IRProcessViewer Example Java

Java 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.

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

public class Java_EX_IRProcessViewer()

{

static

{

try

{

System.loadLibrary("CTQuantToolsAPI20");

}

catch (UnsatisfiedLinkError e)

{

System.err.println("Native code library failed to load. Make sure that the CTQuantToolsAPI20.dll is installed correctly.\n" + e);

System.exit(1);

}

static int nCTIRProcessSimFGlobal = 0;

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

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

// we pass an empty range object

static CTQL.CTRangeData oEmptyRange = new CTQL.CTRangeData();

static String szTickedKeyName;

public static String Java_EX_IRProcessViewer(String argv[])

{

nCTIRProcessSimFGlobal += 1;

String szErrorMsg = "";

try

{

// Creates a centralized valuation date object.

String MyValuationDate;

MyValuationDate =

ValueDateObjPart();

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

String MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

String MyEuroCal;

MyEuroCal =

CALEUROPart();

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

// Index, but without the YieldCurve information.

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.

String MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

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

// Swaps).

String MyYCInterpOnDCF;

MyYCInterpOnDCF =

MKTYC_DPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

String MyNewIndex;

MyNewIndex =

CreateIndexPart(

MyCALUKExchange,

MyEuroCal,

MyYCInterpOnDCF);

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

// ShortRate Model process object.

String MyHullWhite1FProcess;

MyHullWhite1FProcess =

HullWhite1FProcessPart(

MyNewIndex,

MyYCInterpOnDCF);

// Creates an interest rate process viewer object.

String MyIRProcessViewer;

MyIRProcessViewer =

IRProcessViewerPart(

MyHullWhite1FProcess,

MyValuationDate);

// This is the result we are looking for.

return MyIRProcessViewer;

}

catch(Exception e)

{

szErrorMsg = e.getMessage();

System.exit(1);

}

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

private static String IRProcessViewerPart(

String MyHullWhite1FProcess,

String MyValuationDate)

{

// Create example range for parameter IRProcessViewer_MandatoryDates

CTQL.CTRangeData IRProcessViewer_MandatoryDates;

int[] arrBIRProcessViewer_MandatoryDates = {

CTQL.Date.serialNumber("19/7/2005", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/1/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/7/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/1/2007", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/7/2007", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/1/2008", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/7/2008", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/1/2009", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/7/2009", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/1/2010", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/7/2010", "dd/mm/yyyy"),

CTQL.Date.serialNumber("19/1/2011", "dd/mm/yyyy") // Array Data

};

CTQL.IntVector arrIRProcessViewer_MandatoryDates =

new CTQL.IntVector();

for (int i=0; i<12; i++)

arrIRProcessViewer_MandatoryDates.add(arrBIRProcessViewer_MandatoryDates[i]);

// Second parameter determines whether the array is a column array (false) or a row array (true)

IRProcessViewer_MandatoryDates = new CTQL.CTRangeData(arrIRProcessViewer_MandatoryDates, false);

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

String MyIRProcessViewer = "MyIRProcessViewer" + "_" + Integer.toString(nCTIRProcessSimFGlobal);

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

// to a positive value.

int Reload = 1;

// Used to calculate time in years.

CTIEnums.DayCountEnum dayCounter = CTIEnums.DayCountEnum.DayCount_30360;

// The number of simulations.

int NoOfSims = 10;

// The random generator type to use.

String MCMethod = "Pseudo";

// Seed value.

int Seed = 0;

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

// Creates an interest rate process viewer object.

String rIRProcessViewer;

rIRProcessViewer = CTQL.CTIRProcessSimFSA.IRProcessViewer(

MyIRProcessViewer,

Reload,

MyHullWhite1FProcess,

MyValuationDate,

dayCounter,

IRProcessViewer_MandatoryDates,

NoOfSims,

MCMethod,

Seed);

return rIRProcessViewer;

}