Swap

Description

Displays a swap up to 12 months in length.

Formula

Swap(months,i1,i2,i3,i4,i5,i6,i7,i8,i9,i10,i11,i12,i13)=begin

   m1 = date

   i = 0

   while i < months do begin

      if i==0 then totalSwap = SwapMon(i1,i2,m1)

      if i==1 then totalSwap = totalSwap + SwapMon(i2,i3,m1)

      if i==2 then totalSwap = totalSwap + SwapMon(i3,i4,m1)

      if i==3 then totalSwap = totalSwap + SwapMon(i4,i5,m1)

      if i==4 then totalSwap = totalSwap + SwapMon(i5,i6,m1)

      if i==5 then totalSwap = totalSwap + SwapMon(i6,i7,m1)

      if i==6 then totalSwap = totalSwap + SwapMon(i7,i8,m1)

      if i==7 then totalSwap = totalSwap + SwapMon(i8,i9,m1)

      if i==8 then totalSwap = totalSwap + SwapMon(i9,i10,m1)

      if i==9 then totalSwap=totalSwap + SwapMon(i10,i11,m1)

      if i==10 then totalSwap=totalSwap + SwapMon(i11,i12,m1)

      if i==11 then totalSwap=totalSwap + SwapMon(i12,i13,m1)

      m1=addmonths(date,i+1)

      i = i + 1

   end

   retval = Scale(totalSwap,SWAP_SCALE)

end

Parameters

months

The number of months you want to swap. Valid values are 2 through 12.

i2 through i13

The contracts of a specific instrument. The contracts should be passed in order of expiration.

Return Value

A swap of the length specified.

Examples

retval = Swap(months,NG#,NG#1,NG#2,NG#3,NG#4,NG#5,
 NG#6,NG#10,NG#11,NG#12,NG#13,NG#14,NG#15)

Displays a swap of a length specified in the months variable.

retval = Swap(3,NG#,NG#1,NG#2,NG#3,NG#4,NG#5,
NG#6,NG#10,NG#11,NG#12,NG#13,NG#14,NG#15)

Displays a 3 month swap.

Comments

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