#KACE Page Script #### Server Calclist ###### ####################################### Create The curves ####################################### # Cash curves for Cash arbitrage system CalcRef=CashCurve(Bid,USD,Deposits) CalcRef=CashCurve(Ask,USD,Deposits) CalcRef=CashCurve(Bid,USD,LiveOIS) CalcRef=CashCurve(Ask,USD,LiveOIS) CalcRef=CashCurve(Bid,MXN,Deposits) CalcRef=CashCurve(Ask,MXN,Deposits) CalcRef=CashCurve(Bid,MXN,LiveOIS) CalcRef=CashCurve(Ask,MXN,LiveOIS) # Standard medium term curve for all currencies CalcRef=DFC-SpreadOverBond(Bid,USD,1) CalcRef=DFC-SpreadOverBond(Ask,USD,1) CalcRef=DFC-SpreadOverBond(Last,USD,1) ## Copies curve config settings into the std structure for ref by Swaps and other calcs that ## have refs accross curve boundary (Parameters required - Currency,Curve name) #CalcRef=SOBCompatibilityCalc(USD,1,Bid) #CalcRef=SOBCompatibilityCalc(USD,1,Ask) #CalcRef=SOBCompatibilityCalc(USD,1,Last) CalcRef=Mid-DFC(USD) CalcRef=Mid-DFC2(USD) CalcRef=Mid-1YSwaps(USD) CalcRef=InFraLibors(USD) CalcRef=InSwapLibors(USD) CalcRef=InFraLibors(MXN) CalcRef=InSwapLibors(MXN) CalcRef=InForwards(Bid,MXN) CalcRef=InForwards(Ask,MXN) CalcRef=GenericLiveData() ### RC 09Aug05 Added the ability to bring in Basis and TIIE from a live source CalcRef=InMxnTIIE(Bid,MXN) CalcRef=InMxnTIIE(Ask,MXN) CalcRef=InMxnBasis(Bid,MXN) CalcRef=InMxnBasis(Ask,MXN) CalcRef=TIIEARB_UseLiveTIIEorBasis() CalcRef=TIIEARB_LongDatesUseSpreads() ###################### RC 07Oct04 Little extra calc to put ON/TN/SN etc into libors ### CalcRef=MXNAddShortDatesToLibor() ####################################### Money market calculations ####################################### # slot 1 = Fras # slot 2 = Swaps + IMM Fras # slot 3 = Synthetic Swaps # slot 4 = OIS # slot 5 = Swaps Modeller (AM curve) # slot 6 = FwdFwd Calculator (AM curve) # slot 7 = Swap Tearup (AM curve) # slot 8 = FFOIS # slot 9 = Swaps Hedge Calculator # Generate the forwards and their dates #CalcRef=InterpFwds(Bid,USD) #CalcRef=InterpFwds(Ask,USD) #CalcRef=InterpFwds(Bid,MXN) #CalcRef=InterpFwds(Ask,MXN) ### Interpolating TIIE-Implied Arbed FX Fwds, with Snapshot CalcRef=SnapshotTIIEImpdFwds(Bid) CalcRef=SnapshotTIIEImpdFwds(Ask) ### RC 23Feb05 ### Forwards calcs that will let you choose a forward source CalcRef=MXNFX-CopyChosenFwds(Bid,MXN) CalcRef=MXNFX-CopyChosenFwds(Ask,MXN) ### RC 23Feb05 ### Calcs for Weighting the Forwards CalcRef=MXNFX-CopyWeightedFwds(Weight1,Bid,MXN) CalcRef=MXNFX-CopyWeightedFwds(Weight2,Bid,MXN) CalcRef=MXNFX-CopyWeightedFwds(Weight3,Bid,MXN) CalcRef=MXNFX-CopyWeightedFwds(Weight4,Bid,MXN) CalcRef=MXNFX-CopyWeightedFwds(Weight1,Ask,MXN) CalcRef=MXNFX-CopyWeightedFwds(Weight2,Ask,MXN) CalcRef=MXNFX-CopyWeightedFwds(Weight3,Ask,MXN) CalcRef=MXNFX-CopyWeightedFwds(Weight4,Ask,MXN) #CalcRef=MXNFXDates(MXN,FxInput,Dates) #CalcRef=MXNFXDates(USD,FxInput,Dates) # Basis swaps for the required currencies CalcRef=InBasis(MXN,Bid) CalcRef=InBasis(MXN,Ask) # Dummy calculations to add access to popup configuration pages CalcRef=CFG_Curve-Config() CalcRef=CFG_Turn-Premia() CalcRef=CFG_Live-Data() ################## RC Aug04 Use for creating the dates ###################### CalcRef=MXNChooseDatePairType(Start,1,1..36,MXNDetails) CalcRef=MXNChooseDatePairType(End,1,1..36,MXNDetails) CalcRef=MXNChooseDatePairType(Start,1,0..8,MXNBrokenDetails) CalcRef=MXNChooseDatePairType(End,1,0..8,MXNBrokenDetails) CalcRef=MXNChooseDatePairType-2(Start,1,1..4,BrokenTIIE) CalcRef=MXNChooseDatePairType-2(End,1,1..4,BrokenTIIE) ############### MG 05Aug04 >>>>>>>>>>> ###################### CalcRef=TIIEARB_GenericIntrpTIIEDateGrid(Start,Bid,BS,InputBS,MXN) CalcRef=TIIEARB_GenericIntrpTIIEDateGrid(Start,Ask,BS,InputBS,MXN) CalcRef=TIIEARB_GenericIntrpTIIEDateGrid(End,Bid,BS,InputBS,MXN) CalcRef=TIIEARB_GenericIntrpTIIEDateGrid(End,Ask,BS,InputBS,MXN) CalcRef=TIIEARB_GenericIntrpTIIEDateGrid(Start,Bid,TIIE,InputTIIE,MXN) CalcRef=TIIEARB_GenericIntrpTIIEDateGrid(Start,Ask,TIIE,InputTIIE,MXN) CalcRef=TIIEARB_GenericIntrpTIIEDateGrid(End,Bid,TIIE,InputTIIE,MXN) CalcRef=TIIEARB_GenericIntrpTIIEDateGrid(End,Ask,TIIE,InputTIIE,MXN) CalcRef=TIIEARB_USDSwapFromDFC(Mid,1,UserDates) ############### <<<<<<<<<<< MG 05Aug04 ###################### CalcRef=TIIEARB_StdIntrp(Start,ArbCCY2DF-Bid,*,UserDates) CalcRef=TIIEARB_StdIntrp(Start,ArbCCY2DF-Ask,*,UserDates) CalcRef=TIIEARB_StdIntrp(Start,BPVCCY2-Bid,*,UserDates) CalcRef=TIIEARB_StdIntrp(Start,BPVCCY2-Ask,*,UserDates) CalcRef=TIIEARB_StdIntrp(Start,BPVCCY1,*,UserDates) CalcRef=TIIEARB_StdIntrp(End,ArbCCY2DF-Bid,*,UserDates) CalcRef=TIIEARB_StdIntrp(End,ArbCCY2DF-Ask,*,UserDates) CalcRef=TIIEARB_StdIntrp(End,BPVCCY2-Bid,*,UserDates) CalcRef=TIIEARB_StdIntrp(End,BPVCCY2-Ask,*,UserDates) CalcRef=TIIEARB_StdIntrp(End,BPVCCY1,*,UserDates) ############### MG 05Aug04 ###################### CalcRef=TIIEARB_StdIntrp(Start,FwdPoints-Bid,*,UserDates) CalcRef=TIIEARB_StdIntrp(Start,FwdPoints-Ask,*,UserDates) CalcRef=TIIEARB_StdIntrp(End,FwdPoints-Bid,*,UserDates) CalcRef=TIIEARB_StdIntrp(End,FwdPoints-Ask,*,UserDates) ########### Broken Dates Calculator (can increase) ########### CalcRef=TIIEARB_USDSwapFromDFC(Mid,1,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(Start,ArbCCY2DF-Bid,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(Start,ArbCCY2DF-Ask,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(Start,BPVCCY2-Bid,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(Start,BPVCCY2-Ask,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(Start,BPVCCY1,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(End,ArbCCY2DF-Bid,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(End,ArbCCY2DF-Ask,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(End,BPVCCY2-Bid,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(End,BPVCCY2-Ask,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(End,BPVCCY1,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(Start,FwdPoints-Bid,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(Start,FwdPoints-Ask,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(End,FwdPoints-Bid,*,BrokenTIIE) CalcRef=TIIEARB_StdIntrp(End,FwdPoints-Ask,*,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(Start,Bid,BS,InputBS,1,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(Start,Ask,BS,InputBS,1,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(End,Bid,BS,InputBS,1,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(End,Ask,BS,InputBS,1,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Bid,InBSv1m,InBSv1m,1,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Ask,InBSv1m,InBSv1m,1,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Bid,InBSv1m,InBSv1m,1,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Ask,InBSv1m,InBSv1m,1,MXN,BrokenTIIE) CalcRef=TIIEARB_OneSideGenericIntrp(Start,BasisNudge,BasisNudge,1,MXN,BrokenTIIE) CalcRef=TIIEARB_OneSideGenericIntrp(End,BasisNudge,BasisNudge,1,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Bid,TIIE,InputTIIE,1,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Ask,TIIE,InputTIIE,1,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Bid,TIIE,InputTIIE,1,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Ask,TIIE,InputTIIE,1,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(Start,Bid,BS,InputBS,2,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(Start,Ask,BS,InputBS,2,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(End,Bid,BS,InputBS,2,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(End,Ask,BS,InputBS,2,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Bid,InBSv1m,InBSv1m,2,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Ask,InBSv1m,InBSv1m,2,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Bid,InBSv1m,InBSv1m,2,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Ask,InBSv1m,InBSv1m,2,MXN,BrokenTIIE) CalcRef=TIIEARB_OneSideGenericIntrp(Start,BasisNudge,BasisNudge,2,MXN,BrokenTIIE) CalcRef=TIIEARB_OneSideGenericIntrp(End,BasisNudge,BasisNudge,2,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Bid,TIIE,InputTIIE,2,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Ask,TIIE,InputTIIE,2,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Bid,TIIE,InputTIIE,2,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Ask,TIIE,InputTIIE,2,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(Start,Bid,BS,InputBS,3,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(Start,Ask,BS,InputBS,3,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(End,Bid,BS,InputBS,3,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(End,Ask,BS,InputBS,3,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Bid,InBSv1m,InBSv1m,3,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Ask,InBSv1m,InBSv1m,3,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Bid,InBSv1m,InBSv1m,3,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Ask,InBSv1m,InBSv1m,3,MXN,BrokenTIIE) CalcRef=TIIEARB_OneSideGenericIntrp(Start,BasisNudge,BasisNudge,3,MXN,BrokenTIIE) CalcRef=TIIEARB_OneSideGenericIntrp(End,BasisNudge,BasisNudge,3,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Bid,TIIE,InputTIIE,3,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Ask,TIIE,InputTIIE,3,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Bid,TIIE,InputTIIE,3,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Ask,TIIE,InputTIIE,3,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(Start,Bid,BS,InputBS,4,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(Start,Ask,BS,InputBS,4,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(End,Bid,BS,InputBS,4,MXN,BrokenTIIE) #CalcRef=TIIEARB_GenericIntrp(End,Ask,BS,InputBS,4,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Bid,InBSv1m,InBSv1m,4,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Ask,InBSv1m,InBSv1m,4,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Bid,InBSv1m,InBSv1m,4,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Ask,InBSv1m,InBSv1m,4,MXN,BrokenTIIE) CalcRef=TIIEARB_OneSideGenericIntrp(Start,BasisNudge,BasisNudge,4,MXN,BrokenTIIE) CalcRef=TIIEARB_OneSideGenericIntrp(End,BasisNudge,BasisNudge,4,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Bid,TIIE,InputTIIE,4,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(Start,Ask,TIIE,InputTIIE,4,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Bid,TIIE,InputTIIE,4,MXN,BrokenTIIE) CalcRef=TIIEARB_GenericIntrp(End,Ask,TIIE,InputTIIE,4,MXN,BrokenTIIE) CalcRef=TIIEARB_CalcTightFwdInputTIIE(BrokenTIIE) ############# RC 24Aug04 Generic Calcs ##################### CalcRef=TIIEARB_ImpliedFwdFwdPoints(Bid,UserDates) CalcRef=TIIEARB_ImpliedFwdFwdPoints(Ask,UserDates) CalcRef=TIIEARB_ImpliedFwdTIIE(Bid,UserDates) CalcRef=TIIEARB_ImpliedFwdTIIE(Ask,UserDates) CalcRef=TIIEARB_ImpliedFwdBS-Bid(UserDates) CalcRef=TIIEARB_ImpliedFwdBS-Ask(UserDates) CalcRef=TIIEARB_TIIEFromBasis_Bid(UserDates) CalcRef=TIIEARB_TIIEFromBasis_Ask(UserDates) ##### RC this is to replace TIIEARB_BasisFromTIIE_Ask() ###### CalcRef=TIIEARB_CalcFwdInputTIIE-Bid(UserDates) CalcRef=TIIEARB_CalcFwdInputTIIE-Ask(UserDates) ################ RC 23Aug04 - Choose between the type of FWD/Basis to display ######## CalcRef=TIIEARB_ChooseArbOrSpread(UserDates,Bid,1) CalcRef=TIIEARB_ChooseArbOrSpread(UserDates,Ask,1) ################ MG 23Aug04 - To provide the none arbed prices ################# CalcRef=TIIEARB_WIDE_ImpliedFwdBS(UserDates) CalcRef=TIIEARB_WIDE_ImpliedFwdFwdPoints(UserDates) ########### RC 24Aug04/MG 09Feb09 Broken Date Calcs for TIIE ################### CalcRef=TIIEARB_CalcFwdInputTIIE-Bid(BrokenTIIE) CalcRef=TIIEARB_CalcFwdInputTIIE-Ask(BrokenTIIE) CalcRef=TIIEARB_ImpliedFwdFwdPoints(Bid,BrokenTIIE) CalcRef=TIIEARB_ImpliedFwdFwdPoints(Ask,BrokenTIIE) CalcRef=TIIEARB_ImpliedFwdTIIE(Bid,BrokenTIIE) CalcRef=TIIEARB_ImpliedFwdTIIE(Ask,BrokenTIIE) CalcRef=TIIEARB_ImpliedFwdBS-Bid(BrokenTIIE) CalcRef=TIIEARB_ImpliedFwdBS-Ask(BrokenTIIE) CalcRef=BrokenTIIEARB_TIIEFromBasis_Bid(BrokenTIIE) CalcRef=BrokenTIIEARB_TIIEFromBasis_Ask(BrokenTIIE) CalcRef=TIIEARB_WIDE_ImpliedFwdBS(BrokenTIIE) CalcRef=TIIEARB_WIDE_ImpliedFwdFwdPoints(BrokenTIIE) CalcRef=TIIEARB_ChooseArbOrSpread(BrokenTIIE,Bid,1) CalcRef=TIIEARB_ChooseArbOrSpread(BrokenTIIE,Ask,1) CalcRef=BrokenTIIEArb_ImpBSv1m() CalcRef=TIIEARB_DayCount(BrokenTIIE,Start,End,1) ########## MG 04Nov04 - To calculate MXN DFC from Input TIIEs; and Fwd Start TIIEs from that ########## CalcRef=MXNMidAltFwdTIIE(FwdStartTIIE,1..4,1) ######### Because function fails if dates not in order ########## ######### Need set for each Broken Date ########## CalcRef=TIIEARB_ConvertUSDSwapToDFSingle(Input,1,BrokenTIIE) CalcRef=TIIEARB_ConvertUSDSwapToDFSingle(Copy,1,BrokenTIIE) CalcRef=TIIEARB_ConvertUSDSwapToDFSingle(Input,2,BrokenTIIE) CalcRef=TIIEARB_ConvertUSDSwapToDFSingle(Copy,2,BrokenTIIE) CalcRef=TIIEARB_ConvertUSDSwapToDFSingle(Input,3,BrokenTIIE) CalcRef=TIIEARB_ConvertUSDSwapToDFSingle(Copy,3,BrokenTIIE) CalcRef=TIIEARB_ConvertUSDSwapToDFSingle(Input,4,BrokenTIIE) CalcRef=TIIEARB_ConvertUSDSwapToDFSingle(Copy,4,BrokenTIIE) ############ Generic Calcs ######################## CalcRef=TIIEARB_ConvertUSDSwapToDFTIIEDateGrid(Input,UserDates) CalcRef=TIIEARB_ConvertUSDSwapToDFTIIEDateGrid(Copy,UserDates) ########## RC 12Aug04 MXN FX ########## CalcRef=MXN_MidSpot() CalcRef=InterpFwdsMXN(Bid,MXN) CalcRef=InterpFwdsMXN(Ask,MXN) #CalcRef=InterpFwdsMXN(Bid,1,USD,MXNDetails) #CalcRef=InterpFwdsMXN(Ask,1,USD,MXNDetails) #CalcRef=MXNCopySpotAndDatesFX(Bid,MXN) #CalcRef=MXNCopySpotAndDatesFX(Ask,MXN) #### Function is hard coded to need pips per day on ON TN and SN, the following change ## allows users to enter correct FX fwds and the "special" Divides ON , Tn and SN by days in that run ## prior to passing to the function ###CalcRef=CcyPairCrossesMXN(1..36,1,MXNDetails) #KACE Page Script CalcRef=CcyPairCrossesMXNSpecial(1..36,1,MXNDetails,Ask) CalcRef=CcyPairCrossesMXNSpecial(1..36,1,MXNDetails,Bid) ################ RC 22Jul04 Calc the US Swap Rates ################## #CalcRef=MXN_FxManualDays(MXN) CalcRef=MXNFXCalculateDays(MXNDetails,1..36,1) CalcRef=MXNCalcMidSwap(1,MXNDetails,1) ############ TIIE/Fwds Arb for FX Page only (no BS etc.) ################ CalcRef=MXNFXCalcImpliedMXN(MXNDetails,1,1..36) CalcRef=MXNFXConvertMXNToOrigForm(MXNDetails,1,Bid) CalcRef=MXNFXConvertMXNToOrigForm(MXNDetails,1,Ask) CalcRef=MXNFXCalcImpliedFwdFwdFX(MXNDetails,1,1..36) ############# RC 18Aug04 FX Broken Date Calculator - Allow for server/client creation. ########### CalcRef=MXNFXCalculateDays(MXNBrokenDetails,0..8,1) #KACE Page Script CalcRef=CcyPairBknCrossesMXN(0..8,1,MXNBrokenDetails) CalcRef=MXNCalcBrokenMidSwap(1,MXNBrokenDetails,1) CalcRef=MXNFXCalcImpliedMXN(MXNBrokenDetails,1,0..8) CalcRef=MXNFXConvertMXNToOrigForm(MXNBrokenDetails,1,Bid) CalcRef=MXNFXConvertMXNToOrigForm(MXNBrokenDetails,1,Ask) CalcRef=MXNFXCalcImpliedFwdFwdFX(MXNBrokenDetails,1,0..8) CalcRef=MXNFXImpliedFwdFwdDivisor(MXNBrokenDetails,1) ############### RC 08Jul04 This is used in creating the spread grid. ############# CalcRef=CopyMxnTIIEManualRates(1..19) CalcRef=CopyMxnTIIEImpliedRates(1..19) CalcRef=MXNBrokenMatrix(MXN) CalcRef=MxnTIIE-SpreadGrid(2..19,1,Manual) CalcRef=MxnTIIE-SpreadGrid(3..19,2,Manual) CalcRef=MxnTIIE-SpreadGrid(4..19,3,Manual) CalcRef=MxnTIIE-SpreadGrid(5..19,4,Manual) CalcRef=MxnTIIE-SpreadGrid(6..19,5,Manual) CalcRef=MxnTIIE-SpreadGrid(7..19,6,Manual) CalcRef=MxnTIIE-SpreadGrid(8..19,7,Manual) CalcRef=MxnTIIE-SpreadGrid(9..19,8,Manual) CalcRef=MxnTIIE-SpreadGrid(10..19,9,Manual) CalcRef=MxnTIIE-SpreadGrid(11..19,10,Manual) CalcRef=MxnTIIE-SpreadGrid(12..19,11,Manual) CalcRef=MxnTIIE-SpreadGrid(13..19,12,Manual) CalcRef=MxnTIIE-SpreadGrid(14..19,13,Manual) CalcRef=MxnTIIE-SpreadGrid(15..19,14,Manual) CalcRef=MxnTIIE-SpreadGrid(16..19,15,Manual) CalcRef=MxnTIIE-SpreadGrid(17..19,16,Manual) CalcRef=MxnTIIE-SpreadGrid(18..19,17,Manual) CalcRef=MxnTIIE-SpreadGrid(19,18,Manual) CalcRef=MxnTIIE-SpreadGrid(2..19,1,Implied) CalcRef=MxnTIIE-SpreadGrid(3..19,2,Implied) CalcRef=MxnTIIE-SpreadGrid(4..19,3,Implied) CalcRef=MxnTIIE-SpreadGrid(5..19,4,Implied) CalcRef=MxnTIIE-SpreadGrid(6..19,5,Implied) CalcRef=MxnTIIE-SpreadGrid(7..19,6,Implied) CalcRef=MxnTIIE-SpreadGrid(8..19,7,Implied) CalcRef=MxnTIIE-SpreadGrid(9..19,8,Implied) CalcRef=MxnTIIE-SpreadGrid(10..19,9,Implied) CalcRef=MxnTIIE-SpreadGrid(11..19,10,Implied) CalcRef=MxnTIIE-SpreadGrid(12..19,11,Implied) CalcRef=MxnTIIE-SpreadGrid(13..19,12,Implied) CalcRef=MxnTIIE-SpreadGrid(14..19,13,Implied) CalcRef=MxnTIIE-SpreadGrid(15..19,14,Implied) CalcRef=MxnTIIE-SpreadGrid(16..19,15,Implied) CalcRef=MxnTIIE-SpreadGrid(17..19,16,Implied) CalcRef=MxnTIIE-SpreadGrid(18..19,17,Implied) CalcRef=MxnTIIE-SpreadGrid(19,18,Implied) ############## These are used to calculate the DV01 for MXN. Have to use the single entity calc ########################## ############## as the calc that produces the results as a list doesn't appear to work. ########################## ####### Calculate the Duration Amounts now that we have the DV01 ##################### CalcRef=MXNDurationAmounts-DV01() #KACE Page Script ####### Calculate the Nominal Swap Required for an Entered DV01 ##################### CalcRef=MXNDurationNomReqd() ############# Calculate the duration based upon the BPV as opposed to DV01 ############# ###CalcRef=MXNDurationAmounts-BPV() ############# RC 14Aug04 Weighted 4 and 7 Yr ################## #CalcRef=TIIEARB_CreateWeighted4y7yTIIE(1,Bid) #CalcRef=TIIEARB_CreateWeighted4y7yTIIE(1,Ask) ################ Popups ###################### CalcRef=PopupFXMaintenance() CalcRef=PopupTIIEMaintenance() CalcRef=Popup-Mxn3WaySpreadCalc() #### These are used to calc the Implied MXN for just ON/TN 21Jun05 MG/RC CalcRef=ONTNMXNFXCalcImpliedMXN(ON) CalcRef=ONTNMXNFXCalcImpliedMXN(TN) ###### RC 07Dec05 Added to stop users over writing none manual forwards. CalcRef=VBLockFwds(Bid,MXN) CalcRef=VBLockFwds(Ask,MXN) ############## MG 13Nov07 TIIE Short-Dates Fwd Grid. ############# #KACE Page Script CalcRef=FwdGrid_FwdTIIEs(0d) CalcRef=FwdGrid_FwdTIIEs(28d) CalcRef=FwdGrid_FwdTIIEs(56d) CalcRef=FwdGrid_FwdTIIEs(84d) CalcRef=FwdGrid_FwdTIIEs(112d) CalcRef=FwdGrid_FwdTIIEs(140d) CalcRef=LongFwdGrid_FwdTIIEs(364d) #CalcRef=LongFwdGrid_FwdTIIEs(532d) CalcRef=LongFwdGrid_FwdTIIEs(728d) CalcRef=LongFwdGrid_FwdTIIEs(1092d) CalcRef=LongFwdGrid_FwdTIIEs(1456d) CalcRef=LongFwdGrid_FwdTIIEs(1820d) CalcRef=LongFwdGrid_FwdTIIEs(2184d) CalcRef=LongFwdGrid_FwdTIIEs(2548d) CalcRef=LongFwdGrid_FwdTIIEs(2912d) CalcRef=LongFwdGrid_FwdTIIEs(3278d) CalcRef=LongFwdGrid_FwdTIIEs(3640d) CalcRef=LongFwdGrid_FwdTIIEs(4368d) CalcRef=LongFwdGrid_FwdTIIEs(5460d) CalcRef=LongFwdGrid_FwdBSs(364d) #CalcRef=LongFwdGrid_FwdBSs(532d) CalcRef=LongFwdGrid_FwdBSs(728d) CalcRef=LongFwdGrid_FwdBSs(1092d) CalcRef=LongFwdGrid_FwdBSs(1456d) CalcRef=LongFwdGrid_FwdBSs(1820d) CalcRef=LongFwdGrid_FwdBSs(2184d) CalcRef=LongFwdGrid_FwdBSs(2548d) CalcRef=LongFwdGrid_FwdBSs(2912d) CalcRef=LongFwdGrid_FwdBSs(3278d) CalcRef=LongFwdGrid_FwdBSs(3640d) CalcRef=LongFwdGrid_FwdBSs(4368d) CalcRef=LongFwdGrid_FwdBSs(5460d) #####TIIE Regular Snapshot FX Dates popup #KACE Page Script CalcRef=TIIEARB_PopupRegFXDates() CalcRef=TIIEARB_PopupSprdOvr10Yrs() CalcRef=TIIEARB_PopupFwdGrid() CalcRef=TIIEARB_PopupLongDatedFwdGrid() ### Basis Nudging Feb 08 ##### #KACE Page Script CalcRef=BasisNudgeNudgedBasis() CalcRef=BasisNudge_Button3() #KACE Page Script #MW Oct 08 chged interp routine from * to 28d to 364d only due to long TIIE spread calc # need to review and remove TIIEARB_SelfInterp(TIIE,Bid,MXN) and Ask side CalcRef=TIIEARB_SelfInterpTIIE(TIIE,Bid,MXN) CalcRef=TIIEARB_SelfInterpTIIE(TIIE,Ask,MXN) CalcRef=TIIEARB_InBasisNudge() #KACE Page Script CalcRef=CopyUSshortRates(Bid) CalcRef=CopyUSshortRates(Ask) ######Ensure O/N TIIE Rate is populated####### CalcRef=CopyTIEEONRate() ####NEW ADJ CURVE##### #Calcref=DFC-6MLiborCurve(Bid,USD) #Calcref=DFC-6MLiborCurve(Ask,USD) CalcRef=DFC-3MAdjCurve(Bid,USD) CalcRef=DFC-3MAdjCurve(Ask,USD) ############################################ ## Amended model to include 19m 6y, 8y and 9y ## Linearly Interps +/- adj new periods alternatively allows spread over/under or manual #KACE Page Script CalcRef=MXN_SprdMinorMats19m(Ask) CalcRef=MXN_SprdMinorMats19m(Bid) CalcRef=MXN_SprdMinorMats6y(Ask) CalcRef=MXN_SprdMinorMats6y(Bid) CalcRef=MXN_SprdMinorMats8y(Ask) CalcRef=MXN_SprdMinorMats8y(Bid) CalcRef=MXN_SprdMinorMats9y(Ask) CalcRef=MXN_SprdMinorMats9y(Bid) #KACE Page Script CalcRef=MXN_UPnDN_ManInputs() CalcRef=MXN_UPnDN_MinorMats() CalcRef=MXN_UPnDN_SprdsOv10Y() CalcRef=MXN_UPnDN_Basis() CalcRef=FwdFwdMXNCharts() ### For DV01 Calculator for FX CalcRef=MXN-CalcDV01_USD() CalcRef=MXNDurNomReqdUSD() ### For DV01 calculator for TIIE or Basis using USD curve CalcRef=MXN-CalcDV01_2() CalcRef=MXN_2DurationNomReqd() #### For DV01 calc for any broken dates #KACE Page Script CalcRef=MXNAdjDatesToBD-3(Start,1,1..5,BrokenDV01) CalcRef=MXNAdjDatesToBD-3(End,1,1..5,BrokenDV01) CalcRef=MXNBrknDurationNomReqd(1) CalcRef=MXNBrknDurationNomReqd(2) CalcRef=MXNBrknDurationNomReqd(3) CalcRef=MXNBrknDurationNomReqd(4) CalcRef=MXNBrknDurationNomReqd(5) CalcRef=MXN_2BrknDurationNomReqd(1) CalcRef=MXN_2BrknDurationNomReqd(2) CalcRef=MXN_2BrknDurationNomReqd(3) CalcRef=MXN_2BrknDurationNomReqd(4) CalcRef=MXN_2BrknDurationNomReqd(5) #KACE Page Script CalcRef=BrknDV01() #KACE Page Script CalcRef=MXN_19m_Maintenance() CalcRef=MXN_6y_Maintenance() CalcRef=MXN_8y_Maintenance() CalcRef=MXN_9y_Maintenance() #For TIIE and Basis Closings CalcRef=MXNClose_Final() CalcRef=MXNClose_TIIEPopup() #KACE Page Script #KACE Page Script ## This is to manage the layers on the TIIE page to enable the interp and use of +/- buttons etc CalcRef=MXN_SwitchToManual(TIIE,Ask,56d) CalcRef=MXN_SwitchToManual(TIIE,Bid,56d) CalcRef=MXN_SwitchToManual(TIIE,Ask,112d) CalcRef=MXN_SwitchToManual(TIIE,Bid,112d) CalcRef=MXN_SwitchToManual(TIIE,Ask,140d) CalcRef=MXN_SwitchToManual(TIIE,Bid,140d) CalcRef=MXN_SwitchToManual(TIIE,Ask,196d) CalcRef=MXN_SwitchToManual(TIIE,Bid,196d) CalcRef=MXN_SwitchToManual(TIIE,Ask,224d) CalcRef=MXN_SwitchToManual(TIIE,Bid,224d) CalcRef=MXN_SwitchToManual(TIIE,Ask,280d) CalcRef=MXN_SwitchToManual(TIIE,Bid,280d) CalcRef=MXN_SwitchToManual(TIIE,Ask,308d) CalcRef=MXN_SwitchToManual(TIIE,Bid,308d) CalcRef=MXN_SwitchToManual(TIIE,Ask,336d) CalcRef=MXN_SwitchToManual(TIIE,Bid,336d) #KACE Page Script CalcRef=MXN_SwitchToManual(InBSv1m,Ask,56d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,56d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,112d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,112d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,140d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,140d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,196d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,196d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,224d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,224d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,280d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,280d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,308d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,308d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,336d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,336d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,532d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,532d) #KACE Page Script CalcRef=MXN_SwitchToManual(InBSv1m,Ask,2184d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,2184d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,2912d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,2912d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,3278d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,3278d) ### CalcRef=MXN_SwitchToManual(InBSv1m,Ask,4368d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,4368d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,5460d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,5460d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,7280d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,7280d) CalcRef=MXN_SwitchToManual(InBSv1m,Ask,9100d) CalcRef=MXN_SwitchToManual(InBSv1m,Bid,9100d) #KACE Page Script CalcRef=MXN_DynamicSpreads(1) CalcRef=MXN_DynamicSpreads(2) CalcRef=MXN_DynamicSpreads(3) CalcRef=MXN_DynamicSpreads(4) CalcRef=MXN_DynamicSpreads(5) #KACE Page Script CubeRef=MXN_DynamicSpreads(Near,*,1) SetControl=ComboIndex1,3m|6m|9m|1y|19m|2y|3y|4y|5y|6y|7y|8y|9y|10y|12y|15y|20y|25y CubeRef=MXN_DynamicSpreads(Far,*,1) SetControl=ComboIndex1,3m|6m|9m|1y|19m|2y|3y|4y|5y|6y|7y|8y|9y|10y|12y|15y|20y|25y|30y CubeRef=MXN_DynamicSpreads(ManImp,*,1) SetControl=ComboString,Manual|Implied #KACE Page Script CalcRef=MXNDurationFXAmounts-DV01() ## For the manual selection of Flys ## CalcRef=MXN_FlyStrips(Row) #KACE Page Script CalcRef=MXN_FlyStrips(1) CalcRef=MXN_FlyStrips(2) CalcRef=MXN_FlyStrips(3) CalcRef=MXN_FlyStrips(4) CalcRef=MXN_FlyStrips(5) CalcRef=MXN_FlyStrips(6) CalcRef=MXN_FlyStrips(7) CalcRef=MXN_FlyStrips(8) CalcRef=MXN_FlyStrips(9) CalcRef=MXN_FlyStrips(10) CalcRef=MXN_FlyStrips(11) CalcRef=MXN_FlyStrips(12) CalcRef=MXN_FlyStrips(13) CalcRef=MXN_FlyStrips(14) CalcRef=MXN_FlyStrips(15) ##### For Calculation of Near and Far NPA based on Body Amount Input ### CalcRef=MXN_Fly_Amts({Row}) #KACE Page Script CalcRef=MXN_Fly_Amts(1) CalcRef=MXN_Fly_Amts(2) CalcRef=MXN_Fly_Amts(3) CalcRef=MXN_Fly_Amts(4) CalcRef=MXN_Fly_Amts(5) CalcRef=MXN_Fly_Amts(6) CalcRef=MXN_Fly_Amts(7) CalcRef=MXN_Fly_Amts(8) CalcRef=MXN_Fly_Amts(9) CalcRef=MXN_Fly_Amts(10) CalcRef=MXN_Fly_Amts(11) CalcRef=MXN_Fly_Amts(12) CalcRef=MXN_Fly_Amts(13) CalcRef=MXN_Fly_Amts(14) CalcRef=MXN_Fly_Amts(15) ##### For Calculation of fly rates required etc.... ### CalcRef=MXN_Reqd_Flys2({Row}) #KACE Page Script CalcRef=MXN_Reqd_Flys2(1) CalcRef=MXN_Reqd_Flys2(2) CalcRef=MXN_Reqd_Flys2(3) CalcRef=MXN_Reqd_Flys2(4) CalcRef=MXN_Reqd_Flys2(5) CalcRef=MXN_Reqd_Flys2(6) CalcRef=MXN_Reqd_Flys2(7) CalcRef=MXN_Reqd_Flys2(8) CalcRef=MXN_Reqd_Flys2(9) CalcRef=MXN_Reqd_Flys2(10) CalcRef=MXN_Reqd_Flys2(11) CalcRef=MXN_Reqd_Flys2(12) CalcRef=MXN_Reqd_Flys2(13) CalcRef=MXN_Reqd_Flys2(14) CalcRef=MXN_Reqd_Flys2(15) CubeRef=MXN_Reqd_Flys("NearSpdOrder,FarSpdOrder",*,1) Multiplier=4 ###### Popup Display for the above calcs #KACE Page Script CalcRef=PopupFLY() CalcRef=PopupSingleFly() #KACE Page Script ## This clears the input orders on the fly calc if ANY leg is changed CalcRef=MXNClearFlyOrdersNear(1) CalcRef=MXNClearFlyOrdersNear(2) CalcRef=MXNClearFlyOrdersNear(3) CalcRef=MXNClearFlyOrdersNear(4) CalcRef=MXNClearFlyOrdersNear(5) CalcRef=MXNClearFlyOrdersNear(6) CalcRef=MXNClearFlyOrdersNear(7) CalcRef=MXNClearFlyOrdersNear(8) CalcRef=MXNClearFlyOrdersNear(9) CalcRef=MXNClearFlyOrdersNear(10) CalcRef=MXNClearFlyOrdersNear(11) CalcRef=MXNClearFlyOrdersNear(12) CalcRef=MXNClearFlyOrdersNear(13) CalcRef=MXNClearFlyOrdersNear(14) CalcRef=MXNClearFlyOrdersNear(15) CalcRef=MXNClearFlyOrdersFar(1) CalcRef=MXNClearFlyOrdersFar(2) CalcRef=MXNClearFlyOrdersFar(3) CalcRef=MXNClearFlyOrdersFar(4) CalcRef=MXNClearFlyOrdersFar(5) CalcRef=MXNClearFlyOrdersFar(6) CalcRef=MXNClearFlyOrdersFar(7) CalcRef=MXNClearFlyOrdersFar(8) CalcRef=MXNClearFlyOrdersFar(9) CalcRef=MXNClearFlyOrdersFar(10) CalcRef=MXNClearFlyOrdersFar(11) CalcRef=MXNClearFlyOrdersFar(12) CalcRef=MXNClearFlyOrdersFar(13) CalcRef=MXNClearFlyOrdersFar(14) CalcRef=MXNClearFlyOrdersFar(15) CalcRef=MXNClearFlyOrdersFly(1) CalcRef=MXNClearFlyOrdersFly(2) CalcRef=MXNClearFlyOrdersFly(3) CalcRef=MXNClearFlyOrdersFly(4) CalcRef=MXNClearFlyOrdersFly(5) CalcRef=MXNClearFlyOrdersFly(6) CalcRef=MXNClearFlyOrdersFly(7) CalcRef=MXNClearFlyOrdersFly(8) CalcRef=MXNClearFlyOrdersFly(9) CalcRef=MXNClearFlyOrdersFly(10) CalcRef=MXNClearFlyOrdersFly(11) CalcRef=MXNClearFlyOrdersFly(12) CalcRef=MXNClearFlyOrdersFly(13) CalcRef=MXNClearFlyOrdersFly(14) CalcRef=MXNClearFlyOrdersFly(15) CalcRef=MXN_Days2Mths(1) CalcRef=MXN_Days2Mths(2) CalcRef=MXN_Days2Mths(3) CalcRef=MXN_Days2Mths(4) CalcRef=MXN_Days2Mths(5) CalcRef=MXN_Days2Mths(6) CalcRef=MXN_Days2Mths(7) CalcRef=MXN_Days2Mths(8) CalcRef=MXN_Days2Mths(9) CalcRef=MXN_Days2Mths(10) CalcRef=MXN_Days2Mths(11) CalcRef=MXN_Days2Mths(12) CalcRef=MXN_Days2Mths(13) CalcRef=MXN_Days2Mths(14) CalcRef=MXN_Days2Mths(15) #KACE Page Script CalcRef=InForwardsAgg1(MXN,Ask) CalcRef=InForwardsAgg1(MXN,Bid) CalcRef=InForwardsAgg2(MXN,Ask) CalcRef=InForwardsAgg2(MXN,Bid) CalcRef=InForwardsAgg3(MXN,Ask) CalcRef=InForwardsAgg3(MXN,Bid) CalcRef=InForwardsAgg4(MXN,Ask) CalcRef=InForwardsAgg4(MXN,Bid) #KACE Page Script CalcRef=AggFwdsFinal(Ask) CalcRef=AggFwdsFinal(Bid) #KACE Page Script CalcRef=In3s1sUSDBasis(USD,Ask) CalcRef=In3s1sUSDBasis(USD,Bid) #KACE Page Script CalcRef=Mid3s1sCopy(3m) CalcRef=Mid3s1sCopy(6m) CalcRef=Mid3s1sCopy(9m) CalcRef=Mid3s1sCopy(1y) CalcRef=Mid3s1sCopy(2y) CalcRef=Mid3s1sCopy(3y) CalcRef=Mid3s1sCopy(4y) CalcRef=Mid3s1sCopy(5y) CalcRef=Mid3s1sCopy(7y) CalcRef=Mid3s1sCopy(10y) CalcRef=Mid3s1sCopy(15y) CalcRef=Mid3s1sCopy(20y) CalcRef=Mid3s1sCopy(30y) #KACE Page Script CalcRef=Mid3s1s2mthEstimate() #KACE Page Script CalcRef=MXNPeriodToLine() CalcRef=MXNDurationFXAmounts-DV01() #KACE Page Script CalcRef=BrokenDatedTIIE() CalcRef=BrokenDatedFX()