LFMSwaptionEngine




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Creates a Forward Libor Market Model Swaption Engine for pricing interest rate Swaptions.

This engine requires a Libor Forward Model.

This function requires the input of a Model object key, which must have been produced via a call to either the LMMLinearExpVolModel()or LMMFixedVolModel() functions.

These functions would have returned a string 'KEY' which is to be passed to the 'ModelKey' parameter of this function.

This string 'key' resulting from this LFMSwaptionEngine function can be passed to the Swaption() function in order to create an object ready to price exotic Swaptions (ie bermudan Swaptions) via a call to the PrcObjSwaption() function.



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 : "LFMSWENG"



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


High level graphic of LFMSwaptionEngine() 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. ModelKey parameter

    Key value to an already constructed Forward Libor Market Model object.


Extended information

Function Syntax

VB Syntax 


String CTIREngine.LFMSwaptionEngine( _
String Key, _
Long Reload, _
String ModelKey)


Excel Spreadsheet Syntax 


=CT.ENG.LFMSwaptionEngine(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell ModelKey)


C++ Syntax 


static std::string LFMSwaptionEngine(
std::string Key,
long Reload,
std::string ModelKey);


DotNET Syntax 


System.String CTIREngineSA.LFMSwaptionEngine(
System.String Key,
System.Int32 Reload,
System.String ModelKey);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
ModelKeyStringTRUE

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
KeyFALSEMyLFMSwaptionEngine
ReloadFALSE1
ModelKeyFALSEModelKeyNAME.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 LFMSwaptionEngine() 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 LFMSwaptionEngine() function call


MyLFMSwaptionEngine_2.LFMSWENG.0

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