CreateCashFlowLeg Example JS

J# 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.

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

import 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.

import 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 = 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();

String szTickedKeyName;

public String JS_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;

}

catch(System.ApplicationException e)

{

szErrorMsg = e.get_Message();

}

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

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;

}