CreateXTREEFLTLegTS




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

This structure produces a portfolio of XMAS TREE options.

A XMAS TREE option strategy involves trading in three options on a single floating rate fixing (reset) where options involved must be either all puts or all calls.

Buying/selling N calls/puts at a lower strike, selling/buying N calls/puts at a middle strike and finally selling/buying N calls/puts at a higher strike, where N is a positive integer.

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

This function uses Termstructure models to price this strategy (via the 'engine' 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 PrcIROptionStrategyTS() 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 CMS, Averaging, InArrears or Compounding legs.

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

Unlike the PrcIROptionStrategy() function, This function returns the leg price, the option strategy price and the sum of the two combined.



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 : "XTREEFLTLEGTS"



Note: Within Excel, the function is named - CT.CALL.CreateXTREEFLTLegTS


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



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when recomputing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. LegKey parameter

    Key value to an already created base leg (via a call to the CreateFloatLeg() function).
  4. EnablePeriods parameter

    An array of zero (0's) or ones (1's) indicating whether you want the option strategy to be priced for the corresponding period.
  5. OptionType parameter

    The type of options involved underlying the XMAS TREE strategy (Either CALL or PUT).
  6. PayRec parameter

    Whether you would like to PAY or REC this option strategy.
  7. Gearing parameter

    Number of units of all the options at each strike(s) to be traded (options with the middle strike).
  8. LowStrike parameter

    Specify the lower strike(s) for this XMAS TREE.
  9. MidStrike parameter

    Specify the middle strike(s) for this XMAS TREE.
  10. HighStrike parameter

    Specify the higher strike(s) for this XMAS TREE.
  11. ModelKey parameter

    Key value to an already constructed ShortRate Model object (ie BlackKarasinski, HullWhite, Vasicek, G2).
  12. timeSteps parameter

    Number of timesteps within the pricing Tree (ie 100).


Extended information

Function Syntax

VB Syntax 


String CTExoticLegs.CreateXTREEFLTLegTS( _
String Key, _
Long Reload, _
String LegKey, _
Variant EnablePeriods, _
OPTTYPEEnum OptionType, _
PAYRECEnum PayRec, _
Long Gearing, _
Variant LowStrike, _
Variant MidStrike, _
Variant HighStrike, _
String ModelKey, _
Long timeSteps)


Excel Spreadsheet Syntax 


=CT.CALL.CreateXTREEFLTLegTS(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell LegKey,
XLRange EnablePeriods,
Excel String Cell OptionType,
Excel String Cell PayRec,
Excel Numeric Cell Gearing,
XLRange LowStrike,
XLRange MidStrike,
XLRange HighStrike,
Excel String Cell ModelKey,
Excel Numeric Cell timeSteps)


C++ Syntax 


static std::string CreateXTREEFLTLegTS(
std::string Key,
long Reload,
std::string LegKey,
CTRangeDataCPP EnablePeriods,
OPTTYPEEnum OptionType,
PAYRECEnum PayRec,
long Gearing,
CTRangeDataCPP LowStrike,
CTRangeDataCPP MidStrike,
CTRangeDataCPP HighStrike,
std::string ModelKey,
long timeSteps);


DotNET Syntax 


System.String CTExoticLegsSA.CreateXTREEFLTLegTS(
System.String Key,
System.Int32 Reload,
System.String LegKey,
CTRangeData EnablePeriods,
CTIEnums.OPTTYPEEnum OptionType,
CTIEnums.PAYRECEnum PayRec,
System.Int32 Gearing,
CTRangeData LowStrike,
CTRangeData MidStrike,
CTRangeData HighStrike,
System.String ModelKey,
System.Int32 timeSteps);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
LegKeyStringTRUE
EnablePeriodsRangeFALSE
OptionTypeOPTTYPEEnumFALSE
PayRecPAYRECEnumFALSE
GearingLongFALSE
LowStrikeRangeFALSE
MidStrikeRangeFALSE
HighStrikeRangeFALSE
ModelKeyStringTRUE
timeStepsLongFALSE

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
KeyFALSEMyTSCreateXTREEFLTLegTS
ReloadFALSE1
LegKeyFALSELegKeyNAME.EXTTAG.TICKER (from a function call)
EnablePeriodsFALSECreateXTREEFLTLegTS_EnablePeriods_Range (creates a range object)
OptionTypeFALSECALL
PayRecFALSEREC
GearingFALSE1
LowStrikeFALSECreateXTREEFLTLegTS_LowStrike_Range (creates a range object)
MidStrikeFALSECreateXTREEFLTLegTS_MidStrike_Range (creates a range object)
HighStrikeFALSECreateXTREEFLTLegTS_HighStrike_Range (creates a range object)
ModelKeyFALSEModelKeyNAME.EXTTAG.TICKER (from a function call)
timeStepsFALSE100


Example range for parameter : EnablePeriods

Within Excel, a range such as this can be passed directly into the EnablePeriods parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : EnablePeriods 


CTQL.CTRangeData CreateXTREEFLTLegTS_EnablePeriods;


int[] arrBCreateXTREEFLTLegTS_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 arrCreateXTREEFLTLegTS_EnablePeriods =
new  CTQL.IntVector(arrBCreateXTREEFLTLegTS_EnablePeriods);

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

Example range for parameter : LowStrike

Within Excel, a range such as this can be passed directly into the LowStrike parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : LowStrike 


CTQL.CTRangeData CreateXTREEFLTLegTS_LowStrike;


double[] arrBCreateXTREEFLTLegTS_LowStrike = {
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025,
0.025  //  Array Data

};

CTQL.DoubleVector arrCreateXTREEFLTLegTS_LowStrike =
new  CTQL.DoubleVector(arrBCreateXTREEFLTLegTS_LowStrike);

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

Example range for parameter : MidStrike

Within Excel, a range such as this can be passed directly into the MidStrike parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : MidStrike 


CTQL.CTRangeData CreateXTREEFLTLegTS_MidStrike;


double[] arrBCreateXTREEFLTLegTS_MidStrike = {
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 arrCreateXTREEFLTLegTS_MidStrike =
new  CTQL.DoubleVector(arrBCreateXTREEFLTLegTS_MidStrike);

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

Example range for parameter : HighStrike

Within Excel, a range such as this can be passed directly into the HighStrike parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : HighStrike 


CTQL.CTRangeData CreateXTREEFLTLegTS_HighStrike;


double[] arrBCreateXTREEFLTLegTS_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 arrCreateXTREEFLTLegTS_HighStrike =
new  CTQL.DoubleVector(arrBCreateXTREEFLTLegTS_HighStrike);

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


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.IRLegs20 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 CreateXTREEFLTLegTS() 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 CreateXTREEFLTLegTS() function call


MyTSCreateXTREEFLTLegTS_20.XTREEFLTLEGTS.0

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