AmortFloatingRateBond Example JS

J# 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.

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

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 nCTBondsGlobal = 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_AmortFloatingRateBond()

{

nCTBondsGlobal += 1;

String szErrorMsg = "";

try

{

// Calendar for reproducing theoretical calculations.

String MyNullCalendar;

MyNullCalendar =

EmptyCalendarPart();

// UK date calendar used within the UK stock exchange.

String MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

String MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates a centralized valuation date object.

String MyValuationDate;

MyValuationDate =

ValueDateObjPart();

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

// Index, but without the YieldCurve information.

String MyDepoTPL;

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.

String MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

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

// Swaps).

String MyYCInterpOnDCF;

MyYCInterpOnDCF =

MKTYC_DPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

String MyNewIndex;

MyNewIndex =

CreateIndexPart(

MyCALUKExchange,

MyEuroCal,

MyYCInterpOnDCF);

// Creates an amortised floating rate bond object.

String MyAmortFLTBond;

MyAmortFLTBond =

AmortFloatingRateBondPart(

MyNewIndex,

MyNullCalendar,

MyYCInterpOnDCF);

// This is the result we are looking for.

return MyAmortFLTBond;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

catch(System.ApplicationException e)

{

szErrorMsg = e.get_Message();

}

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

private String AmortFloatingRateBondPart(

String MyNewIndex,

String MyNullCalendar,

String MyYCInterpOnDCF)

{

// Create example range for parameter AmortFloatingRateBond_BondDetails

CTQL.CTRangeData AmortFloatingRateBond_BondDetails =

new CTQL.CTRangeData();

System.Text.StringBuilder AmortFloatingRateBond_BondDetails_builder =

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.

String MyAmortFLTBond = "MyAmortFLTBond" + "_" + System.Convert.ToString(nCTBondsGlobal);

// 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;

// Number of days for the settlement of bonds.

int SettleDays = 2;

// 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");

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

CTIEnums.DayCountEnum cpnDayCount = CTIEnums.DayCountEnum.DayCount_30360;

// Business Day Convention to use.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

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

// Creates an amortised floating rate bond object.

String rAmortFloatingRateBond;

rAmortFloatingRateBond = CTQL.CTBondsSA.AmortFloatingRateBond(

MyAmortFLTBond,

Reload,

Ccy,

SettleDays,

datedDate.serialNumber(),

firstCouponDate,

penultCouponDate,

matDate.serialNumber(),

MyNewIndex,

AmortFloatingRateBond_BondDetails,

cpnDayCount,

MyNullCalendar,

BusDayConv,

MyYCInterpOnDCF);

return rAmortFloatingRateBond;

}