SSWPResetTimes

SSWPResetTimes

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CapeTools Query Swaps function list

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Given a swap object and the choice of leg, return an array of the leg's reset times (FLOAT LEG ONLY).

A reset time is the year fraction between the calculation date and the reset date of the fixing rate.

This function requires the input of a simple swap object key, which must have been produced via a call to the following functions : SwapFIXFLT(), SwapFIXFLT2(), SwapFIXFIX(), SwapFIXFIX2(), SwapFLTFLT(), SwapFLTFLT2(), SwapFLTFLT3(), SwapFIXFIX3(), Swap() or Swap2() functions.

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

Note: Within Excel, the function is named - CT.SWP.SSWPResetTimes

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

Parameter Description

SwapKEY parameter

Key Handle to an already constructed Swap object .
PayRecLeg parameter

Which leg you wish to query the information for.

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
SwapKEY	String	TRUE
PayRecLeg	PAYRECEnum	FALSE

Example Inputs

ArgName	IsOptional (Excel only)	Example
SwapKEY	FALSE	SwapKEYNAME.EXTTAG.TICKER (from a function call)
PayRecLeg	FALSE	REC

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.Swaps20 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 SSWPResetTimes() 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 :

CALEURO() ( CT.QL.Curves20 )
ValueDateObj() ( CT.QL.Utils20 )
CALUKExchange() ( CT.QL.Curves20 )
MakeSchedule() ( CT.QL.Curves20 )
CreateDepoTemplate() ( CT.QL.Curves20 )
CreateSwapTemplate() ( CT.QL.Curves20 )
CreateAmortObj() ( CT.QL.Utils20 )
MKTYC_D() ( CT.QL.Curves20 )
SABRVolCurve() ( CT.QL.Curves20 )
CreateIndex() ( CT.QL.Curves20 )
CreateMKT() ( CT.QL.Curves20 )
CreateAmortFixLeg() ( CT.QL.IRLegs20 )
CreateAmortFloatLeg() ( CT.QL.IRLegs20 )
Swap() ( CT.QL.Swaps20 )
SSWPResetTimes() ( CT.QL.Swaps20 )

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 SSWPResetTimes() function call

Example
1
1.25205
1.50137
1.75068
2
2.24932
2.49863
2.74795
2.99726
3.24932
3.50685
3.74795
3.99726
4.25479
4.50685
4.75342
5.00274
5.25479
5.50685
5.75342