QBSBondOption Example CPP

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.

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

#include <string>

#include <exception>

#include <sstream>

#include <iomanip>

// Point the "additional includes directory" within your editor to the following paths ( where <InstallFolder> is your installation folder)

// <InstallFolder>/Libs/Headers/ (For the library header files)

// <InstallFolder>/Libs/Client/ (For the client helper header and source files)

// The helper files are optional and you can include only those files needed for your functionality

// Each helper header/source file pair corresponds to a single QuantTools category of functions.

// Include QuantTools library header files

#include <QuantTools_all.hpp>

// Include Client Helper QuantTools header files

#include <QuantToolsClient_all.hpp>

// For Debug builds add a reference to the CTQuantToolsCPPAPI20D.lib

// For Release builds add a reference to the CTQuantToolsCPPAPI20.lib

// You add a reference via the ProjectProperties->Linker->Input menu item

// 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 long nCTBondOptionsGlobal = 0;

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

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

// we pass an empty range object

CTRangeDataCPP oEmptyRange;

std::string szTickedKeyName;

std::ostringstream szTemp;

std::string CPP_EX_QBSBondOption()

{

nCTBondOptionsGlobal += 1;

std::string szErrorMsg = "";

try

{

// Creates an European Exercise object.

std::string MyEuropeanExercise;

MyEuropeanExercise =

EuropeanExercisePart();

// Creates a generic calendar object.

std::string MyNewCalendar;

MyNewCalendar =

GenericCalendarPart();

// Creates a fixed coupon bond object.

std::string MyFixedCouponBond_y;

MyFixedCouponBond_y =

FixedCouponBond_yPart(

MyNewCalendar);

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

// Black Scholes methodology.

std::string MyQBSBondOption;

MyQBSBondOption =

QBSBondOptionPart(

MyFixedCouponBond_y,

MyEuropeanExercise);

// This is the result we are looking for.

return MyQBSBondOption;

}

catch(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

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

std::string QBSBondOptionPart(

std::string MyFixedCouponBond_y,

std::string MyEuropeanExercise)

{

std::ostringstream szTemp; szTemp.str("");

szTemp << std::setw(0) << nCTBondOptionsGlobal;

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

std::string MyQBSBondOption = std::string("MyQBSBondOption") + std::string("_") + szTemp.str();

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

// to a positive value.

long Reload = 1;

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

std::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.

std::string VolType = "Yield";

// A repurchase rate (repo rate) value.

double reporate = 0.055;

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

COMPEnum compounding = COMP_Compounded;

// Frequency of the repo rate.

FreqEnum Freq = Freq_annual;

// The DayCounter of the repo rate.

DayCountEnum DayCount = 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.

std::string rQBSBondOption;

rQBSBondOption = CTBondOptionsSA::QBSBondOption(

MyQBSBondOption,

Reload,

MyFixedCouponBond_y,

OptionType,

MyEuropeanExercise,

exercisePrice,

Vol,

VolType,

reporate,

compounding,

Freq,

DayCount);

return rQBSBondOption;

}