Swap Strategy Case Study
About 2 min
Swap Strategy Case Study
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The swap strategy provides functions such as cash flow analysis, risk indicator analysis (e.g., NPV, duration, market value, etc.), and curve analysis for cross-period strategies, basis strategies, and butterfly strategies related to structures like FROO7 and SHIBOR3M.
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Instructions for Using the Function of the Swap Strategy Case Template
1. Holiday Calendar Construction Functions
- McpCalenders：Constructs a holiday calendar object.
2. SwapCurve Construction Functions
- McpVanillaSwapCurveData：Construct a Vanilla Swap Curve object.
- McpSwapCurve：Construct a Swap Curve object.
3. IRS Construction Functions
- McpVanillaSwap: Constructs an IRS object.
4. Fixed Leg Analysis Functions
- SwapFixedLegAnnuity: Calculates the annuity.
- SwapFixedLegDuration: Calculates the duration.
- SwapFixedLegMDuration: Calculates the modified duration.
- SwapFixedLegCumPV: Calculates the cumulative present value.
- SwapFixedLegCumCF: Calculates the cumulative cash flow.
- SwapFixedLegNPV: Calculates the net present value (NPV).
- SwapFixedLegDV01: Calculates the DV01.
- SwapFixedLegPremium: Calculates the premium.
- SwapFixedLegAccrued: Calculates the accrued interest.
- SwapFixedLegMarketValue: Calculates the market value.
5. Floating Leg Analysis Functions
- SwapFloatingLegAnnuity: Calculates the annuity.
- SwapFloatingLegDuration: Calculates the duration.
- SwapFloatingLegMDuration: Calculates the modified duration.
- SwapFloatingLegCumPV: Calculates the cumulative present value.
- SwapFloatingLegCumCF: Calculates the cumulative cash flow.
- SwapFloatingLegNPV: Calculates the net present value (NPV).
- SwapFloatingLegDV01: Calculates the DV01.
- SwapFloatingLegPremium: Calculates the premium.
- SwapFloatingLegAccrued: Calculates the accrued interest.
- SwapFloatingLegMarketValue: Calculates the market value.
6. Swap Result Functions
- SwapNPV: Calculates the net present value (NPV).
- SwapMarketParRate: Calculates the Par Rate/Yield.
- SwapDuration: Calculates the duration.
- SwapMDuration: Calculates the modified duration.
- SwapPV01: Calculates the PVBP.
- SwapDV01: Calculates the DV01.
- SwapCF: Calculates the cash flow.
- SwapValuationDayCF: Calculates the valuation day cash flow.
- SwapMarketValue: Calculates the market value.
- SwapAccrued: Calculates the accrued interest.
- SwapPNL: Calculates the P&L.