Creates a portfolio of STRADDLE caplets/floorlets from this floating Rate Leg.

This structure produces a portfolio of STRADDLE options.

A STRANGLE option strategy involves trading in two options on a single floating rate fixing (reset) where options involved are a mixture of calls and puts.

Buying or selling the same amount of call and put options at the same strike (exercise price).

You can specify whether you would like to PAY (buy) or RECIEVE (sell) the STRADDLE options.

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 : "STRDFLTLEG"

String CTExoticLegs.CreateSTRDFLTLeg( _
String Key, _
Long Reload, _
String LegKey, _
Variant EnablePeriods, _
PAYRECEnum PayRec, _
Long Gearing, _
Variant Strike, _
String VCKey)

=CT.LEG.CreateSTRDFLTLeg(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell LegKey,
XLRange EnablePeriods,
Excel String Cell PayRec,
Excel Numeric Cell Gearing,
XLRange Strike,
Excel String Cell VCKey)

static std::string CreateSTRDFLTLeg(
std::string Key,
long Reload,
std::string LegKey,
CTRangeDataCPP EnablePeriods,
PAYRECEnum PayRec,
long Gearing,
CTRangeDataCPP Strike,
std::string VCKey);

System.String CTExoticLegsSA.CreateSTRDFLTLeg(
System.String Key,
System.Int32 Reload,
System.String LegKey,
CTRangeData EnablePeriods,
CTIEnums.PAYRECEnum PayRec,
System.Int32 Gearing,
CTRangeData Strike,
System.String VCKey);

CTQL.CTRangeData CreateSTRDFLTLeg_EnablePeriods;


int[] arrBCreateSTRDFLTLeg_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 arrCreateSTRDFLTLeg_EnablePeriods =
new  CTQL.IntVector(arrBCreateSTRDFLTLeg_EnablePeriods);

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

CTQL.CTRangeData CreateSTRDFLTLeg_Strike;


double[] arrBCreateSTRDFLTLeg_Strike = {
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 arrCreateSTRDFLTLeg_Strike =
new  CTQL.DoubleVector(arrBCreateSTRDFLTLeg_Strike);

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