XSWBKDisplayLeg2

XSWBKDisplayLeg2

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CapeTools XCcy Swap Portfolio function list

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Returns a range of extended information (regarding the non-dollar swap leg) given a swap object.

The function requires the input of a xccy swap portfolio (against the dollar) object which must have been constructed via the XCcySwapPortfolio() function.

This function would have returned a string 'KEY' which is to be passed to the 'SWBookKey' parameter of this function.

Note: Within Excel, the function is named - CT.BOOK.XSWBKDisplayLeg2

High level graphic of XSWBKDisplayLeg2() function with parameters. Blue square node is the actual function with the parameters ordered.

Parameter Description

SWBookKey parameter

Key Handle to an already constructed XCcy Swap Portfolio (Book) object.
SWDealID parameter

The XCcy Swap deal ID to query for.

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
SWBookKey	String	TRUE
SWDealID	String	FALSE

Example Inputs

ArgName	IsOptional (Excel only)	Example
SWBookKey	FALSE	SWBookKeyNAME.EXTTAG.TICKER (from a function call)
SWDealID	FALSE	XSW-123456

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.IRPortfolio20 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 XSWBKDisplayLeg2() 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 :

CALUKExchange() ( CT.QL.Curves20 )
CALEURO() ( CT.QL.Curves20 )
ValueDateObj() ( CT.QL.Utils20 )
CALUKSettlement() ( CT.QL.Curves20 )
CALTARGET() ( CT.QL.Curves20 )
CreateDepoTemplate() ( CT.QL.Curves20 )
CreateSwapTemplate() ( CT.QL.Curves20 )
MKTYC_XCCY_D() ( CT.QL.Curves20 )
SABRVolCurve() ( CT.QL.Curves20 )
CreateIndex() ( CT.QL.Curves20 )
CreateSwapIndex() ( CT.QL.Curves20 )
MKTYC_D() ( CT.QL.Curves20 )
IDXGBPLibor() ( CT.QL.Curves20 )
GroupedIndex() ( CT.QL.Curves20 )
XCcySwapPortfolio() ( CT.QL.IRPortfolio20 )
XSWBKDisplayLeg2() ( CT.QL.IRPortfolio20 )

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 XSWBKDisplayLeg2() function call

Example
Gearing	Notional (EUR)	FixingDate	PeriodStartDate	PeriodEndDate	PayDate	IndexStartDate	IndexEndDate	AccrualDays	ResetTimes	StartTimes	PayTimes	UnAdjustedRates	FwdSpreads	ConvexityAdjs	QuantoAdjFactors	QuantoFXVols	QuantoRhos	Margins	Fixings	Gearing*Fixings+Margins	Coverage	DCF
1	5e+007	40743	40745	40837	40837	40745	40837	92	6.00274	6.00274	6.25479	0.0394146	0.000325	0	1	0	0	0.0002	0.0394146	0.0396146	0.252055	0.788066
1	5e+007	40835	40837	40931	40931	40837	40931	94	6.25479	6.25479	6.51233	0.0394188	0.000325	0	1	0	0	0.0002	0.0394188	0.0396188	0.257534	0.780211
1	5e+007	40927	40931	41022	41022	40931	41022	91	6.50685	6.51233	6.76164	0.0394125	0.000325	0	1	0	0	0.0002	0.0394125	0.0396125	0.249315	0.772681
1	5e+007	41018	41022	41113	41113	41022	41113	91	6.75616	6.76164	7.01096	0.0394125	0.000325	0	1	0	0	0.0002	0.0394125	0.0396125	0.249315	0.765224
1	5e+007	41109	41113	41204	41204	41113	41205	91	7.00548	7.01096	7.26027	0.0394146	0.000325	0	1	0	0	0.0002	0.0394146	0.0396146	0.249315	0.757838
1	5e+007	41200	41204	41295	41295	41204	41296	91	7.25479	7.26027	7.50959	0.0394146	0.000325	0	1	0	0	0.0002	0.0394146	0.0396146	0.249315	0.750524
1	5e+007	41291	41295	41386	41386	41295	41386	91	7.50411	7.50959	7.7589	0.0394125	0.000325	0	1	0	0	0.0002	0.0394125	0.0396125	0.249315	0.743281
1	5e+007	41382	41386	41477	41477	41386	41477	91	7.75342	7.7589	8.00822	0.0394125	0.000325	0	1	0	0	0.0002	0.0394125	0.0396125	0.249315	0.736108
1	5e+007	41473	41477	41568	41568	41477	41569	91	8.00274	8.00822	8.25753	0.0394146	0.000325	0	1	0	0	0.0002	0.0394146	0.0396146	0.249315	0.729003
1	5e+007	41564	41568	41660	41660	41568	41660	92	8.25205	8.25753	8.50959	0.0394146	0.000325	0	1	0	0	0.0002	0.0394146	0.0396146	0.252055	0.721891
1	5e+007	41656	41660	41751	41751	41660	41751	91	8.50411	8.50959	8.7589	0.0394125	0.000325	0	1	0	0	0.0002	0.0394125	0.0396125	0.249315	0.714924
1	5e+007	41745	41751	41841	41841	41751	41842	90	8.74795	8.7589	9.00548	0.0394125	0.000325	0	1	0	0	0.0002	0.0394125	0.0396125	0.246575	0.708099
1	5e+007	41837	41841	41933	41933	41841	41933	92	9	9.00548	9.25753	0.0394146	0.000325	0	1	0	0	0.0002	0.0394146	0.0396146	0.252055	0.701191
1	5e+007	41929	41933	42025	42025	41933	42025	92	9.25205	9.25753	9.50959	0.0394146	0.000325	0	1	0	0	0.0002	0.0394146	0.0396146	0.252055	0.69435
1	5e+007	42023	42025	42115	42115	42025	42115	90	9.50959	9.50959	9.75616	0.0394104	0.000325	0	1	0	0	0.0002	0.0394104	0.0396104	0.246575	0.687722
1	5e+007	42111	42115	42206	42206	42115	42206	91	9.75068	9.75616	10.0055	0.0394125	0.000325	0	1	0	0	0.0002	0.0394125	0.0396125	0.249315	0.681084
1	5e+007	42202	42206	42298	42298	42206	42298	92	10	10.0055	10.2575	0.0480863	0.000231344	0	1	0	0	0.0002	0.0480863	0.0482863	0.252055	0.672967
1	5e+007	42296	42298	42390	42390	42298	42390	92	10.2575	10.2575	10.5096	0.0480863	0.000231344	0	1	0	0	0.0002	0.0480863	0.0482863	0.252055	0.664946
1	5e+007	42388	42390	42481	42481	42390	42481	91	10.5096	10.5096	10.7589	0.0480831	0.000231344	0	1	0	0	0.0002	0.0480831	0.0482831	0.249315	0.657107
1	5e+007	42479	42481	42572	42572	42481	42572	91	10.7589	10.7589	11.0082	0.0480831	0.000231344	0	1	0	0	0.0002	0.0480831	0.0482831	0.249315	0.64936