CreateZeroCouponLeg




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CapeTools FIXED Legs function list

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Creates a zerocoupon leg.

The PV from each cashflow of the FIX leg is reinvested.

This leg object can either be priced directly via the PrcLegObject() function or you can use this leg within the SwapFIXFIX3() and Swap2() function in order to construct the details of one side of a swap structure.

Finally there are numerous querying functions that can be applied to this leg (within the CapeTools Query Legs category of functions).

This function requires the input of a Schedule object key, which must have been produced via a call to one of the following functions : MakeSchedule() or MakeSchedule2(). These functions would have returned a string 'KEY' which is to be passed to the 'ScheduleKey' parameter of this function.

Please refer to the large number of enumeration functions present within the CapeTools Enums category of functions.

The CapeTools Enums category of functions return correct string codes that can be passed to parameters taking fixed string values defined by the library (ie - DayCount codes, frequency codes, currency codes, compounding codes, business day convention codes etc...).

You can thus execute these enumeration functions which return the proper code, instead of trying to remember the string code needed or making spelling mistakes which can be difficult to debug.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "ZCLEG"



Note: Within Excel, the function is named - CT.LEG.CreateZeroCouponLeg


High level graphic of CreateZeroCouponLeg() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. PayRec parameter

    Whether you would like to PAY or REC this leg.
  4. Gearing parameter

    A positive factor value you wish to multiply the Floating-Reset Rate/Fixed-Coupon Rate by (Usually 1). If you want to simply double the value of the leg, modify the Notional value. For floating legs, if we denote 'M' as a margin/spread, 'G' as the gearing and 'L' as the fixing rate, the gearing will be applied as following : 'G*L+M'. For fixed rate legs, if we denote 'C' as the coupon rate and 'G' as the gearing, then the gearing value will be applied as 'G*C' which is, in effect, the same as doubling the value of the leg.
  5. Notional parameter

    A positive valued Notional amount of the deal. Can pass an array of notional amounts for each period
  6. PrincipalPayments parameter

    A positive valued Principal Payments array. Generally in the case where the 'Notional' parameter has been filled with amortised Notional values you indicate, within this array, the principal amounts that are to be paid to the holder of this contract during the life of the leg. In the case of amortised legs, this should be populated. The length of this array must equal the length of the 'Notional' parameter or be empty (if you are not concerned with providing Principal Payments).
  7. Ccy parameter

    Currency of the Notional amount.
  8. ScheduleKey parameter

    Schedule Key to an already generated schedule object.
  9. BusDayConv parameter

    Payment Business Day Convention. Treatment of date calculations for (discounting).
  10. DayCount parameter

    Payment DayCounter. Used for the calculation of year periods regarding payment (discounting).
  11. Coupon parameter

    Coupon amount to be received/paid, can pass in an array of coupons, each coupon corresponds to a cashflow of the generated schedule.
  12. ExchangePrincipal parameter

    Whether you wish to exchange the principal amount(s) at the start and termination of the leg contract.
  13. MKTKey parameter

    Key to an already constructed MKT object that contains at least a discounting curve. The VolCurve should be present if pricing CMS or In-Arrear legs, deals. The curves contained within this object should all be of the same Currency of which must equal the value of the 'Ccy' parameter of this function.


Extended information

Function Syntax

VB Syntax 


String CTFIXLegs.CreateZeroCouponLeg( _
String Key, _
Long Reload, _
PAYRECEnum PayRec, _
Long Gearing, _
Variant Notional, _
Variant PrincipalPayments, _
CCYEnum Ccy, _
String ScheduleKey, _
BDCEnum BusDayConv, _
DayCountEnum DayCount, _
Variant Coupon, _
Boolean ExchangePrincipal, _
String MKTKey)


Excel Spreadsheet Syntax 


=CT.LEG.CreateZeroCouponLeg(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell PayRec,
Excel Numeric Cell Gearing,
XLRange Notional,
XLRange PrincipalPayments,
Excel String Cell Ccy,
Excel String Cell ScheduleKey,
Excel String Cell BusDayConv,
Excel String Cell DayCount,
XLRange Coupon,
Excel Boolean Value Cell ExchangePrincipal,
Excel String Cell MKTKey)


C++ Syntax 


static std::string CreateZeroCouponLeg(
std::string Key,
long Reload,
PAYRECEnum PayRec,
long Gearing,
CTRangeDataCPP Notional,
CTRangeDataCPP PrincipalPayments,
CCYEnum Ccy,
std::string ScheduleKey,
BDCEnum BusDayConv,
DayCountEnum DayCount,
CTRangeDataCPP Coupon,
bool ExchangePrincipal,
std::string MKTKey);


DotNET Syntax 


System.String CTFIXLegsSA.CreateZeroCouponLeg(
System.String Key,
System.Int32 Reload,
CTIEnums.PAYRECEnum PayRec,
System.Int32 Gearing,
CTRangeData Notional,
CTRangeData PrincipalPayments,
CTIEnums.CCYEnum Ccy,
System.String ScheduleKey,
CTIEnums.BDCEnum BusDayConv,
CTIEnums.DayCountEnum DayCount,
CTRangeData Coupon,
System.Boolean ExchangePrincipal,
System.String MKTKey);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
PayRecPAYRECEnumFALSE
GearingLongFALSE
NotionalRangeFALSE
PrincipalPaymentsRangeFALSE
CcyCCYEnumFALSE
ScheduleKeyStringTRUE
BusDayConvBDCEnumFALSE
DayCountDayCountEnumFALSE
CouponRangeFALSE
ExchangePrincipalBooleanFALSE
MKTKeyStringTRUE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyCreateZeroCouponLeg
ReloadFALSE1
PayRecFALSEREC
GearingFALSE1
NotionalFALSECreateZeroCouponLeg_Notional_Range (creates a range object)
PrincipalPaymentsTRUECreateZeroCouponLeg_PrincipalPayments_Range (creates a range object)
CcyFALSEEUR
ScheduleKeyFALSEScheduleKeyNAME.EXTTAG.TICKER (from a function call)
BusDayConvFALSEModifiedFollowing
DayCountFALSEACT365
CouponTRUECreateZeroCouponLeg_Coupon_Range (creates a range object)
ExchangePrincipalFALSEfalse
MKTKeyFALSEMKTKeyNAME.EXTTAG.TICKER (from a function call)


Example range for parameter : Notional

Within Excel, a range such as this can be passed directly into the Notional parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Notional 


CTQL.CTRangeData CreateZeroCouponLeg_Notional;


int[] arrBCreateZeroCouponLeg_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 arrCreateZeroCouponLeg_Notional =
new  CTQL.IntVector(arrBCreateZeroCouponLeg_Notional);

// Second parameter determines whether the array is a column array (false) or a row array (true)
CreateZeroCouponLeg_Notional = new  CTQL.CTRangeData(arrCreateZeroCouponLeg_Notional, false);

Example range for parameter : PrincipalPayments

Within Excel, a range such as this can be passed directly into the PrincipalPayments parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : PrincipalPayments 


CTQL.CTRangeData CreateZeroCouponLeg_PrincipalPayments;


int[] arrBCreateZeroCouponLeg_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 arrCreateZeroCouponLeg_PrincipalPayments =
new  CTQL.IntVector(arrBCreateZeroCouponLeg_PrincipalPayments);

// Second parameter determines whether the array is a column array (false) or a row array (true)
CreateZeroCouponLeg_PrincipalPayments = new  CTQL.CTRangeData(arrCreateZeroCouponLeg_PrincipalPayments, false);

Example range for parameter : Coupon

Within Excel, a range such as this can be passed directly into the Coupon parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Coupon 


CTQL.CTRangeData CreateZeroCouponLeg_Coupon;


double[] arrBCreateZeroCouponLeg_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 arrCreateZeroCouponLeg_Coupon =
new  CTQL.DoubleVector(arrBCreateZeroCouponLeg_Coupon);

// Second parameter determines whether the array is a column array (false) or a row array (true)
CreateZeroCouponLeg_Coupon = new  CTQL.CTRangeData(arrCreateZeroCouponLeg_Coupon, false);


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.IRLegs20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the CreateZeroCouponLeg() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

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





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




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the CreateZeroCouponLeg() function call


MyCreateZeroCouponLeg_3.ZCLEG.0

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