CapeTools Swaps

CapeTools Swaps

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In total there are 11 functions present within the CapeTools Swaps category of functions.

General Description

Functions to construct Swap Objects.

The types of swap objects that can be constructed are :

FIX vs FIX

FIX vs FLOAT

FLOAT vs FLOAT

You can use the functions present within the CapeTools Query Swaps category of functions to query for information from these swap objects.

Please note that the SwapFIXFLT2 and SwapFIXFIX2 functions cannot be accessed from the Excel libraries because these functions have more than 21 argument parameters. Excel has a maximum limit of 20 parameters per function.

Function list.

PrcObjSwap - Prices a Swap object.
Swap - Creates a simple FIX vs FLT SWAP object that can be amortised and have stepping up/down margins and coupons.
Swap2 - Creates a simple FIX vs FLT SWAP object that can be amortised and have stepping up/down margins and coupons.
SwapFIXFIX - Creates a simple FIX vs FIX SWAP object with the minimum of arguments.
SwapFIXFIX2 - Creates a simple FIX vs FLT SWAP object with the minimum of arguments.
SwapFIXFIX3 - Creates a FIX vs FIX SWAP object that can be amortised and have stepping up/down coupons on both legs.
SwapFIXFLT - Creates a simple FIX vs FLT SWAP object with the minimum of arguments.
SwapFIXFLT2 - Creates a simple FIX vs FLT SWAP object with the minimum of arguments.
SwapFLTFLT - Creates a simple FLT vs FLT SWAP object with the minimum of arguments.
SwapFLTFLT2 - Creates a simple FLT vs FLT SWAP object with the minimum of arguments.
SwapFLTFLT3 - Creates a Float vs Float SWAP object that can be amortised and have stepping up/down margins on both legs.