CreateCashFlowLeg Example CS

C# Example - CreateCashFlowLeg

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

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

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

// within this file ( CreateCashFlowLegPart() ).

// 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 System;

// Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)

// and using the reduced version (in the case of declaring enumerations).

// This is just to demostrate both types of coding.

using CTQL; // You need to add a reference to the QuantToolsNET.v2.dll also

// 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;

// 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 CS_EX_CreateCashFlowLeg()

{

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 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 a CashFlow leg which pays a predetermined amount at

// each date.

string MyCreateCashFlowLeg;

MyCreateCashFlowLeg =

CreateCashFlowLegPart(

MySchedule,

MyMarket);

// This is the result we are looking for.

return MyCreateCashFlowLeg;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

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

private string CreateCashFlowLegPart(

string MySchedule,

string MyMarket)

{

// Create example range for parameter CreateCashFlowLeg_Notional

CTQL.CTRangeData CreateCashFlowLeg_Notional;

int[] arrBCreateCashFlowLeg_Notional = {

125000,

125000 // Array Data

};

CTQL.IntVector arrCreateCashFlowLeg_Notional =

new CTQL.IntVector(arrBCreateCashFlowLeg_Notional);

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

CreateCashFlowLeg_Notional = new CTQL.CTRangeData(arrCreateCashFlowLeg_Notional, false);

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

string MyCreateCashFlowLeg = "MyCreateCashFlowLeg" + "_" + 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.

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;

// 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.CreateCashFlowLeg()"

// Creates a CashFlow leg which pays a predetermined amount at

// each date.

string rCreateCashFlowLeg;

rCreateCashFlowLeg = CTQL.CTFIXLegsSA.CreateCashFlowLeg(

MyCreateCashFlowLeg,

Reload,

PayRec,

Gearing,

CreateCashFlowLeg_Notional,

Ccy,

MySchedule,

BusDayConv,

ExchangePrincipal,

MyMarket);

return rCreateCashFlowLeg;

}

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

private string MakeSchedulePart(

string MyEuroCal)

{

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

string MySchedule = "MySchedule" + "_" + System.Convert.ToString(nCTFIXLegsGlobal);

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

// to a positive value.

int Reload = 1;

// Initial Start Date.

CTQL.Date StartDate = new CTQL.Date("21/7/2006", "dd/mm/yyyy");

// Final End Date.

CTQL.Date EndDate = new CTQL.Date("21/7/2011", "dd/mm/yyyy");

// Frequency of the schedule.

CTIEnums.FreqEnum Freq = CTIEnums.FreqEnum.Freq_quarterly;

// Business day convention needed for day adjustments when an adjustment

// moves the date into the preceding, following month.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Setting this value a 0 (or an empty date) imply that the date

// generation routine will define a first odd and/or last odd coupon

// periods if needed (based on the dates passed to the 'StartDate'

// and 'EndDate' parameters and the value of the 'startFromEnd'

// parameter).

int stubDate = 0;

// Setting this parameter to 'false' imply that date generation

// will start from the StartDate and then add whole coupon periods

// until the EndDate is reached.

bool startFromEnd = true;

// If during coupon date generation, there is a last odd coupon

// period but you wish to merge this with the pervious, full, coupon

// period, set the 'longFinal' parameter to true.

bool longFinal = false;

// Excel function call would be this - "CT.SCH.MakeSchedule()"

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

// start date and unadjusted final end dates.

string rMakeSchedule;

rMakeSchedule = CTQL.CTCalendarsSA.MakeSchedule(

MySchedule,

Reload,

MyEuroCal,

StartDate.serialNumber(),

EndDate.serialNumber(),

Freq,

BusDayConv,

stubDate,

startFromEnd,

longFinal);

return rMakeSchedule;

}

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

private string CreateMKTPart(

string MyYCInterpOnDCF,

string MySABRVolCurve)

{

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

string MyMarket = "MyMarket" + "_" + System.Convert.ToString(nCTFIXLegsGlobal);

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

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.MKT.CreateMKT()"

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

// market objects (Discounting curve and Interest rate volatility

// curve (volcurve)).

string rCreateMKT;

rCreateMKT = CTQL.CTCurvesSA.CreateMKT(

MyMarket,

Reload,

MyYCInterpOnDCF,

MySABRVolCurve);

return rCreateMKT;

}

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

private string CALEUROPart()

{

// Create example range for parameter CALEURO_AddHols

CTQL.CTRangeData CALEURO_AddHols;

int[] arrBCALEURO_AddHols = {

CTQL.Date.serialNumber("1/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("2/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("3/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("4/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("5/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("6/2/2006", "dd/mm/yyyy") // Array Data

};

CTQL.IntVector arrCALEURO_AddHols =

new CTQL.IntVector(arrBCALEURO_AddHols);

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

CALEURO_AddHols = new CTQL.CTRangeData(arrCALEURO_AddHols, false);

// Create example range for parameter CALEURO_RemoveHols

CTQL.CTRangeData CALEURO_RemoveHols;

int[] arrBCALEURO_RemoveHols = {

CTQL.Date.serialNumber("25/12/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("25/12/2007", "dd/mm/yyyy") // Array Data

};

CTQL.IntVector arrCALEURO_RemoveHols =

new CTQL.IntVector(arrBCALEURO_RemoveHols);

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

CALEURO_RemoveHols = new CTQL.CTRangeData(arrCALEURO_RemoveHols, false);

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

string MyEuroCal = "MyEuroCal" + "_" + System.Convert.ToString(nCTFIXLegsGlobal);

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

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.CAL.EURO()"

// EURO calendar used for holiday adjustments.

string rCALEURO;

rCALEURO = CTQL.CTCalendarsSA.CALEURO(

MyEuroCal,

Reload,

CALEURO_AddHols,

CALEURO_RemoveHols);

return rCALEURO;

}

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

private string MKTYC_DPart(

string MyValuationDate,

string MyDepoTPL,

string MySwapTPL)

{

// Create example range for parameter MKTYC_D_oTenorsRates

CTQL.CTRangeData MKTYC_D_oTenorsRates =

new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_D_oTenorsRates_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

MKTYC_D_oTenorsRates_builder.Append("{");

MKTYC_D_oTenorsRates_builder.Append("'7D' | 3.5 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'14D' | 3.51 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'1M' | 3.53 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'2M' | 3.56 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'3M' | 3.59 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'4M' | 3.62 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'5M' | 3.65 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'6M' | 3.68 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'7M' | 3.7 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'8M' | 3.72 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'9M' | 3.73 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'10M' | 3.75 | True ;");

MKTYC_D_oTenorsRates_builder.Append("'11M' | 3.78 | True");

MKTYC_D_oTenorsRates_builder.Append("}");

MKTYC_D_oTenorsRates.RangeFromStr

(

MKTYC_D_oTenorsRates_builder.ToString()

);

// Create example range for parameter MKTYC_D_oRange2

CTQL.CTRangeData MKTYC_D_oRange2 =

new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_D_oRange2_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

MKTYC_D_oRange2_builder.Append("{");

MKTYC_D_oRange2_builder.Append("'12X15' | 4.03 | True ;");

MKTYC_D_oRange2_builder.Append("'15X18' | 4.07 | True ;");

MKTYC_D_oRange2_builder.Append("'18X21' | 4.11 | True ;");

MKTYC_D_oRange2_builder.Append("'21X24' | 4.15 | True ;");

MKTYC_D_oRange2_builder.Append("'24X27' | 4.43 | True ;");

MKTYC_D_oRange2_builder.Append("'27X30' | 4.48 | True ;");

MKTYC_D_oRange2_builder.Append("'30X33' | 4.53 | True ;");

MKTYC_D_oRange2_builder.Append("'33X36' | 4.58 | True ;");

MKTYC_D_oRange2_builder.Append("'36X39' | 4.84 | True ;");

MKTYC_D_oRange2_builder.Append("'39X42' | 4.9 | True ;");

MKTYC_D_oRange2_builder.Append("'42X45' | 4.96 | True");

MKTYC_D_oRange2_builder.Append("}");

MKTYC_D_oRange2.RangeFromStr

(

MKTYC_D_oRange2_builder.ToString()

);

// Create example range for parameter MKTYC_D_oRange3

CTQL.CTRangeData MKTYC_D_oRange3 =

new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_D_oRange3_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

MKTYC_D_oRange3_builder.Append("{");

MKTYC_D_oRange3_builder.Append("'5Y' | 4.33 | True ;");

MKTYC_D_oRange3_builder.Append("'7Y' | 4.37 | True ;");

MKTYC_D_oRange3_builder.Append("'9Y' | 4.41 | True ;");

MKTYC_D_oRange3_builder.Append("'11Y' | 4.43 | True ;");

MKTYC_D_oRange3_builder.Append("'13Y' | 4.46 | True ;");

MKTYC_D_oRange3_builder.Append("'15Y' | 4.49 | True ;");

MKTYC_D_oRange3_builder.Append("'17Y' | 4.53 | True ;");

MKTYC_D_oRange3_builder.Append("'19Y' | 4.55 | True ;");

MKTYC_D_oRange3_builder.Append("'21Y' | 4.57 | True ;");

MKTYC_D_oRange3_builder.Append("'23Y' | 4.59 | True ;");

MKTYC_D_oRange3_builder.Append("'25Y' | 4.62 | True");

MKTYC_D_oRange3_builder.Append("}");

MKTYC_D_oRange3.RangeFromStr

(

MKTYC_D_oRange3_builder.ToString()

);

// Create example range for parameter MKTYC_D_oRange4

CTQL.CTRangeData MKTYC_D_oRange4 =

new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_D_oRange4_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

MKTYC_D_oRange4_builder.Append("{");

MKTYC_D_oRange4_builder.Append("'30Y' | 4.76 | True ;");

MKTYC_D_oRange4_builder.Append("'31Y' | 4.8 | True ;");

MKTYC_D_oRange4_builder.Append("'32Y' | 4.84 | True ;");

MKTYC_D_oRange4_builder.Append("'33Y' | 4.88 | True ;");

MKTYC_D_oRange4_builder.Append("'34Y' | 4.92 | True ;");

MKTYC_D_oRange4_builder.Append("'35Y' | 4.95 | True ;");

MKTYC_D_oRange4_builder.Append("'36Y' | 4.99 | True ;");

MKTYC_D_oRange4_builder.Append("'37Y' | 5.02 | True ;");

MKTYC_D_oRange4_builder.Append("'38Y' | 5.07 | True ;");

MKTYC_D_oRange4_builder.Append("'39Y' | 5.11 | True ;");

MKTYC_D_oRange4_builder.Append("'40Y' | 5.16 | True");

MKTYC_D_oRange4_builder.Append("}");

MKTYC_D_oRange4.RangeFromStr

(

MKTYC_D_oRange4_builder.ToString()

);

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

string MyYCInterpOnDCF = "MyYCInterpOnDCF" + "_" + System.Convert.ToString(nCTFIXLegsGlobal);

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

// to a positive value.

int Reload = 1;

// A tag used to identify this curve (case insensitive) if placed

// within a Yieldcurve collection ( via the GroupedCurves() function

// ).

string CurveName = "MyYC_InterpOnDCF";

// Interpolation methodology to utilise when interpolating for

// discount factors.

CTIEnums.InterpEnum InterpMethod = CTIEnums.InterpEnum.Interp_LOGLINEAR;

// An optional flat spread value that will be added to all tenors.

double Spread = 0.000;

// DayCounter for converting dates into year fractions.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// If a cash (deposit) tenor's end date is after the earliest futures

// expiry date within the curve, do we discard the cash tenor (false)

// or keep it (true).

bool DepoOvrWrtFuts = false;

// If a futures tenor's end date is after the earliest swap tenor's

// end date within the curve, do we discard the futures tenor (false)

// or keep it (true).

bool FutsOvrWrtSwps = true;

// Whether the yieldCurve data should be extrapolated if a calculation

// request that uses a date that is beyond the end date of the

// yieldCurve (ie - a request for a 40 year discount factor, but

// the curve is only built up to 30 years.) If false an error will

// be returned.

bool Extrapolate = true;

// Excel function call would be this - "CT.CRV.MKTYC_D()"

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

// Swaps).

string rMKTYC_D;

rMKTYC_D = CTQL.CTCurvesSA.MKTYC_D(

MyYCInterpOnDCF,

Reload,

CurveName,

MyValuationDate,

MKTYC_D_oTenorsRates,

MKTYC_D_oRange2,

MKTYC_D_oRange3,

MKTYC_D_oRange4,

InterpMethod,

Spread,

DayCount,

DepoOvrWrtFuts,

FutsOvrWrtSwps,

MyDepoTPL,

MySwapTPL,

Extrapolate);

return rMKTYC_D;

}

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

private string SABRVolCurvePart(

string MyValuationDate,

string MyDepoTPL,

string MySwapTPL)

{

// Create example range for parameter SABRVolCurve_ATMRange

CTQL.CTRangeData SABRVolCurve_ATMRange =

new CTQL.CTRangeData();

System.Text.StringBuilder SABRVolCurve_ATMRange_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

SABRVolCurve_ATMRange_builder.Append("{");

SABRVolCurve_ATMRange_builder.Append("'Opt\\Und' | '3M' | '6M' | '9M' | '12M' | '2Y' | '4Y' | '6Y' | '8Y' | '10Y' | '12Y' | '14Y' | '16Y' ;");

SABRVolCurve_ATMRange_builder.Append("'3M' | 18 | 18.01 | 18.02 | 18.02 | 18.03 | 18.04 | 18.05 | 18.06 | 18.07 | 18.07 | 18.08 | 18.09 ;");

SABRVolCurve_ATMRange_builder.Append("'6M' | 18.1 | 18.11 | 18.12 | 18.12 | 18.13 | 18.14 | 18.15 | 18.16 | 18.17 | 18.17 | 18.18 | 18.19 ;");

SABRVolCurve_ATMRange_builder.Append("'9M' | 18.19 | 18.2 | 18.21 | 18.22 | 18.22 | 18.23 | 18.24 | 18.25 | 18.26 | 18.26 | 18.27 | 18.28 ;");

SABRVolCurve_ATMRange_builder.Append("'12M' | 18.29 | 18.29 | 18.3 | 18.31 | 18.32 | 18.32 | 18.33 | 18.34 | 18.34 | 18.35 | 18.36 | 18.37 ;");

SABRVolCurve_ATMRange_builder.Append("'2Y' | 18.37 | 18.38 | 18.39 | 18.4 | 18.41 | 18.42 | 18.42 | 18.43 | 18.44 | 18.44 | 18.45 | 18.46 ;");

SABRVolCurve_ATMRange_builder.Append("'4Y' | 18.46 | 18.47 | 18.48 | 18.48 | 18.49 | 18.5 | 18.5 | 18.51 | 18.52 | 18.53 | 18.53 | 18.54 ;");

SABRVolCurve_ATMRange_builder.Append("'6Y' | 18.55 | 18.55 | 18.56 | 18.57 | 18.57 | 18.58 | 18.59 | 18.6 | 18.6 | 18.61 | 18.62 | 18.62 ;");

SABRVolCurve_ATMRange_builder.Append("'8Y' | 18.63 | 18.64 | 18.64 | 18.65 | 18.66 | 18.66 | 18.67 | 18.68 | 18.69 | 18.69 | 18.7 | 18.71 ;");

SABRVolCurve_ATMRange_builder.Append("'10Y' | 18.71 | 18.72 | 18.73 | 18.74 | 18.75 | 18.75 | 18.76 | 18.77 | 18.78 | 18.79 | 18.79 | 18.8 ;");

SABRVolCurve_ATMRange_builder.Append("'12Y' | 18.81 | 18.81 | 18.82 | 18.83 | 18.84 | 18.84 | 18.85 | 18.86 | 18.87 | 18.87 | 18.88 | 18.88 ;");

SABRVolCurve_ATMRange_builder.Append("'14Y' | 18.89 | 18.9 | 18.91 | 18.92 | 18.92 | 18.93 | 18.94 | 18.95 | 18.96 | 18.96 | 18.97 | 18.98 ;");

SABRVolCurve_ATMRange_builder.Append("'16Y' | 18.99 | 18.99 | 19 | 19.01 | 19.02 | 19.03 | 19.04 | 19.05 | 19.05 | 19.06 | 19.07 | 19.07 ;");

SABRVolCurve_ATMRange_builder.Append("'18Y' | 19.08 | 19.08 | 19.09 | 19.1 | 19.11 | 19.11 | 19.12 | 19.13 | 19.13 | 19.14 | 19.15 | 19.16 ;");

SABRVolCurve_ATMRange_builder.Append("'20Y' | 19.16 | 19.17 | 19.18 | 19.18 | 19.19 | 19.2 | 19.21 | 19.21 | 19.22 | 19.22 | 19.23 | 19.24 ;");

SABRVolCurve_ATMRange_builder.Append("'22Y' | 19.25 | 19.26 | 19.26 | 19.27 | 19.28 | 19.29 | 19.29 | 19.3 | 19.31 | 19.32 | 19.32 | 19.33");

SABRVolCurve_ATMRange_builder.Append("}");

SABRVolCurve_ATMRange.RangeFromStr

(

SABRVolCurve_ATMRange_builder.ToString()

);

// Create example range for parameter SABRVolCurve_ALPHARange

CTQL.CTRangeData SABRVolCurve_ALPHARange =

new CTQL.CTRangeData();

System.Text.StringBuilder SABRVolCurve_ALPHARange_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

SABRVolCurve_ALPHARange_builder.Append("{");

SABRVolCurve_ALPHARange_builder.Append("'Opt\\Und' | '3M' | '6M' | '9M' | '12M' | '2Y' | '4Y' | '6Y' | '8Y' | '10Y' | '12Y' | '14Y' | '16Y' ;");

SABRVolCurve_ALPHARange_builder.Append("'3M' | 0.4 | 0.4 | 0.4 | 0.4 | 0.41 | 0.41 | 0.41 | 0.41 | 0.41 | 0.41 | 0.41 | 0.42 ;");

SABRVolCurve_ALPHARange_builder.Append("'6M' | 0.42 | 0.42 | 0.42 | 0.42 | 0.42 | 0.42 | 0.43 | 0.43 | 0.43 | 0.43 | 0.43 | 0.43 ;");

SABRVolCurve_ALPHARange_builder.Append("'9M' | 0.43 | 0.44 | 0.44 | 0.44 | 0.44 | 0.44 | 0.44 | 0.45 | 0.45 | 0.45 | 0.45 | 0.45 ;");

SABRVolCurve_ALPHARange_builder.Append("'12M' | 0.45 | 0.45 | 0.46 | 0.46 | 0.46 | 0.46 | 0.46 | 0.46 | 0.46 | 0.47 | 0.47 | 0.47 ;");

SABRVolCurve_ALPHARange_builder.Append("'2Y' | 0.47 | 0.47 | 0.47 | 0.47 | 0.48 | 0.48 | 0.48 | 0.48 | 0.48 | 0.48 | 0.49 | 0.49 ;");

SABRVolCurve_ALPHARange_builder.Append("'4Y' | 0.49 | 0.49 | 0.49 | 0.49 | 0.49 | 0.49 | 0.5 | 0.5 | 0.5 | 0.5 | 0.5 | 0.5 ;");

SABRVolCurve_ALPHARange_builder.Append("'6Y' | 0.51 | 0.51 | 0.51 | 0.51 | 0.51 | 0.51 | 0.52 | 0.52 | 0.52 | 0.52 | 0.52 | 0.52 ;");

SABRVolCurve_ALPHARange_builder.Append("'8Y' | 0.52 | 0.53 | 0.53 | 0.53 | 0.53 | 0.53 | 0.53 | 0.53 | 0.54 | 0.54 | 0.54 | 0.54 ;");

SABRVolCurve_ALPHARange_builder.Append("'10Y' | 0.54 | 0.54 | 0.54 | 0.55 | 0.55 | 0.55 | 0.55 | 0.55 | 0.55 | 0.55 | 0.56 | 0.56 ;");

SABRVolCurve_ALPHARange_builder.Append("'12Y' | 0.56 | 0.56 | 0.56 | 0.56 | 0.56 | 0.57 | 0.57 | 0.57 | 0.57 | 0.57 | 0.57 | 0.57 ;");

SABRVolCurve_ALPHARange_builder.Append("'14Y' | 0.57 | 0.58 | 0.58 | 0.58 | 0.58 | 0.58 | 0.58 | 0.58 | 0.59 | 0.59 | 0.59 | 0.59 ;");

SABRVolCurve_ALPHARange_builder.Append("'16Y' | 0.59 | 0.59 | 0.59 | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | 0.6 | 0.61 | 0.61 ;");

SABRVolCurve_ALPHARange_builder.Append("'18Y' | 0.61 | 0.61 | 0.61 | 0.61 | 0.61 | 0.62 | 0.62 | 0.62 | 0.62 | 0.62 | 0.62 | 0.62 ;");

SABRVolCurve_ALPHARange_builder.Append("'20Y' | 0.63 | 0.63 | 0.63 | 0.63 | 0.63 | 0.63 | 0.64 | 0.64 | 0.64 | 0.64 | 0.64 | 0.64 ;");

SABRVolCurve_ALPHARange_builder.Append("'22Y' | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.65 | 0.66 | 0.66 | 0.66 | 0.66");

SABRVolCurve_ALPHARange_builder.Append("}");

SABRVolCurve_ALPHARange.RangeFromStr

(

SABRVolCurve_ALPHARange_builder.ToString()

);

// Create example range for parameter SABRVolCurve_BETARange

CTQL.CTRangeData SABRVolCurve_BETARange =

new CTQL.CTRangeData();

System.Text.StringBuilder SABRVolCurve_BETARange_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

SABRVolCurve_BETARange_builder.Append("{");

SABRVolCurve_BETARange_builder.Append("'Opt\\Und' | '3M' | '6M' | '9M' | '12M' | '2Y' | '4Y' | '6Y' | '8Y' | '10Y' | '12Y' | '14Y' | '16Y' ;");

SABRVolCurve_BETARange_builder.Append("'3M' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'6M' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'9M' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'12M' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'2Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'4Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'6Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'8Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'10Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'12Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'14Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'16Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'18Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'20Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 ;");

SABRVolCurve_BETARange_builder.Append("'22Y' | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7 | 0.7");

SABRVolCurve_BETARange_builder.Append("}");

SABRVolCurve_BETARange.RangeFromStr

(

SABRVolCurve_BETARange_builder.ToString()

);

// Create example range for parameter SABRVolCurve_RHORange

CTQL.CTRangeData SABRVolCurve_RHORange =

new CTQL.CTRangeData();

System.Text.StringBuilder SABRVolCurve_RHORange_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

SABRVolCurve_RHORange_builder.Append("{");

SABRVolCurve_RHORange_builder.Append("'Opt\\Und' | '3M' | '6M' | '9M' | '12M' | '2Y' | '4Y' | '6Y' | '8Y' | '10Y' | '12Y' | '14Y' | '16Y' ;");

SABRVolCurve_RHORange_builder.Append("'3M' | 0.3 | 0.3 | 0.3 | 0.31 | 0.31 | 0.31 | 0.31 | 0.31 | 0.31 | 0.31 | 0.31 | 0.32 ;");

SABRVolCurve_RHORange_builder.Append("'6M' | 0.32 | 0.32 | 0.32 | 0.32 | 0.32 | 0.32 | 0.33 | 0.32 | 0.32 | 0.33 | 0.33 | 0.33 ;");

SABRVolCurve_RHORange_builder.Append("'9M' | 0.33 | 0.33 | 0.32 | 0.33 | 0.32 | 0.33 | 0.33 | 0.33 | 0.33 | 0.33 | 0.33 | 0.33 ;");

SABRVolCurve_RHORange_builder.Append("'12M' | 0.33 | 0.34 | 0.33 | 0.33 | 0.33 | 0.33 | 0.34 | 0.34 | 0.34 | 0.34 | 0.34 | 0.34 ;");

SABRVolCurve_RHORange_builder.Append("'2Y' | 0.34 | 0.34 | 0.34 | 0.34 | 0.34 | 0.34 | 0.34 | 0.34 | 0.34 | 0.34 | 0.35 | 0.35 ;");

SABRVolCurve_RHORange_builder.Append("'4Y' | 0.35 | 0.35 | 0.36 | 0.36 | 0.36 | 0.36 | 0.36 | 0.36 | 0.36 | 0.36 | 0.36 | 0.36 ;");

SABRVolCurve_RHORange_builder.Append("'6Y' | 0.37 | 0.36 | 0.37 | 0.37 | 0.37 | 0.37 | 0.37 | 0.37 | 0.37 | 0.37 | 0.37 | 0.37 ;");

SABRVolCurve_RHORange_builder.Append("'8Y' | 0.38 | 0.38 | 0.38 | 0.37 | 0.37 | 0.37 | 0.38 | 0.38 | 0.38 | 0.38 | 0.38 | 0.38 ;");

SABRVolCurve_RHORange_builder.Append("'10Y' | 0.38 | 0.38 | 0.38 | 0.38 | 0.38 | 0.38 | 0.37 | 0.38 | 0.37 | 0.38 | 0.38 | 0.38 ;");

SABRVolCurve_RHORange_builder.Append("'12Y' | 0.38 | 0.38 | 0.38 | 0.38 | 0.38 | 0.38 | 0.38 | 0.38 | 0.39 | 0.39 |