PrcIROptionStrategy

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

1. Key parameter
   
   
   Leg object Key to an already created Leg object (ie FIX legs, FLOAT legs, Quanto, IA etc...).
2. Level parameter
   
   
   Whether you would like to see the PV for the entire structure or for each cashflow. Can include extended information. Valid values are - TOTAL, SUMMARY, CASHFLOW and BREAKDOWN.
3. FXManagerKey parameter
   
   
   Optional key to an already created FXManager object.
4. ReportPVCcy parameter
   
   
   Optional currency code that you wish the value of the leg to be reported in (must be specified if the 'FXManagerKey' parameter is specified).
5. Greek parameter
   
   
   Output - PREMIUM, DELTA, GAMMA, VEGA, VANNA and THETA. If the underlying Index object is a CMS object, then you can only request PREMIUM, DELTA, GAMMA or VEGA (VEGA, not via the full integration via swaption method). All the greeks (except 'PREMIUM') output are equivalent to the mathematical notion of a derivative, thus if you would like to see the risk in terms of a finite movement (ie - 5 percent or 10 basis points move in the interested parameter) simply multiply the output amount by the shift of interest.

Variant CTExoticLegs.PrcIROptionStrategy( _
String Key, _
String Level, _
String FXManagerKey, _
CCYEnum ReportPVCcy, _
String Greek)

=CT.LEG.PrcIROptionStrategy(
Excel String Cell Key,
Excel String Cell Level,
Excel String Cell FXManagerKey,
Excel String Cell ReportPVCcy,
Excel String Cell Greek)

static CTRangeDataCPP PrcIROptionStrategy(
std::string Key,
std::string Level,
std::string FXManagerKey,
CCYEnum ReportPVCcy,
std::string Greek);

CTRangeData CTExoticLegsSA.PrcIROptionStrategy(
System.String Key,
System.String Level,
System.String FXManagerKey,
CTIEnums.CCYEnum ReportPVCcy,
System.String Greek);

• CreateFXManager() ( CT.QL.Curves20 )
• CALEURO() ( CT.QL.Curves20 )
• CALUKExchange() ( CT.QL.Curves20 )
• ValueDateObj() ( CT.QL.Utils20 )
• MakeSchedule() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• SABRVolCurve() ( CT.QL.Curves20 )
• MKTYC_D() ( CT.QL.Curves20 )
• CreateIndex() ( CT.QL.Curves20 )
• CreateMKT() ( CT.QL.Curves20 )
• CreateFloatLeg() ( CT.QL.IRLegs20 )
• CreateCapFLTLeg() ( CT.QL.IRLegs20 )
• PrcIROptionStrategy() ( CT.QL.IRLegs20 )

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