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Dan.Camp1 avatar image
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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?

rdp-api#productipaswaps
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wasin.w avatar image   wasin.w

Hello @Dan.Camp1

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS

wasin.w avatar image   wasin.w

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,


AHS

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Michel B avatar image
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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

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