QBSBondOption Example JS

J# 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.

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

import 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.

import 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 = 0;

// 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();

String szTickedKeyName;

public String JS_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;

}

catch(System.ApplicationException e)

{

szErrorMsg = e.get_Message();

}

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

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;

}