CapeTools Swap Portfolio
http://www.QuantTools.com
In total there are 4 functions present within the CapeTools Swap Portfolio category of functions.
General Description
Functions to construct a portfolio of swaps (same currency).
In addition you can query for the total PV of the portfolio, the PV for each individual deal, basis point value (BPV) for the total portfolio, and the BPV for each individual deal.
Given an ID of a contract within the portfolio, you can request for more detailed information (a breakdown of the instrument cashflows).
Function list.
- PriceSWBook - Prices the given Swap portfolio object.
- SWBKDisplayLeg - Returns a range of information (regarding a swap leg) given a swap object.
- SWBKDisplayLeg2 - Returns a range of extended information (regarding a swap leg) given a swap object.
- SwapPortfolio - Creates a swap portfolio object.
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