Collar




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Creates an interest rate Collar object.

This function can employ different pricing engines (Analytical and Tree).

Once the object has been constructed, the value of the option can be obtained by executing the PrcObjCollar() function.

This function requires the input of a Leg object key, which must have been produced via a call to the CreateFloatLeg() function.

This function would have returned a string 'KEY' which is to be passed to the 'LegKey' parameter of this function.

This function requires the input of an engine object key, which must have been produced via a call to one of the following functions : TreeCapFloorEngine(), BlackCapFloorEngine() or AnalyticCapFloorEngine(). These functions would have returned a string 'KEY' which is to be passed to the 'engine' 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 : "IRCOLLAROPT"



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


High level graphic of Collar() 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. LegKey parameter

    Key to an already constructed Leg object
  4. CapStrikes parameter

    Array of CAP strikes for each cap, or can pass in a single strike to be used for all periods.
  5. FloorStrikes parameter

    Array of FLOOR strikes for each cap, or can pass in a single strike to be used for all periods.
  6. engine parameter

    Key to an already constructed PricingEngine object (ie - TreeCapFloorEngine, BlackCapFloorEngine, AnalyticCapFloorEngine).


Extended information

Function Syntax

VB Syntax 


String CTIREngineOptions.Collar( _
String Key, _
Long Reload, _
String LegKey, _
Variant CapStrikes, _
Variant FloorStrikes, _
String engine)


Excel Spreadsheet Syntax 


=CT.OPT.Collar(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell LegKey,
XLRange CapStrikes,
XLRange FloorStrikes,
Excel String Cell engine)


C++ Syntax 


static std::string Collar(
std::string Key,
long Reload,
std::string LegKey,
CTRangeDataCPP CapStrikes,
CTRangeDataCPP FloorStrikes,
std::string engine);


DotNET Syntax 


System.String CTIREngineOptionsSA.Collar(
System.String Key,
System.Int32 Reload,
System.String LegKey,
CTRangeData CapStrikes,
CTRangeData FloorStrikes,
System.String engine);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
LegKeyStringTRUE
CapStrikesRangeFALSE
FloorStrikesRangeFALSE
engineStringTRUE

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
KeyFALSEMyCollar
ReloadFALSE1
LegKeyFALSELegKeyNAME.EXTTAG.TICKER (from a function call)
CapStrikesFALSECollar_CapStrikes_Range (creates a range object)
FloorStrikesFALSECollar_FloorStrikes_Range (creates a range object)
engineFALSEengineNAME.EXTTAG.TICKER (from a function call)


Example range for parameter : CapStrikes

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


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

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


CTQL.CTRangeData Collar_CapStrikes;

Collar_CapStrikes = new  CTQL.CTRangeData(0.045);

Example range for parameter : FloorStrikes

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


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

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


CTQL.CTRangeData Collar_FloorStrikes;

Collar_FloorStrikes = new  CTQL.CTRangeData(0.055);


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 Collar() 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 Collar() function call


MyCollar_5.IRCOLLAROPT.0

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