Creates a portfolio of BEAR/BULL spread option caplets/floorlets from this floating Rate Leg.

This structure produces a portfolio of BEAR/BULL spread options.

A BEAR/BULL option strategy involves trading in two options on a single floating rate fixing (reset) where the options involved must be either all puts or all calls.

If receiving the float leg, bought BEAR spread caplets or floorlets will be constructed, if however you are paying the float leg, bought BULL spread caplets or floorlets will be constructed.

You can also specify whether you want the spread option payoff to be between 0 and 1 by enabling the 'Digital' flag parameter.

Via the 'EnablePeriods' parameter, you can indicate which periods you actually want the option strategy to be enabled.

Thus you can indicate, for example, zeros (0) for the first 4 periods and then ones (1's) after that.

This would imply that the option strategies would only kick in after the 4th period.

You can price this strategy via the PrcIROptionStrategy() function.

This function requires the input of a floating leg object (or an inverse floater leg object) key, which must have been produced via a call to one of the numerous Leg construction functions (see the CapeTools FLOAT Legs or CapeTools FIXED + FLOAT Legs category of functions).

This strategy does not support Averaging/Compounding legs.

These leg functions will have returned a string 'KEY' which is to be passed to the 'LegKey' parameter of this function.

Finally if the Index underlying the floatingLeg is a CMS Index, then the 'VCKey' parameter is not used as the leg object will have a reference to a volatility object.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "BBSFLTLEG"

String CTExoticLegs.CreateBBSFLTLeg( _
String Key, _
Long Reload, _
String LegKey, _
Variant EnablePeriods, _
OPTTYPEEnum OptionType, _
Variant LowStrike, _
Variant HighStrike, _
Boolean Digital, _
String VCKey)

=CT.LEG.CreateBBSFLTLeg(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell LegKey,
XLRange EnablePeriods,
Excel String Cell OptionType,
XLRange LowStrike,
XLRange HighStrike,
Excel Boolean Value Cell Digital,
Excel String Cell VCKey)

static std::string CreateBBSFLTLeg(
std::string Key,
long Reload,
std::string LegKey,
CTRangeDataCPP EnablePeriods,
OPTTYPEEnum OptionType,
CTRangeDataCPP LowStrike,
CTRangeDataCPP HighStrike,
bool Digital,
std::string VCKey);

System.String CTExoticLegsSA.CreateBBSFLTLeg(
System.String Key,
System.Int32 Reload,
System.String LegKey,
CTRangeData EnablePeriods,
CTIEnums.OPTTYPEEnum OptionType,
CTRangeData LowStrike,
CTRangeData HighStrike,
System.Boolean Digital,
System.String VCKey);

CTQL.CTRangeData CreateBBSFLTLeg_EnablePeriods;


int[] arrBCreateBBSFLTLeg_EnablePeriods = {
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1  //  Array Data

};

CTQL.IntVector arrCreateBBSFLTLeg_EnablePeriods =
new  CTQL.IntVector(arrBCreateBBSFLTLeg_EnablePeriods);

// Second parameter determines whether the array is a column array (false) or a row array (true)
CreateBBSFLTLeg_EnablePeriods = new  CTQL.CTRangeData(arrCreateBBSFLTLeg_EnablePeriods, false);

CTQL.CTRangeData CreateBBSFLTLeg_LowStrike;


double[] arrBCreateBBSFLTLeg_LowStrike = {
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03,
0.03  //  Array Data

};

CTQL.DoubleVector arrCreateBBSFLTLeg_LowStrike =
new  CTQL.DoubleVector(arrBCreateBBSFLTLeg_LowStrike);

// Second parameter determines whether the array is a column array (false) or a row array (true)
CreateBBSFLTLeg_LowStrike = new  CTQL.CTRangeData(arrCreateBBSFLTLeg_LowStrike, false);

CTQL.CTRangeData CreateBBSFLTLeg_HighStrike;


double[] arrBCreateBBSFLTLeg_HighStrike = {
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035,
0.035  //  Array Data

};

CTQL.DoubleVector arrCreateBBSFLTLeg_HighStrike =
new  CTQL.DoubleVector(arrBCreateBBSFLTLeg_HighStrike);

// Second parameter determines whether the array is a column array (false) or a row array (true)
CreateBBSFLTLeg_HighStrike = new  CTQL.CTRangeData(arrCreateBBSFLTLeg_HighStrike, false);

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.