RDP IPA: Floored swap market value array

Dan.Camp1

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?

Michel B

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