Swap

functions to construct and use Swap objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the Swap part there are several constructors and member functions available

In[236]:=

Select[Category[Swap],QLConstructor[#]&]

Out[236]=

Swap.HTML_1.gif

In[237]:=

Select[Category[Swap],QLMember[#]&]

Out[237]=

Swap.HTML_2.gif

Constructors

Swap

Swap.HTML_3.gif

Swap.HTML_4.gif

obj=Swap[LegIDs,Payer]

MakeCms

Swap.HTML_5.gif

Swap.HTML_6.gif

Swap.HTML_7.gif

obj=MakeCms[SwapTenor,SwapIndex,IborIndex,ForwardStart,CmsCouponPricer]

Member function

SwapLegBPS

Swap.HTML_8.gif

Swap.HTML_9.gif

SwapLegBPS[obj,LegNumber]

SwapLegNPV

Swap.HTML_10.gif

Swap.HTML_11.gif

SwapLegNPV[obj,LegNumber]

SwapStartDate

SwapStartDate[obj]

SwapMaturityDate

SwapMaturityDate[obj]

SwapLegAnalysis

Swap.HTML_12.gif

Swap.HTML_13.gif

SwapLegAnalysis[obj,LegNumber]

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