CapeTools XCcy Swap Portfolio
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In total there are 4 functions present within the CapeTools XCcy Swap Portfolio category of functions.
General Description
Functions to construct a portfolio of cross-currency swaps.
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.
- PriceXCcySWBook - Prices the given XCcy Swap portfolio object.
- XCcySwapPortfolio - Creates a xccy swap portfolio (against the dollar) object.
- XSWBKDisplayLeg - Returns a range of information (regarding a swap leg) given a swap object.
- XSWBKDisplayLeg2 - Returns a range of extended information (regarding the non-dollar swap leg) given a swap object.
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