CreateAmortFixLeg Example CPPNET

C++.NET Example - CreateAmortFixLeg

// ##################################################################################

// The first function here CreateAmortFixLeg(), contains a series of

// function calls leading upto the main function call, the second function

// within this file ( CreateAmortFixLegPart() ).

// which contains the answer that we are looking for.

// The first function here is simply an example of how to construct the parameters

// in order acquire either a string Key (that is to be passed to other functions)

// or a computed result.

// If you are viewing this source code from the chm or web help file you can use the

// outlining features to collapse certain sections of the code for better readability.

// ##################################################################################

#using <mscorlib.dll>

// If you add a reference via the Visual Studio project,

// then the following line is not needed.

#using <QuantToolsNET.v2.dll>

using namespace System;

// Some global parameter in order to append to user defined keys.

// We use it here to ensure that we have unique Keys (in the case several of our examples

// use the same key-name)

// In normal use, a user defined string will be used and so this variable will be pointless.

static int nCTFIXLegsGlobal = 0;

// Used by function parameters that take an optional range value.

// In Excel we simply omit the value, within the API functions,

// we pass an empty range object

static CTQL::CTRangeData* oEmptyRange = new CTQL::CTRangeData();

public: String* CPPNET_EX_CreateAmortFixLeg()

{

nCTFIXLegsGlobal += 1;

String* szErrorMsg = "";

try

{

// EURO calendar used for holiday adjustments.

String* MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates a centralized valuation date object.

String* MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// UK date calendar used within the UK stock exchange.

String* MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// Generates a schedule of start and end dates, given the initial

// start date and unadjusted final end dates.

String* MySchedule;

MySchedule =

MakeSchedulePart(

MyEuroCal);

// Creates a Deposit template which is almost identical to a Libor

// Index, but without the YieldCurve information.

String* MyDepoTPL;

MyDepoTPL =

CreateDepoTemplatePart(

MyCALUKExchange,

MyEuroCal);

// Creates a Swap template which is almost identical to the definition

// of the parameters of a swap contract, but without the swap duration,

// buysell, and YieldCurve information.

String* MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

// Creates an amortisation object to be used within the amortisation

// fixed and floating rate leg objects.

String* MyCreateAmortObj;

MyCreateAmortObj =

CreateAmortObjPart(

MySchedule);

// Creates a yield curve using market rates (No cross-currency

// Swaps).

String* MyYCInterpOnDCF;

MyYCInterpOnDCF =

MKTYC_DPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a SABR curve to model the dynamics of the volatility

// curve (smile).

String* MySABRVolCurve;

MySABRVolCurve =

SABRVolCurvePart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a market object which is an aggregate of interest rate

// market objects (Discounting curve and Interest rate volatility

// curve (volcurve)).

String* MyMarket;

MyMarket =

CreateMKTPart(

MyYCInterpOnDCF,

MySABRVolCurve);

// Creates an amortised fixed rate leg.

String* MyCreateAmortFixLeg;

MyCreateAmortFixLeg =

CreateAmortFixLegPart(

MyCreateAmortObj,

MyMarket);

// This is the result we are looking for.

return MyCreateAmortFixLeg;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

// ///////////////////////////////////////////////////////////////////

private: String* CreateAmortFixLegPart(

String* MyCreateAmortObj,

String* MyMarket)

{

// Create example range for parameter CreateAmortFixLeg_Coupon

CTQL::CTRangeData* CreateAmortFixLeg_Coupon;

Double arrBCreateAmortFixLeg_Coupon[] = {

0.05,

0.05 // Array Data

};

CTQL::DoubleVector* arrCreateAmortFixLeg_Coupon =

new CTQL::DoubleVector(__try_cast<Array*>(arrBCreateAmortFixLeg_Coupon));

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateAmortFixLeg_Coupon = new CTQL::CTRangeData(arrCreateAmortFixLeg_Coupon, false);

// Key value to use as a handle for the created object

String* MyCreateAmortFixLeg = String::Format(S"{0}_{1}", S"MyCreateAmortFixLeg", System::Convert::ToString(nCTFIXLegsGlobal));

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTQL::CTIEnums::PAYRECEnum PayRec = CTQL::CTIEnums::PAYRECEnum::PAYREC_PAY;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTQL::CTIEnums::CCYEnum Ccy = CTQL::CTIEnums::CCYEnum::CCY_EUR;

// Payment Business Day Convention.

CTQL::CTIEnums::BDCEnum BusDayConv = CTQL::CTIEnums::BDCEnum::BDC_modifiedfollowing;

// Payment DayCounter.

CTQL::CTIEnums::DayCountEnum DayCount = CTQL::CTIEnums::DayCountEnum::DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// Excel function call would be this - "CT.LEG.CreateAmortFixLeg()"

// Creates an amortised fixed rate leg.

String* rCreateAmortFixLeg;

rCreateAmortFixLeg = CTQL::CTFIXLegsSA->CreateAmortFixLeg(

MyCreateAmortFixLeg,

Reload,

PayRec,

Gearing,

MyCreateAmortObj,

Ccy,

BusDayConv,

DayCount,

CreateAmortFixLeg_Coupon,

ExchangePrincipal,

MyMarket);

return rCreateAmortFixLeg;

}