Swap Functions

Highlights

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