IRProcessViewer Example CPP

C++ Example - IRProcessViewer

// ##################################################################################

// The first function here IRProcessViewer(), contains a series of

// function calls leading upto the main function call, the second function

// within this file ( IRProcessViewerPart() ).

// which contains the answer that we are looking for.

// The first function here is simply an example of how to construct the parameters

// in order acquire either a string Key (that is to be passed to other functions)

// or a computed result.

// If you are viewing this source code from the chm or web help file you can use the

// outlining features to collapse certain sections of the code for better readability.

// ##################################################################################

#include <string>

#include <exception>

#include <sstream>

#include <iomanip>

// Point the "additional includes directory" within your editor to the following paths ( where <InstallFolder> is your installation folder)

// <InstallFolder>/Libs/Headers/ (For the library header files)

// <InstallFolder>/Libs/Client/ (For the client helper header and source files)

// The helper files are optional and you can include only those files needed for your functionality

// Each helper header/source file pair corresponds to a single QuantTools category of functions.

// Include QuantTools library header files

#include <QuantTools_all.hpp>

// Include Client Helper QuantTools header files

#include <QuantToolsClient_all.hpp>

// For Debug builds add a reference to the CTQuantToolsCPPAPI20D.lib

// For Release builds add a reference to the CTQuantToolsCPPAPI20.lib

// You add a reference via the ProjectProperties->Linker->Input menu item

// Some global parameter in order to append to user defined keys.

// We use it here to ensure that we have unique Keys (in the case several of our examples

// use the same key-name)

// In normal use, a user defined string will be used and so this variable will be pointless.

static long nCTIRProcessSimFGlobal = 0;

// Used by parameters that take an optional range value.

// In Excel we simply omit the value, within the API functions,

// we pass an empty range object

CTRangeDataCPP oEmptyRange;

std::string szTickedKeyName;

std::ostringstream szTemp;

std::string CPP_EX_IRProcessViewer()

{

nCTIRProcessSimFGlobal += 1;

std::string szErrorMsg = "";

try

{

// Creates a centralized valuation date object.

std::string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// UK date calendar used within the UK stock exchange.

std::string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

std::string MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates a Deposit template which is almost identical to a Libor

// Index, but without the YieldCurve information.

std::string MyDepoTPL;

MyDepoTPL =

CreateDepoTemplatePart(

MyCALUKExchange,

MyEuroCal);

// Creates a Swap template which is almost identical to the definition

// of the parameters of a swap contract, but without the swap duration,

// buysell, and YieldCurve information.

std::string MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

// Creates a yield curve using market rates (No cross-currency

// Swaps).

std::string MyYCInterpOnDCF;

MyYCInterpOnDCF =

MKTYC_DPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

std::string MyNewIndex;

MyNewIndex =

CreateIndexPart(

MyCALUKExchange,

MyEuroCal,

MyYCInterpOnDCF);

// Creates a Single-factor Hull-White (extended Vasicek) Forward

// ShortRate Model process object.

std::string MyHullWhite1FProcess;

MyHullWhite1FProcess =

HullWhite1FProcessPart(

MyNewIndex,

MyYCInterpOnDCF);

// Creates an interest rate process viewer object.

std::string MyIRProcessViewer;

MyIRProcessViewer =

IRProcessViewerPart(

MyHullWhite1FProcess,

MyValuationDate);

// This is the result we are looking for.

return MyIRProcessViewer;

}

catch(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

// ///////////////////////////////////////////////////////////////////

std::string IRProcessViewerPart(

std::string MyHullWhite1FProcess,

std::string MyValuationDate)

{

// Create example range for parameter IRProcessViewer_MandatoryDates

// Column vector of 12 rows (indexed from 0, highest index of 11)

CTRangeDataCPP IRProcessViewer_MandatoryDates(12, 1);

IRProcessViewer_MandatoryDates.SetValue(0, 0, CT::Date::serialNumber("19/7/2005", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(1, 0, CT::Date::serialNumber("19/1/2006", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(2, 0, CT::Date::serialNumber("19/7/2006", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(3, 0, CT::Date::serialNumber("19/1/2007", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(4, 0, CT::Date::serialNumber("19/7/2007", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(5, 0, CT::Date::serialNumber("19/1/2008", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(6, 0, CT::Date::serialNumber("19/7/2008", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(7, 0, CT::Date::serialNumber("19/1/2009", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(8, 0, CT::Date::serialNumber("19/7/2009", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(9, 0, CT::Date::serialNumber("19/1/2010", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(10, 0, CT::Date::serialNumber("19/7/2010", "dd/mm/yyyy"));

IRProcessViewer_MandatoryDates.SetValue(11, 0, CT::Date::serialNumber("19/1/2011", "dd/mm/yyyy"));

std::ostringstream szTemp; szTemp.str("");

szTemp << std::setw(0) << nCTIRProcessSimFGlobal;

// Key value to use as a handle for the created object

std::string MyIRProcessViewer = std::string("MyIRProcessViewer") + std::string("_") + szTemp.str();

// When creating this object for the first time, set this parameter

// to a positive value.

long Reload = 1;

// Used to calculate time in years.

DayCountEnum dayCounter = DayCount_30360;

// The number of simulations.

long NoOfSims = 10;

// The random generator type to use.

std::string MCMethod = "Pseudo";

// Seed value.

long Seed = 0;

// Excel function call would be this - "CT.PRO.IR.IRProcessViewer()"

// Creates an interest rate process viewer object.

std::string rIRProcessViewer;

rIRProcessViewer = CTIRProcessSimFSA::IRProcessViewer(

MyIRProcessViewer,

Reload,

MyHullWhite1FProcess,

MyValuationDate,

dayCounter,

IRProcessViewer_MandatoryDates,

NoOfSims,

MCMethod,

Seed);

return rIRProcessViewer;

}