AmortFloatingRateBond Example VBNET

VB.NET Example - AmortFloatingRateBond

' ##################################################################################

' The first function here AmortFloatingRateBond(), contains a series of

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

' within this file ( AmortFloatingRateBondPart() ).

' 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.

' ##################################################################################

Imports 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.

Imports 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.

Global nCTBondsGlobal As Integer

' 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

Global oEmptyRange As CTQL.CTRangeData

Public Function VB_EX_AmortFloatingRateBond() As String

nCTBondsGlobal = nCTBondsGlobal + 1

Dim szErrorMsg As String

Try

' Calendar for reproducing theoretical calculations.

Dim MyNullCalendar As String

MyNullCalendar = _

EmptyCalendarPart()

' UK date calendar used within the UK stock exchange.

Dim MyCALUKExchange As String

MyCALUKExchange = _

CALUKExchangePart()

' EURO calendar used for holiday adjustments.

Dim MyEuroCal As String

MyEuroCal = _

CALEUROPart()

' Creates a centralized valuation date object.

Dim MyValuationDate As String

MyValuationDate = _

ValueDateObjPart()

' Creates a Deposit template which is almost identical to a Libor

' Index, but without the YieldCurve information.

Dim MyDepoTPL As String

MyDepoTPL = _

CreateDepoTemplatePart( _

MyCALUKExchange, _

MyEuroCal)

' Creates a Swap template which is almost identical to the definition

' of the parameters of a swap contract, but without the swap duration,

' buysell, and YieldCurve information.

Dim MySwapTPL As String

MySwapTPL = _

CreateSwapTemplatePart( _

MyEuroCal, _

MyDepoTPL)

' Creates a yield curve using market rates (No cross-currency

' Swaps).

Dim MyYCInterpOnDCF As String

MyYCInterpOnDCF = _

MKTYC_DPart( _

MyValuationDate, _

MyDepoTPL, _

MySwapTPL)

' Creates a new Index code.

Dim MyNewIndex As String

MyNewIndex = _

CreateIndexPart( _

MyCALUKExchange, _

MyEuroCal, _

MyYCInterpOnDCF)

' Creates an amortised floating rate bond object.

Dim MyAmortFLTBond As String

MyAmortFLTBond = _

AmortFloatingRateBondPart( _

MyNewIndex, _

MyNullCalendar, _

MyYCInterpOnDCF)

' This is the result we are looking for.

VB_EX_AmortFloatingRateBond = MyAmortFLTBond

Catch e As Exception

szErrorMsg = e.Message

Throw e

Catch e As System.ApplicationException

szData = e.Message

End Try

End Function

' ///////////////////////////////////////////////////////////////////

Private Function AmortFloatingRateBondPart( _

MyNewIndex As String, _

MyNullCalendar As String, _

MyYCInterpOnDCF As String) As String

' Create example range for parameter AmortFloatingRateBond_BondDetails

Dim AmortFloatingRateBond_BondDetails _

As CTQL.CTRangeData

Dim AmortFloatingRateBond_BondDetails_builder _

As New System.Text.StringBuilder(100)

' We could set the value for each cell individually, but for display

' purposes, this is quicker and more informative.

AmortFloatingRateBond_BondDetails_builder.Append("{")

AmortFloatingRateBond_BondDetails_builder.Append("100 | 0 | 0 ;")

AmortFloatingRateBond_BondDetails_builder.Append("100 | 100 | 0")

AmortFloatingRateBond_BondDetails_builder.Append("}")

AmortFloatingRateBond_BondDetails.RangeFromStr _

( _

AmortFloatingRateBond_BondDetails_builder.ToString() _

)

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

Dim MyAmortFLTBond As String

MyAmortFLTBond = "MyAmortFLTBond" + "_" + CStr(nCTBondsGlobal)

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

' to a positive value.

Dim Reload As Integer

Reload = 1

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

Dim Ccy As CTIEnums.CCYEnum

Ccy = CTIEnums.CCYEnum.CCY_EUR

' Number of days for the settlement of bonds.

Dim SettleDays As Integer

SettleDays = 2

' Dated date of the bond.

Dim datedDate As 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).

Dim firstCouponDate As Integer

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).

Dim penultCouponDate As Integer

penultCouponDate = 0

' Maturity date of the bond.

Dim matDate As CTQL.Date

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

' Coupon DayCounter to use for the bond coupon payments.

Dim cpnDayCount As CTIEnums.DayCountEnum

cpnDayCount = CTIEnums.DayCountEnum.DayCount_30360

' Business Day Convention to use.

Dim BusDayConv As CTIEnums.BDCEnum

BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing

' Excel function call is : "CT.BOND.AmortFloatingRateBond()"

' Creates an amortised floating rate bond object.

Dim rAmortFloatingRateBond As String

Dim oCTBonds As New CTQL.CTBonds

rAmortFloatingRateBond = CTQL.CTBondsSA.AmortFloatingRateBond( _

MyAmortFLTBond, _

Reload, _

Ccy, _

SettleDays, _

datedDate.serialNumber(), _

firstCouponDate, _

penultCouponDate, _

matDate.serialNumber(), _

MyNewIndex, _

AmortFloatingRateBond_BondDetails, _

cpnDayCount, _

MyNullCalendar, _

BusDayConv, _

MyYCInterpOnDCF)

AmortFloatingRateBondPart = rAmortFloatingRateBond

End Function