AmortFloatingRateBond Example CPP

C++ 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.

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

#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 nCTBondsGlobal = 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_AmortFloatingRateBond()

{

nCTBondsGlobal += 1;

std::string szErrorMsg = "";

try

{

// Calendar for reproducing theoretical calculations.

std::string MyNullCalendar;

MyNullCalendar =

EmptyCalendarPart();

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

std::string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

std::string MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates a centralized valuation date object.

std::string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

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

// Index, but without the YieldCurve information.

std::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.

std::string MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

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

// Swaps).

std::string MyYCInterpOnDCF;

MyYCInterpOnDCF =

MKTYC_DPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

std::string MyNewIndex;

MyNewIndex =

CreateIndexPart(

MyCALUKExchange,

MyEuroCal,

MyYCInterpOnDCF);

// Creates an amortised floating rate bond object.

std::string MyAmortFLTBond;

MyAmortFLTBond =

AmortFloatingRateBondPart(

MyNewIndex,

MyNullCalendar,

MyYCInterpOnDCF);

// This is the result we are looking for.

return MyAmortFLTBond;

}

catch(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

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

std::string AmortFloatingRateBondPart(

std::string MyNewIndex,

std::string MyNullCalendar,

std::string MyYCInterpOnDCF)

{

// Create example range for parameter AmortFloatingRateBond_BondDetails

CTRangeDataCPP AmortFloatingRateBond_BondDetails;

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

// purposes, this is quicker and more informative.

AmortFloatingRateBond_BondDetails.RangeFromStr

(

"{"

"100 | 0 | 0 ;"

"100 | 100 | 0"

"}"

);

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

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

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

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

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

// to a positive value.

long Reload = 1;

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

CCYEnum Ccy = CCY_EUR;

// Number of days for the settlement of bonds.

long SettleDays = 2;

// Dated date of the bond.

CT::Date datedDate = CT::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).

long 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).

long penultCouponDate = 0;

// Maturity date of the bond.

CT::Date matDate = CT::Date("21/4/2015", "dd/mm/yyyy");

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

DayCountEnum cpnDayCount = DayCount_30360;

// Business Day Convention to use.

BDCEnum BusDayConv = BDC_modifiedfollowing;

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

// Creates an amortised floating rate bond object.

std::string rAmortFloatingRateBond;

rAmortFloatingRateBond = CTBondsSA::AmortFloatingRateBond(

MyAmortFLTBond,

Reload,

Ccy,

SettleDays,

datedDate.serialNumber(),

firstCouponDate,

penultCouponDate,

matDate.serialNumber(),

MyNewIndex,

AmortFloatingRateBond_BondDetails,

cpnDayCount,

MyNullCalendar,

BusDayConv,

MyYCInterpOnDCF);

return rAmortFloatingRateBond;

}