BlackSwaptionEngine

BlackSwaptionEngine

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Creates a Black Swaption Engine for pricing interest rate Swaption.

This function requires the input of a Model object key, which must have been produced via a call to BlackModel(). This function would have returned a string 'KEY' which is to be passed to the 'ModelKey' parameter of this function.

The string 'key' resulting from this BlackSwaptionEngine function can be passed to the Swaption() function in order to create pricing interest-rate derivative objects.

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 : "BLSWENG"

Note: Within Excel, the function is named - CT.ENG.BlackSwaptionEngine

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

Parameter Description

Key parameter

Key value to use as a handle for the created object
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).
ModelKey parameter

Key value to an already constructed interest rate BlackModel object.

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
Key	String	FALSE
Reload	Long	FALSE
ModelKey	String	TRUE

Example Inputs

ArgName	IsOptional (Excel only)	Example
Key	FALSE	MyBlackSwaptionEngine
Reload	FALSE	1
ModelKey	FALSE	ModelKeyNAME.EXTTAG.TICKER (from a function call)

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.EnginePricing20 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 BlackSwaptionEngine() 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 :

ValueDateObj() ( CT.QL.Utils20 )
CALUKExchange() ( CT.QL.Curves20 )
CALEURO() ( CT.QL.Curves20 )
CreateDepoTemplate() ( CT.QL.Curves20 )
CreateSwapTemplate() ( CT.QL.Curves20 )
MKTYC_D() ( CT.QL.Curves20 )
BlackModel() ( CT.QL.Models20 )
BlackSwaptionEngine() ( CT.QL.EnginePricing20 )

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 BlackSwaptionEngine() function call

MyBlackSwaptionEngine_8.BLSWENG.0