QS.INSTRUMENT.EUROPEAN.SWAPTION

Creates a native EuropeanSwaption contract; use QS.TRADE.CREATE for a position

Category: QuantSupport - Instruments.

QS.INSTRUMENT.EUROPEAN.SWAPTION(name: text, context: text, expiry_date: text, maturity_date: text, currency: text, market_index: text, strike: number, swaption_type: text, day_counter: text, compounding: text, rate_frequency: text, fixed_leg_frequency: text, floating_leg_frequency: text, calendar: text, tenor: text or blank, expiry_tenor: text or blank) → text handle
Parameters:

  • name (text) – Workbook-unique object name; unchanged recalculation reuses its current handle

  • context (text) – Required prepared context handle used to build concrete dates and initial contractual terms; construction waits for committed market inputs

  • expiry_date (text) – ISO date text in YYYY-MM-DD format

  • maturity_date (text) – ISO date text in YYYY-MM-DD format

  • currency (text) – Three-letter ISO currency code, for example USD or EUR

  • market_index (text) – Market index, for example SOFR; prefixes include Equity:, Credit:, FX:, and Collateral:

  • strike (number) – Option strike as a decimal price or rate

  • swaption_type (text) – Required exact exercise direction: Payer (pay fixed) or Receiver (receive fixed); no blank-input default

  • day_counter (text) – Required day-count convention, for example Actual360, Actual365, or Thirty360; no blank-input default

  • compounding (text) – Required compounding convention, for example Simple, Compounded, or Continuous; no blank-input default

  • rate_frequency (text) – Required frequency such as Annual, Semiannual, Quarterly, Monthly, or NoFrequency; no blank-input default

  • fixed_leg_frequency (text) – Required frequency such as Annual, Semiannual, Quarterly, Monthly, or NoFrequency; no blank-input default

  • floating_leg_frequency (text) – Required frequency such as Annual, Semiannual, Quarterly, Monthly, or NoFrequency; no blank-input default

  • calendar (text) – Canonical calendar; empty text leaves the underlying swap calendar unset (None), otherwise the supplied calendar is parsed without trimming

  • tenor (text or blank) – Optional maturity/accrual tenor from resolved start, e.g. 5Y; for swaptions from expiry; leave the corresponding end/maturity date blank

  • expiry_tenor (text or blank) – Optional expiry offset from evaluation, e.g. 1Y; leave expiry_date blank; built from the explicit construction context

Returns:

Concrete instrument handle built using the supplied construction context. #N/A means construction is pending; no unresolved product handle is published. Pass it to QS.EVALUATE, or use QS.TRADE.CREATE for side, execution date/tenor, quantity or bond anchor.

Return Type:

text handle

Errors:

#VALUE! for invalid contract terms, missing dependencies, native builder errors or registry failures.

Formula

=QS.INSTRUMENT.EUROPEAN.SWAPTION(name, context, expiry_date, maturity_date, currency, market_index, strike, swaption_type, day_counter, compounding, rate_frequency, fixed_leg_frequency, floating_leg_frequency, calendar, tenor, expiry_tenor)

Calculation

Runs on Excel’s main calculation thread.

Native Declaration

fn qs_instrument_european_swaption (name : & str , context : & str , expiry_date : & str , maturity_date : & str , currency : & str , market_index : & str , strike : f64 , swaption_type : & str , day_counter : & str , compounding : & str , rate_frequency : & str , fixed_leg_frequency : & str , floating_leg_frequency : & str , calendar : & str , tenor : Option < String > , expiry_tenor : Option < String > ,) -> Result < String , XllError >

Rust source