CreateFixedRateLeg Example CS




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CapeTools FIXED Legs function list
CreateFixedRateLeg function

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Example C# Driver function. Preparing the parameters, sub-function calls and the final function call (the result).

High level view of the code structure (resulting in the final function call to CreateFixedRateLeg() )

These are the financial QuantTools function calls that are used within the examples :





The objects generated by these functions are inter-connected in the following way :



C# Example - CreateFixedRateLeg





    //     ##################################################################################
    //     The first function here CreateFixedRateLeg(), contains a series of
    //     function calls leading upto the main function call, the second function
    //     within this file ( CreateFixedRateLegPart() ).
    //     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_CreateFixedRateLeg()
{
    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 Fixed rate leg.
    
    string MyCreateFixedRateLeg;
    MyCreateFixedRateLeg = 
        CreateFixedRateLegPart(
        MySchedule,
        MyMarket);
    
    // This is the result we are looking for.
    return MyCreateFixedRateLeg;
    

    }
    catch(Exception e)
    {
        szErrorMsg = e.Message;
        throw e;
    }
                        
}                
        


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

private string CreateFixedRateLegPart(
    string MySchedule,
    string MyMarket)
{

        //  Create example range for parameter CreateFixedRateLeg_Notional
        CTQL.CTRangeData CreateFixedRateLeg_Notional;    
        

        int[] arrBCreateFixedRateLeg_Notional = { 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000, 
            5000000  //  Array Data
        
        };
        
        CTQL.IntVector arrCreateFixedRateLeg_Notional = 
            new  CTQL.IntVector(arrBCreateFixedRateLeg_Notional);
    
        // Second parameter determines whether the array is a column array (false) or a row array (true)
        CreateFixedRateLeg_Notional = new  CTQL.CTRangeData(arrCreateFixedRateLeg_Notional, false);
            
        //  Create example range for parameter CreateFixedRateLeg_PrincipalPayments
        CTQL.CTRangeData CreateFixedRateLeg_PrincipalPayments;    
        

        int[] arrBCreateFixedRateLeg_PrincipalPayments = { 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0, 
            0  //  Array Data
        
        };
        
        CTQL.IntVector arrCreateFixedRateLeg_PrincipalPayments = 
            new  CTQL.IntVector(arrBCreateFixedRateLeg_PrincipalPayments);
    
        // Second parameter determines whether the array is a column array (false) or a row array (true)
        CreateFixedRateLeg_PrincipalPayments = new  CTQL.CTRangeData(arrCreateFixedRateLeg_PrincipalPayments, false);
            
        //  Create example range for parameter CreateFixedRateLeg_Coupon
        CTQL.CTRangeData CreateFixedRateLeg_Coupon;    
        

        double[] arrBCreateFixedRateLeg_Coupon = { 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05, 
            0.05  //  Array Data
        
        };
        
        CTQL.DoubleVector arrCreateFixedRateLeg_Coupon = 
            new  CTQL.DoubleVector(arrBCreateFixedRateLeg_Coupon);
    
        // Second parameter determines whether the array is a column array (false) or a row array (true)
        CreateFixedRateLeg_Coupon = new  CTQL.CTRangeData(arrCreateFixedRateLeg_Coupon, false);
            


    //    Key value to use as a handle for the created object
        string MyCreateFixedRateLeg = "MyCreateFixedRateLeg" + "_" + 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;

    //    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.CreateFixedRateLeg()"

    //    Creates a Fixed rate leg.
        string rCreateFixedRateLeg;
                                        
        rCreateFixedRateLeg = CTQL.CTFIXLegsSA.CreateFixedRateLeg(
                MyCreateFixedRateLeg,
                Reload,
                PayRec,
                Gearing,
                CreateFixedRateLeg_Notional,
                CreateFixedRateLeg_PrincipalPayments,
                Ccy,
                MySchedule,
                BusDayConv,
                DayCount,
                CreateFixedRateLeg_Coupon,
                ExchangePrincipal,
                MyMarket);


    return rCreateFixedRateLeg;
}        



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

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' ;");