Cross-Currency Swap Related Functions

上海子午线Less than 1 minute

Visit the Mathema Option Pricing System for foreign exchange options and structured product valuation!

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:
  1. First Parameter Set:
    - ReferenceDate: Trading or valuation date.
    - StartDate: Start date.
    - EndDate: End date.
    - RollDate: Roll date.
    - Notional: Notional amount (default value 1000000).
    - BaseSwapLeg: Leg object for the base currency (left currency).
    - TermSwapLeg: Leg object for the corresponding currency (right currency).
    - BasePayReceive: Pay/Receive enumeration value (default value Pay).
    - FxRate: Exchange rate.
    - HasInitialExchange: Whether to perform initial exchange (default value False).
    - HasFinalExchange: Whether to perform final exchange (default value False).
    - FinalFxRate: Final exchange rate (default value 0).
  2. Second Parameter Set:
    - ReferenceDate: Trading or valuation date.
    - StartDate: Start date.
    - EndDate: End date.
    - RollDate: Roll date.
    - Notional: Notional amount (default value 1000000).
    - BaseSwapLeg: Leg object for the base currency (left currency).
    - TermSwapLeg: Leg object for the corresponding currency (right currency).
    - BasePayReceive: Pay/Receive enumeration value (default value Pay).
    - FxRate: Exchange rate.
    - FXForwardPointsCurve: Forward curve object.
    - HasInitialExchange: Whether to perform initial exchange (default value False).
    - HasFinalExchange: Whether to perform final exchange (default value False).
    - FinalFxRate: Final exchange rate (default value 0).
- fmt: Data format (default value 'VP'),Excel-specific parameters.
Returns: Cross-currency swap object.