GenEndDiagOSDates




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Given a start date, end date and a frequency, this function will generate diagonal calibration Swaption dates.

The end date is always fixed for each Swaption, however the starting dates will increase by the 'Frequency' amount.

These dates can be passed into the MixedCalibInst(), OSCalibInst() or CFCalibInst() functions.



Note: Within Excel, the function is named - CT.CAL.GenEndDiagOSDates


High level graphic of GenEndDiagOSDates() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. StartDate parameter

    Start date of the forward swap that corresponds to the first exercise date of the Swaption.
  2. EndDate parameter

    End date of the underlying swap
  3. Freq parameter

    Frequency of which the ending dates will increase by.
  4. CalendarKey parameter

    Calendar key for the adjustments of dates.
  5. BusDayConv parameter

    Business day convention needed for day adjustments when an adjustment moves the date into the preceding, following month.


Extended information

Function Syntax

VB Syntax 


Variant CTCalibrationInsts.GenEndDiagOSDates( _
Long StartDate, _
Long EndDate, _
FreqEnum Freq, _
String CalendarKey, _
BDCEnum BusDayConv)


Excel Spreadsheet Syntax 


=CT.CAL.GenEndDiagOSDates(
Excel Numeric Cell StartDate,
Excel Numeric Cell EndDate,
Excel String Cell Freq,
Excel String Cell CalendarKey,
Excel String Cell BusDayConv)


C++ Syntax 


static CTRangeDataCPP GenEndDiagOSDates(
long StartDate,
long EndDate,
FreqEnum Freq,
std::string CalendarKey,
BDCEnum BusDayConv);


DotNET Syntax 


CTRangeData CTCalibrationInstsSA.GenEndDiagOSDates(
System.Int32 StartDate,
System.Int32 EndDate,
CTIEnums.FreqEnum Freq,
System.String CalendarKey,
CTIEnums.BDCEnum BusDayConv);

Parameter data types

ArgNameArgTypeIsKey
StartDateLongFALSE
EndDateLongFALSE
FreqFreqEnumFALSE
CalendarKeyStringTRUE
BusDayConvBDCEnumFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
StartDateFALSE21/Jul/2006 (serial date type)
EndDateFALSE21/Jul/2011 (serial date type)
FreqFALSES
CalendarKeyFALSECalendarKeyNAME.EXTTAG.TICKER (from a function call)
BusDayConvFALSEModifiedFollowing


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Models20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the GenEndDiagOSDates() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the GenEndDiagOSDates() function call


Example
3891940745
3910440745
3928640745
3946840745
3965040745
3983440745
4001540745
4019940745
4038040745
4056440745



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