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Description |
Displays a swap between any two expirations of a futures contract. |
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Formula |
SWAPMON(inst1, inst2, thisDate)=begin val1 = inst1 * BusDays(FirstOfMonth(thisDate),inst1.expire) val2 = inst2 * BusDays(inst1.expire + 1, LastOfMonth(thisDate)) retval = Scale((Sum(val1, val2))/BusDaysInAnyMonth(thisDate),SWAP_SCALE) end |
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Parameters |
inst1 The nearer expiration of a futures contract.
inst2 The contract following the contract given in the inst1 variable.
thisDate Any date within the month of the inst1 variable's expiration. |
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Return Value |
A swap. |
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Examples |
SwapMon(NG#,NG#1,date)
Displays a swap of the Natural Gas lead-month and first out-month. |
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Comments |
NA |
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