| Swap Functions |
 |
| THIallocleg |
Allocate a THILEGSTRUCT structure |
| THIcopyleg |
Copy a THILEGSTRUCT structure |
| THIfreeleg |
Free a THILEGSTRUCT structure |
| THIcopyswapflow |
Copy a THISWAPCASHFLOW structure |
| THIfreeswapflow |
Free a THISWAPCASHFLOW structure |
| THIswapcustom,
THIswapcustom_a |
Price a custom swap |
| THIswaptemplate,
THIswaptemplo, THIswaptemplnp |
Produce a swap leg structure suitable for
customizing |
| THIswapleg, THIswaplego |
Price a leg of a swap |
| THIsimpleswap,
THIsimpleswapo |
Price a simple swap |
| THIfxswap, THIfxswapo |
Price a cross-currency swap |
| THIimpliedlegs |
Implied margin to give swap a specific PV |
| THIimpliedswap |
Implied margin to give swap a specific PV |
| THIimplsimpswap,
THIimplsimpswapo |
Implied margin to give swap a PV of zero |
| THIimplfxswap,
THIimplfxswapo |
Implied margin to give FX swap a PV of zero |
| THIswapver |
Return Basic Swaps module version information |
| Curve Building and Manipulation Functions |
 |
| THIdfcurve |
Construct a discount factor curve |
| THIalloccurve |
Allocate memory for curves |
| THIcopycurve |
Make a copy of a curve |
| THIfreecurve |
Destroy a curve |
| THIcrvdirect |
Put user-specified curve data in THICURVE format |
| THIcrvfwd |
Convert to a forward rate curve |
| THIcrvspot |
Convert to a spot rate curve |
| THIcrvdf |
Convert to a discount factor curve |
| THIcrvgetdf |
Obtain discount factor |
| THIcrvgetrate |
Obtain rate from curve |
| THIcrvperiod |
Create periodic discount factor curve |
| THIcrvinsert |
Insert dates into discount factor curve |
| THIcrvshift |
Shift term structure |
| THIcrvshiftw |
Shift window in term structure |
| THIcrvpivot |
Pivot the term structure |
| THIfraprice |
Price of a forward rate agreement |
| THIbpr2 |
Bond price given discount curve |
| THIbspread |
Spread over yield curve |
| THIbcspread |
Coupon spread over yield curve |
| THIbradypr2,
THIbradypr2s |
Brady bond price off of yield curves |
| THIbradysprd |
Sovereign spread of a Brady bond |
| THIfbradypr,
THIbradypr2s |
Floating rate Brady bond price |
| THIfbradysprd |
Sovereign spread of floating rate Brady bonds |
| THIcurvever |
Return Curve Building & Manipulation module version information |