possible, the fair flat Margin/Spread (that will be added to the computed rate for each cashflow) that will result in a zero (0) PV (Present Value) for this structure.
- ZCCompPayments - Return an array of the ZeroCoupon compounding payment amounts for each period.
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