CallableBondOption




http://www.QuantTools.com
CapeTools IREngineOptions function list

Welcome | Documentation format | QuantTools Groups | QuantTools Categories | Licence

Key TAGs | Excel Index | API Index


Creates a Callable Bond Option object.

This function can only employ the Tree engine.

Once the object has been constructed, the value of the callable bond option can be obtained by executing the CallableBondCleanPrice(), CallableBondDirtyPrice() or CallableBondOptionPrice() functions.

These function requires the input of a Bond object key, which must have been produced via a call to any of the Fixed Coupon Bond objects within the CapeTools Bonds, CapeTools Bonds (Yield) or CapeTools Bonds (Price) categories of functions.

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

This function requires the input of a calibrated interest rate engine object key, which must have been produced via a call to one of the following functions : TreeBondOptionEngine() (for european, bermudan, american pricing).

These functions would have returned a string 'KEY' which is to be passed to the 'PrcEngKEY' parameter of this 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 : "CALLBONDOPT"



Note: Within Excel, the function is named - CT.OPT.CallableBondOption


High level graphic of CallableBondOption() 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. BondKEY parameter

    Key to an already constructed FixedCoupon Bond object.
  4. CallableType parameter

    If the 'Callable' parameter has been set to true, then this parameter represents the Callable type 'Call' (for Callable), 'Put' (for Puttable), 'CallPut' (for Callable and Puttable). Note that if you indicate 'Put', and there is an value within the [Callable strike] column of the 'CallableStrikes' parameter, then this [Callable strike] column will be ignored. However if you indicate a value of 'CallPut' and you enter a value of zero (0) for an entry within the [Puttable strike] column of the 'CallableStrikes' parameter, then for this entry, the option will only be callable and not putable.
  5. CallableStrikes parameter

    If the 'Callable' parameter has been set to true, then this parameter represents a 2 column [Callable strike/Putable strike] range. If you only want some dates to be callable but not putable, enter 0.0 within the corresponding 'Puttable Strike' column. The same is true vice versa. If you do not want a period callable or putable, enter 0.0 for both columns. Finally if you enter callable/putable values of only one row, these values will be applied to all the cashflows within the underlying instrument.
  6. YCKEY parameter

    Key to an already constructed YieldCurve object.
  7. PrcEngKEY parameter

    Key to an already constructed Tree Pricing Engine object.


Extended information

Function Syntax

VB Syntax 


String CTIREngineOptions.CallableBondOption( _
String Key, _
Long Reload, _
String BondKEY, _
String CallableType, _
Variant CallableStrikes, _
String YCKEY, _
String PrcEngKEY)


Excel Spreadsheet Syntax 


=CT.OPT.CallableBondOption(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell BondKEY,
Excel String Cell CallableType,
XLRange CallableStrikes,
Excel String Cell YCKEY,
Excel String Cell PrcEngKEY)


C++ Syntax 


static std::string CallableBondOption(
std::string Key,
long Reload,
std::string BondKEY,
std::string CallableType,
CTRangeDataCPP CallableStrikes,
std::string YCKEY,
std::string PrcEngKEY);


DotNET Syntax 


System.String CTIREngineOptionsSA.CallableBondOption(
System.String Key,
System.Int32 Reload,
System.String BondKEY,
System.String CallableType,
CTRangeData CallableStrikes,
System.String YCKEY,
System.String PrcEngKEY);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
BondKEYStringTRUE
CallableTypeStringFALSE
CallableStrikesRangeFALSE
YCKEYStringTRUE
PrcEngKEYStringTRUE

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
KeyFALSEMyCallableBondOption
ReloadFALSE1
BondKEYFALSEBondKEYNAME.EXTTAG.TICKER (from a function call)
CallableTypeFALSECall
CallableStrikesFALSECallableBondOption_CallableStrikes_Range (creates a range object)
YCKEYFALSEYCKEYNAME.EXTTAG.TICKER (from a function call)
PrcEngKEYFALSEPrcEngKEYNAME.EXTTAG.TICKER (from a function call)


Example range for parameter : CallableStrikes

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

95.5105

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


CTQL.CTRangeData CallableBondOption_CallableStrikes = new CTQL.CTRangeData();

System.Text.StringBuilder CallableBondOption_CallableStrikes_builder =
new System.Text.StringBuilder(100);

CallableBondOption_CallableStrikes_builder.Append("{");
CallableBondOption_CallableStrikes_builder.Append("95.5	 | 105");
CallableBondOption_CallableStrikes_builder.Append("}");

// Parse the string into the Range object.
CallableBondOption_CallableStrikes.RangeFromStr( CallableBondOption_CallableStrikes_builder.ToString() );


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 CallableBondOption() 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 CallableBondOption() function call


MyCallableBondOption_7.CALLBONDOPT.0

Copyright (c) 2003-2007 CapeTools - All Rights Reserved.