SwapFIXFLT2

High level graphic of SwapFIXFLT2() function with parameters. Blue square node is the actual function with the parameters ordered.

1. Key parameter
   
   
   Key Handle to be used for the new swap object.
2. Reload parameter
   
   
   When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
3. PayRec parameter
   
   
   Whether you would like to PAY or REC the FIXED leg.
4. Ccy parameter
   
   
   The currency of the FIX leg.
5. NotFIX parameter
   
   
   Notional amount of the FIX leg of the swap.
6. NotFLT parameter
   
   
   Notional amount of the FLOAT leg of the swap.
7. startDate parameter
   
   
   Start date of the swap.
8. matDate parameter
   
   
   Unadjusted maturity date of the swap.
9. FLTDayCount parameter
   
   
   Daycounter required for year length calculations. Used for each cashflow period of the FLOAT side of the swap.
10. IndexKey parameter
    
    
    Index Key for the float side of the swap.
11. SMPFWDRho parameter
    
    
    If a CMS index is specified (within the parameter 'IndexKey') and the 'CMSAlgo' parameter within this CMS Index has been set to 'Hull' then the correlation between swap rates and fwd rates is required.
12. spread parameter
    
    
    Flat spread that will be added onto the rate fixings (float side of the swap).
13. couponFreq parameter
    
    
    The Frequency of the FIX leg coupon payments.
14. BusDayConv parameter
    
    
    Business Day Convention to use (FIX leg).
15. calKey parameter
    
    
    Key to an already constructed Calendar object. Used to adjust dates for holidays (FIX leg).
16. FIXDayCount parameter
    
    
    Daycounter required for year length calculations. Used for each cashflow period of the FIX side of the swap.
17. Coupon parameter
    
    
    Flat fixed rate coupon.
18. FLTMKTKey parameter
    
    
    Key to an already constructed MKT object that contains at least a discounting curve (for the FLOATING RATE LEG). The VolCurve should be present if pricing CMS or In-Arrear legs, deals. The curves contained within this object should all be of the same Currency of which must equal the value of the 'Ccy' parameter of this function.
19. FIXYCKey parameter
    
    
    Key to an already constructed YieldCurve object. This curve will be used for discounting flows on the FIXED RATE leg.
20. Exchange parameter
    
    
    Do you wish to exchange the principal amounts (both at the start and end of the swap). Useful for cross-currency swaps.
21. FXManagerKey parameter
    
    
    Optional key to an already created FXManager object.
22. ReportPVCcy parameter
    
    
    Optional currency code that you wish the value of the leg to be reported in (must be specified if the 'FXManagerKey' parameter is specified).

String CTSwaps.SwapFIXFLT2( _
String Key, _
Long Reload, _
PAYRECEnum PayRec, _
CCYEnum Ccy, _
Double NotFIX, _
Double NotFLT, _
Long startDate, _
Long matDate, _
DayCountEnum FLTDayCount, _
String IndexKey, _
Double SMPFWDRho, _
Double spread, _
FreqEnum couponFreq, _
BDCEnum BusDayConv, _
String calKey, _
DayCountEnum FIXDayCount, _
Double Coupon, _
String FLTMKTKey, _
String FIXYCKey, _
Boolean Exchange, _
String FXManagerKey, _
CCYEnum ReportPVCcy)

=CT.SWP.SwapFIXFLT2(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell PayRec,
Excel String Cell Ccy,
Excel Numeric Cell NotFIX,
Excel Numeric Cell NotFLT,
Excel Numeric Cell startDate,
Excel Numeric Cell matDate,
Excel String Cell FLTDayCount,
Excel String Cell IndexKey,
Excel Numeric Cell SMPFWDRho,
Excel Numeric Cell spread,
Excel String Cell couponFreq,
Excel String Cell BusDayConv,
Excel String Cell calKey,
Excel String Cell FIXDayCount,
Excel Numeric Cell Coupon,
Excel String Cell FLTMKTKey,
Excel String Cell FIXYCKey,
Excel Boolean Value Cell Exchange,
Excel String Cell FXManagerKey,
Excel String Cell ReportPVCcy)

static std::string SwapFIXFLT2(
std::string Key,
long Reload,
PAYRECEnum PayRec,
CCYEnum Ccy,
double NotFIX,
double NotFLT,
long startDate,
long matDate,
DayCountEnum FLTDayCount,
std::string IndexKey,
double SMPFWDRho,
double spread,
FreqEnum couponFreq,
BDCEnum BusDayConv,
std::string calKey,
DayCountEnum FIXDayCount,
double Coupon,
std::string FLTMKTKey,
std::string FIXYCKey,
bool Exchange,
std::string FXManagerKey,
CCYEnum ReportPVCcy);

System.String CTSwapsSA.SwapFIXFLT2(
System.String Key,
System.Int32 Reload,
CTIEnums.PAYRECEnum PayRec,
CTIEnums.CCYEnum Ccy,
System.Double NotFIX,
System.Double NotFLT,
System.Int32 startDate,
System.Int32 matDate,
CTIEnums.DayCountEnum FLTDayCount,
System.String IndexKey,
System.Double SMPFWDRho,
System.Double spread,
CTIEnums.FreqEnum couponFreq,
CTIEnums.BDCEnum BusDayConv,
System.String calKey,
CTIEnums.DayCountEnum FIXDayCount,
System.Double Coupon,
System.String FLTMKTKey,
System.String FIXYCKey,
System.Boolean Exchange,
System.String FXManagerKey,
CTIEnums.CCYEnum ReportPVCcy);

• CALEURO() ( CT.QL.Curves20 )
• CreateFXManager() ( CT.QL.Curves20 )
• ValueDateObj() ( CT.QL.Utils20 )
• CALUKExchange() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• MKTYC_D() ( CT.QL.Curves20 )
• SABRVolCurve() ( CT.QL.Curves20 )
• IDXEuribor() ( CT.QL.Curves20 )
• CreateMKT() ( CT.QL.Curves20 )
• SwapFIXFLT2() ( CT.QL.Swaps20 )

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