question

Upvotes
Accepted
Dan.Camp1 avatar image
3 ●0 ●0 ●3

RDP IPA: Floored swap market value array

I'm using the python RDP financial contracts swap module to value a "Floored Swap" instrument. The code runs as expected, and returns the values as expect.

However, as part of the output, I would like to see an array of the Floor Market Values (by cashflow date). Something similar to the output from a cap using the output parameter: "CapletsMarketValuesInDealCcyArray".

Do you know how this would be possible?

#productrdp-apiipaswaps
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

1 Answer

· Write an Answer
Upvotes
Accepted
Michel B avatar image
321 ●7 ●0 ●1

Hi @Dan.Camp1 ,

This feature is not available as of today.

We will get back to you on this forum discussion as soon as we have a known release date.

Regards,

Michel

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.