CreateAmortFixLeg Example Java

Java 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.

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

public class Java_EX_CreateAmortFixLeg()

{

static

{

try

{

System.loadLibrary("CTQuantToolsAPI20");

}

catch (UnsatisfiedLinkError e)

{

System.err.println("Native code library failed to load. Make sure that the CTQuantToolsAPI20.dll is installed correctly.\n" + e);

System.exit(1);

}

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();

static String szTickedKeyName;

public static String Java_EX_CreateAmortFixLeg(String argv[])

{

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.getMessage();

System.exit(1);

}

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

private static 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();

for (int i=0; i<20; i++)

arrCreateAmortFixLeg_Coupon.add(arrBCreateAmortFixLeg_Coupon[i]);

// 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 = "MyCreateAmortFixLeg" + "_" + Integer.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.

CTIEnums.PAYRECEnum PayRec = 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.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = 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;

}