Cross-Currency Swap Related Functions
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Cross-Currency Swap Related Functions
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Constructor Functions
Excel: =McpXCurrencySwap(args1, args2, args3, args4, args5, fmt='VP')
Python: McpXCurrencySwap(*args)
- Function: Constructs a cross-currency swap object.
- Parameters:
args1~args5 or *args
: Parameter groups, supporting the following two parameter passing methods:- First Parameter Set:
ReferenceDate
: Trading or valuation date.StartDate
: Start date.EndDate
: End date.RollDate
: Roll date.Notional
: Notional amount (default value1000000
).BaseSwapLeg
: Leg object for the base currency (left currency).TermSwapLeg
: Leg object for the corresponding currency (right currency).BasePayReceive
: Pay/Receive enumeration value (default valuePay
).FxRate
: Exchange rate.HasInitialExchange
: Whether to perform initial exchange (default valueFalse
).HasFinalExchange
: Whether to perform final exchange (default valueFalse
).FinalFxRate
: Final exchange rate (default value0
).
- Second Parameter Set:
ReferenceDate
: Trading or valuation date.StartDate
: Start date.EndDate
: End date.RollDate
: Roll date.Notional
: Notional amount (default value1000000
).BaseSwapLeg
: Leg object for the base currency (left currency).TermSwapLeg
: Leg object for the corresponding currency (right currency).BasePayReceive
: Pay/Receive enumeration value (default valuePay
).FxRate
: Exchange rate.FXForwardPointsCurve
: Forward curve object.HasInitialExchange
: Whether to perform initial exchange (default valueFalse
).HasFinalExchange
: Whether to perform final exchange (default valueFalse
).FinalFxRate
: Final exchange rate (default value0
).
- First Parameter Set:
fmt
: Data format (default value'VP'
),Excel-specific parameters.
- Returns: Cross-currency swap object.