SwapFLTFLT3




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Creates a Float vs Float SWAP object that can be amortised and have stepping up/down margins on both legs.

The swap legs can be in different currencies.

You can specify Quanto features, compounding features or CMS swap indexes within any of the floating legs passed in.

You cannot use this swap object within the Swaption() function (please refer to the Swap() function for this).

In the case that the currencies of the two floating legs are different you should enable principal exchanges within the floating legs passed into this function.

This function requires the input of float leg object keys, which must have been produced via a call to one of the following functions : CreateFloatLeg(), CreateIALeg(), CreateQLeg(), CreateQIALeg(), CreateAmortIALeg(), CreateAmortQLeg(), CreateAmortQIALeg(), CreateZCFloatLeg(), CreateZCIALeg(), CreateZCQLeg() CreateZCQIALeg() or CreateAmortFloatLeg() functions.

These functions would have returned a string 'KEY' which is to be passed to the 'FloatLeg1' and 'FloatLeg2' parameters of this function.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "SIMPFLTFLT3"



Note: Within Excel, the function is named - CT.SWP.SwapFLTFLT3


High level graphic of SwapFLTFLT3() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created 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. FloatLeg1 parameter

    Key to an already created FLT leg object.
  4. FloatLeg2 parameter

    Key to an already created FLT leg object.
  5. FXManagerKey parameter

    Optional key to an already created FXManager object.
  6. 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).


Extended information

Function Syntax

VB Syntax 


String CTSwaps.SwapFLTFLT3( _
String Key, _
Long Reload, _
String FloatLeg1, _
String FloatLeg2, _
String FXManagerKey, _
CCYEnum ReportPVCcy)


Excel Spreadsheet Syntax 


=CT.SWP.SwapFLTFLT3(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell FloatLeg1,
Excel String Cell FloatLeg2,
Excel String Cell FXManagerKey,
Excel String Cell ReportPVCcy)


C++ Syntax 


static std::string SwapFLTFLT3(
std::string Key,
long Reload,
std::string FloatLeg1,
std::string FloatLeg2,
std::string FXManagerKey,
CCYEnum ReportPVCcy);


DotNET Syntax 


System.String CTSwapsSA.SwapFLTFLT3(
System.String Key,
System.Int32 Reload,
System.String FloatLeg1,
System.String FloatLeg2,
System.String FXManagerKey,
CTIEnums.CCYEnum ReportPVCcy);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
FloatLeg1StringTRUE
FloatLeg2StringTRUE
FXManagerKeyStringTRUE
ReportPVCcyCCYEnumFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMySwapFLTFLT3
ReloadFALSE1
FloatLeg1FALSEFloatLeg1NAME.EXTTAG.TICKER (from a function call)
FloatLeg2FALSEFloatLeg2NAME.EXTTAG.TICKER (from a function call)
FXManagerKeyTRUEFXManagerKeyNAME.EXTTAG.TICKER (from a function call)
ReportPVCcyTRUEGBP


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 SwapFLTFLT3() 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 :





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 SwapFLTFLT3() function call


MySwapFLTFLT3_5.SIMPFLTFLT3.0

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