QBSBondOption Example CS

C# Example - QBSBondOption

// ##################################################################################

// The first function here QBSBondOption(), contains a series of

// function calls leading upto the main function call, the second function

// within this file ( QBSBondOptionPart() ).

// which contains the answer that we are looking for.

// The first function here is simply an example of how to construct the parameters

// in order acquire either a string Key (that is to be passed to other functions)

// or a computed result.

// If you are viewing this source code from the chm or web help file you can use the

// outlining features to collapse certain sections of the code for better readability.

// ##################################################################################

using System;

// Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)

// and using the reduced version (in the case of declaring enumerations).

// This is just to demostrate both types of coding.

using CTQL; // You need to add a reference to the QuantToolsNET.v2.dll also

// Some global parameter in order to append to user defined keys.

// We use it here to ensure that we have unique Keys (in the case several of our examples

// use the same key-name)

// In normal use, a user defined string will be used and so this variable will be pointless.

static int nCTBondOptionsGlobal;

// Used by function parameters that take an optional range value.

// In Excel we simply omit the value, within the API functions,

// we pass an empty range object

static CTQL.CTRangeData oEmptyRange = new CTQL.CTRangeData();

public string CS_EX_QBSBondOption()

{

nCTBondOptionsGlobal += 1;

string szErrorMsg = "";

try

{

// Creates an European Exercise object.

string MyEuropeanExercise;

MyEuropeanExercise =

EuropeanExercisePart();

// Creates a generic calendar object.

string MyNewCalendar;

MyNewCalendar =

GenericCalendarPart();

// Creates a fixed coupon bond object.

string MyFixedCouponBond_y;

MyFixedCouponBond_y =

FixedCouponBond_yPart(

MyNewCalendar);

// Creates a BondOption object that will price the option via a

// Black Scholes methodology.

string MyQBSBondOption;

MyQBSBondOption =

QBSBondOptionPart(

MyFixedCouponBond_y,

MyEuropeanExercise);

// This is the result we are looking for.

return MyQBSBondOption;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

// ///////////////////////////////////////////////////////////////////

private string QBSBondOptionPart(

string MyFixedCouponBond_y,

string MyEuropeanExercise)

{

// Key Handle to be used for the new Bond object.

string MyQBSBondOption = "MyQBSBondOption" + "_" + System.Convert.ToString(nCTBondOptionsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Type of option (C)all or (P)ut.

string OptionType = "Call";

// The exercise price of the BondOption.

double exercisePrice = 101;

// The volatility of the Bond.

double Vol = 0.2;

// The type of volatility passed in : Either 'Yield' or 'Price'

// vol.

string VolType = "Yield";

// A repurchase rate (repo rate) value.

double reporate = 0.055;

// The compounding of the repurchase rate (repo rate) passed in.

CTIEnums.COMPEnum compounding = CTIEnums.COMPEnum.COMP_Compounded;

// Frequency of the repo rate.

CTIEnums.FreqEnum Freq = CTIEnums.FreqEnum.Freq_annual;

// The DayCounter of the repo rate.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual360;

// Excel function call would be this - "CT.BNDOPT.QBSBondOption()"

// Creates a BondOption object that will price the option via a

// Black Scholes methodology.

string rQBSBondOption;

rQBSBondOption = CTQL.CTBondOptionsSA.QBSBondOption(

MyQBSBondOption,

Reload,

MyFixedCouponBond_y,

OptionType,

MyEuropeanExercise,

exercisePrice,

Vol,

VolType,

reporate,

compounding,

Freq,

DayCount);

return rQBSBondOption;

}

// ///////////////////////////////////////////////////////////////////

private string FixedCouponBond_yPart(

string MyNewCalendar)

{

// Create example range for parameter FixedCouponBond_y_coupons

CTQL.CTRangeData FixedCouponBond_y_coupons;

FixedCouponBond_y_coupons = new CTQL.CTRangeData(0.05);

// Key Handle to be used for the new Bond object.

string MyFixedCouponBond_y = "MyFixedCouponBond_y" + "_" + System.Convert.ToString(nCTBondOptionsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// The currency code that you want to associate with the Bond.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Settlement date of the Bond.

CTQL.Date SettleDate = new CTQL.Date("19/7/2005", "dd/mm/yyyy");

// Dated date of the bond.

CTQL.Date datedDate = new CTQL.Date("21/4/2005", "dd/mm/yyyy");

// First Coupon Date: Date that the first coupon is paid (if bond

// does not have an odd first period, leave blank or enter 0).

int firstCouponDate = 0;

// Penultimate Coupon Date: Date that the penultimate coupon is

// paid (if bond does not have an odd last period, leave blank

// or enter 0).

int penultCouponDate = 0;

// Maturity date of the bond.

CTQL.Date matDate = new CTQL.Date("21/4/2015", "dd/mm/yyyy");

// The ex-dividend tenor.

string exDivTenor = "3BD";

// Coupon Frequency of the bond.

CTIEnums.FreqEnum couponFreq = CTIEnums.FreqEnum.Freq_semiannual;

// Whether (for non short or long period periods) coupon payments

// are equal (false) or exact (true).

bool exactCoupon = false;

// Coupon DayCounter to use for the bond coupon payments.

CTIEnums.DayCountEnum cpnDayCount = CTIEnums.DayCountEnum.DayCount_30360;

// Accrued interest DayCounter to use for the bond.

CTIEnums.DayCountEnum accDayCount = CTIEnums.DayCountEnum.DayCount_30360;

// Business Day Convention to use.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_following;

// Redemption value of the bond (ie 100.0) .

double redemption = 100;

// The Bond's yield value.

double BondYield = 0.055;

// Yield calculation convention for all coupon periods except when

// there is only one coupon period left to bond maturity (Bond's

// settlement date is greater or equal to the 'penultCouponDate'

// date).

string YieldMethod = "ISMA:30360";

// Final Coupon Yield calculation convention for the last coupon

// paying period when there is only one coupon period left to bond

// maturity (Bond's settlement date is greater or equal to the

// 'penultCouponDate' date).

string FCYieldMethod = "Simple:Actual360";

// Excel function call would be this - "CT.BOND.FixedCouponBond_y()"

// Creates a fixed coupon bond object.

string rFixedCouponBond_y;

rFixedCouponBond_y = CTQL.CTBonds_ySA.FixedCouponBond_y(

MyFixedCouponBond_y,

Reload,

Ccy,

SettleDate.serialNumber(),

datedDate.serialNumber(),

firstCouponDate,

penultCouponDate,

matDate.serialNumber(),

exDivTenor,

FixedCouponBond_y_coupons,

couponFreq,

exactCoupon,

cpnDayCount,

accDayCount,

MyNewCalendar,

BusDayConv,

redemption,

BondYield,

YieldMethod,

FCYieldMethod);

return rFixedCouponBond_y;

}

// ///////////////////////////////////////////////////////////////////

private string EuropeanExercisePart()

{

// Key value to use as a handle for the created object

string MyEuropeanExercise = "MyEuropeanExercise" + "_" + System.Convert.ToString(nCTBondOptionsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Exercise date.

CTQL.Date dtDate = new CTQL.Date("21/10/2005", "dd/mm/yyyy");

// Excel function call would be this - "CT.EX.EuropeanExercise()"

// Creates an European Exercise object.

string rEuropeanExercise;

rEuropeanExercise = CTQL.CTExerciseSA.EuropeanExercise(

MyEuropeanExercise,

Reload,

dtDate.serialNumber());

return rEuropeanExercise;

}

// ///////////////////////////////////////////////////////////////////

private string GenericCalendarPart()

{

// Create example range for parameter GenericCalendar_AddHols

CTQL.CTRangeData GenericCalendar_AddHols;

int[] arrBGenericCalendar_AddHols = {

CTQL.Date.serialNumber("1/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("2/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("3/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("4/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("5/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("6/2/2006", "dd/mm/yyyy") // Array Data

};

CTQL.IntVector arrGenericCalendar_AddHols =

new CTQL.IntVector(arrBGenericCalendar_AddHols);

// Second parameter determines whether the array is a column array (false) or a row array (true)

GenericCalendar_AddHols = new CTQL.CTRangeData(arrGenericCalendar_AddHols, false);

// Key value to use as a handle for the created object

string MyNewCalendar = "MyNewCalendar" + "_" + System.Convert.ToString(nCTBondOptionsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.CAL.GenericCalendar()"

// Creates a generic calendar object.

string rGenericCalendar;

rGenericCalendar = CTQL.CTCalendarsSA.GenericCalendar(

MyNewCalendar,

Reload,

GenericCalendar_AddHols);

return rGenericCalendar;

}