CreateGammaReport Example CS

C# Example - CreateGammaReport

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

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

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

// within this file ( CreateGammaReportPart() ).

// 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.

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

using System;

// Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)

// and using the reduced version (in the case of declaring enumerations).

// This is just to demostrate both types of coding.

using CTQL; // You need to add a reference to the QuantToolsNET.v2.dll also

// 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 int nCTIRRiskGlobal;

// 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();

public string CS_EX_CreateGammaReport()

{

nCTIRRiskGlobal += 1;

string szErrorMsg = "";

try

{

// Loads a FX table from a range object into a Exchange Rate Manager

// object.

string MyFXManager;

MyFXManager =

CreateFXManagerPart();

// EURO calendar used for holiday adjustments.

string MyEuroCal;

MyEuroCal =

CALEUROPart();

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

string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// Creates a centralized valuation date object.

string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// Generates a schedule of start and end dates, given the initial

// start date and unadjusted final end dates.

string MySchedule;

MySchedule =

MakeSchedulePart(

MyEuroCal);

// 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 MyMiniYC;

MyMiniYC =

MKTYC_D__3Part(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates an amortisation object to be used within the amortisation

// fixed and floating rate leg objects.

string MyCreateAmortObj;

MyCreateAmortObj =

CreateAmortObjPart(

MySchedule);

// Creates a new Index code.

string MyNewIndex2;

MyNewIndex2 =

CreateIndex__2Part(

MyCALUKExchange,

MyEuroCal,

MyMiniYC);

// Creates a SABR curve to model the dynamics of the volatility

// curve (smile).

string MySABRVolCurve;

MySABRVolCurve =

SABRVolCurvePart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a market object which is an aggregate of interest rate

// market objects (Discounting curve and Interest rate volatility

// curve (volcurve)).

string MyMarket4;

MyMarket4 =

CreateMKT__4Part(

MyMiniYC,

MySABRVolCurve);

// Creates a floating rate leg.

string MyCreateFloatLeg3;

MyCreateFloatLeg3 =

CreateFloatLeg__3Part(

MySchedule,

MyNewIndex2,

MyMarket4);

// Creates an amortised floating rate leg.

string MyCreateAmortFloatLeg2;

MyCreateAmortFloatLeg2 =

CreateAmortFloatLeg__2Part(

MyCreateAmortObj,

MyNewIndex2,

MyMarket4);

// Creates a Fixed rate leg.

string MyCreateFixedRateLeg3;

MyCreateFixedRateLeg3 =

CreateFixedRateLeg__3Part(

MySchedule,

MyMarket4);

// This floating leg (or FRN) only provide one payoff.

string MyCreateZCFloatLeg2;

MyCreateZCFloatLeg2 =

CreateZCFloatLeg__2Part(

MySchedule,

MyNewIndex2,

MyMarket4);

// Creates an amortised fixed rate leg.

string MyCreateAmortFixLeg2;

MyCreateAmortFixLeg2 =

CreateAmortFixLeg__2Part(

MyCreateAmortObj,

MyMarket4);

// Creates a porfolio of caplet or floorlet options from this floating

// Rate Leg.

string MyCreateCapFLTLeg2;

MyCreateCapFLTLeg2 =

CreateCapFLTLeg__2Part(

MyCreateFloatLeg3,

MySABRVolCurve);

// Creates a Structure object (which is really a portfolio of leg

// objects).

string MyStructure;

MyStructure =

CreateStructurePart(

MyCreateAmortFloatLeg2,

MyCreateFixedRateLeg3,

MyCreateZCFloatLeg2,

MyCreateAmortFixLeg2,

MyCreateCapFLTLeg2);

// Creates a Gamma report object given a Structure object, a market

// shift and a gamma shift.

string MyGammaReport;

MyGammaReport =

CreateGammaReportPart(

MyStructure,

MyMiniYC,

MyFXManager);

// This is the result we are looking for.

return MyGammaReport;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

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

private string CreateGammaReportPart(

string MyStructure,

string MyMiniYC,

string MyFXManager)

{

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

string MyGammaReport = "MyGammaReport" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// The parellel shift that you wish to apply to the reset/fixing

// curve (in basis points).

int GammaShift = 10;

// The yieldcurve market shift that you wish to apply to all points

// on the reset/fixing curve (in basis points).

int YCShift = 1;

// Currency code that you wish the risk report values to be stored

// in.

CTIEnums.CCYEnum ReportPVCcy = CTIEnums.CCYEnum.CCY_EUR;

// Excel function call would be this - "CT.RSK.CreateGammaReport()"

// Creates a Gamma report object given a Structure object, a market

// shift and a gamma shift.

string rCreateGammaReport;

rCreateGammaReport = CTQL.CTIRRiskSA.CreateGammaReport(

MyGammaReport,

Reload,

MyStructure,

MyMiniYC,

GammaShift,

YCShift,

MyFXManager,

ReportPVCcy);

return rCreateGammaReport;

}

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

private string CreateStructurePart(

string MyCreateAmortFloatLeg2,

string MyCreateFixedRateLeg3,

string MyCreateZCFloatLeg2,

string MyCreateAmortFixLeg2,

string MyCreateCapFLTLeg2)

{

// Create example range for parameter CreateStructure_Legs

CTQL.CTRangeData CreateStructure_Legs;

string[] arrBCreateStructure_Legs = {

MyCreateAmortFloatLeg2,

MyCreateFixedRateLeg3,

MyCreateZCFloatLeg2,

MyCreateAmortFixLeg2,

MyCreateCapFLTLeg2 // Array Data

};

CTQL.StringVector arrCreateStructure_Legs =

new CTQL.StringVector(arrBCreateStructure_Legs);

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

CreateStructure_Legs = new CTQL.CTRangeData(arrCreateStructure_Legs, false);

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

string MyStructure = "MyStructure" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.LEG.CreateStructure()"

// Creates a Structure object (which is really a portfolio of leg

// objects).

string rCreateStructure;

rCreateStructure = CTQL.CTQryLegsSA.CreateStructure(

MyStructure,

Reload,

CreateStructure_Legs);

return rCreateStructure;

}

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

private string MKTYC_D__3Part(

string MyValuationDate,

string MyDepoTPL,

string MySwapTPL)

{

// Create example range for parameter MKTYC_D__3_oTenorsRates

CTQL.CTRangeData MKTYC_D__3_oTenorsRates =

new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_D__3_oTenorsRates_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

MKTYC_D__3_oTenorsRates_builder.Append("{");

MKTYC_D__3_oTenorsRates_builder.Append("'7D' | 3.48 | True ;");

MKTYC_D__3_oTenorsRates_builder.Append("'14D' | 3.49 | True ;");

MKTYC_D__3_oTenorsRates_builder.Append("'1M' | 3.5 | True ;");

MKTYC_D__3_oTenorsRates_builder.Append("'3M' | 3.7 | True ;");

MKTYC_D__3_oTenorsRates_builder.Append("'6M' | 3.9 | True");

MKTYC_D__3_oTenorsRates_builder.Append("}");

MKTYC_D__3_oTenorsRates.RangeFromStr

(

MKTYC_D__3_oTenorsRates_builder.ToString()

);

// Create example range for parameter MKTYC_D__3_oRange2

CTQL.CTRangeData MKTYC_D__3_oRange2 =

new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_D__3_oRange2_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

MKTYC_D__3_oRange2_builder.Append("{");

MKTYC_D__3_oRange2_builder.Append("'9M' | 4.1 | True ;");

MKTYC_D__3_oRange2_builder.Append("'12M' | 4.3 | True");

MKTYC_D__3_oRange2_builder.Append("}");

MKTYC_D__3_oRange2.RangeFromStr

(

MKTYC_D__3_oRange2_builder.ToString()

);

// Create example range for parameter MKTYC_D__3_oRange3

CTQL.CTRangeData MKTYC_D__3_oRange3 =

new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_D__3_oRange3_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

MKTYC_D__3_oRange3_builder.Append("{");

MKTYC_D__3_oRange3_builder.Append("'2Y' | 4.5 | True ;");

MKTYC_D__3_oRange3_builder.Append("'5Y' | 4.7 | True ;");

MKTYC_D__3_oRange3_builder.Append("'10Y' | 4.9 | True");

MKTYC_D__3_oRange3_builder.Append("}");

MKTYC_D__3_oRange3.RangeFromStr

(

MKTYC_D__3_oRange3_builder.ToString()

);

// Create example range for parameter MKTYC_D__3_oRange4

CTQL.CTRangeData MKTYC_D__3_oRange4 =

new CTQL.CTRangeData();

System.Text.StringBuilder MKTYC_D__3_oRange4_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

MKTYC_D__3_oRange4_builder.Append("{");

MKTYC_D__3_oRange4_builder.Append("'15Y' | 5.3 | True ;");

MKTYC_D__3_oRange4_builder.Append("'20Y' | 5.4 | True ;");

MKTYC_D__3_oRange4_builder.Append("'25Y' | 5.5 | True ;");

MKTYC_D__3_oRange4_builder.Append("'30Y' | 5.6 | True ;");

MKTYC_D__3_oRange4_builder.Append("'35Y' | 5.7 | True ;");

MKTYC_D__3_oRange4_builder.Append("'40Y' | 5.8 | True");

MKTYC_D__3_oRange4_builder.Append("}");

MKTYC_D__3_oRange4.RangeFromStr

(

MKTYC_D__3_oRange4_builder.ToString()

);

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

string MyMiniYC = "MyMiniYC" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// A tag used to identify this curve (case insensitive) if placed

// within a Yieldcurve collection ( via the GroupedCurves() function

// ).

string CurveName = "MyMiniYC";

// Interpolation methodology to utilise when interpolating for

// discount factors.

CTIEnums.InterpEnum InterpMethod = CTIEnums.InterpEnum.Interp_LOGLINEAR;

// An optional flat spread value that will be added to all tenors.

double Spread = 0.000;

// DayCounter for converting dates into year fractions.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// If a cash (deposit) tenor's end date is after the earliest futures

// expiry date within the curve, do we discard the cash tenor (false)

// or keep it (true).

bool DepoOvrWrtFuts = false;

// If a futures tenor's end date is after the earliest swap tenor's

// end date within the curve, do we discard the futures tenor (false)

// or keep it (true).

bool FutsOvrWrtSwps = true;

// Whether the yieldCurve data should be extrapolated if a calculation

// request that uses a date that is beyond the end date of the

// yieldCurve (ie - a request for a 40 year discount factor, but

// the curve is only built up to 30 years.) If false an error will

// be returned.

bool Extrapolate = true;

// Excel function call would be this - "CT.CRV.MKTYC_D()"

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

// Swaps).

string rMKTYC_D__3;

rMKTYC_D__3 = CTQL.CTCurvesSA.MKTYC_D(

MyMiniYC,

Reload,

CurveName,

MyValuationDate,

MKTYC_D__3_oTenorsRates,

MKTYC_D__3_oRange2,

MKTYC_D__3_oRange3,

MKTYC_D__3_oRange4,

InterpMethod,

Spread,

DayCount,

DepoOvrWrtFuts,

FutsOvrWrtSwps,

MyDepoTPL,

MySwapTPL,

Extrapolate);

return rMKTYC_D__3;

}

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

private string CreateFXManagerPart()

{

// Create example range for parameter CreateFXManager_FXRange

CTQL.CTRangeData CreateFXManager_FXRange =

new CTQL.CTRangeData();

System.Text.StringBuilder CreateFXManager_FXRange_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

CreateFXManager_FXRange_builder.Append("{");

CreateFXManager_FXRange_builder.Append("'EUR' | 'GBP' | 1.56 ;");

CreateFXManager_FXRange_builder.Append("'EUR' | 'USD' | 1.3 ;");

CreateFXManager_FXRange_builder.Append("'JPY' | 'GBP' | 100.5 ;");

CreateFXManager_FXRange_builder.Append("'EUR' | 'CHF' | 1.6 ;");

CreateFXManager_FXRange_builder.Append("'DKK' | 'GBP' | 35.35");

CreateFXManager_FXRange_builder.Append("}");

CreateFXManager_FXRange.RangeFromStr

(

CreateFXManager_FXRange_builder.ToString()

);

// Key that will be associated with this new object (the key will

// be used internally to keep track of this object).

string MyFXManager = "MyFXManager" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.FX.CreateFXManager()"

// Loads a FX table from a range object into a Exchange Rate Manager

// object.

string rCreateFXManager;

rCreateFXManager = CTQL.CTCurrencySA.CreateFXManager(

MyFXManager,

Reload,

CreateFXManager_FXRange);

return rCreateFXManager;

}

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

private string CreateAmortFloatLeg__2Part(

string MyCreateAmortObj,

string MyNewIndex2,

string MyMarket4)

{

// Create example range for parameter CreateAmortFloatLeg__2_Margin

CTQL.CTRangeData CreateAmortFloatLeg__2_Margin;

double[] arrBCreateAmortFloatLeg__2_Margin = {

0.0002,

0.0002 // Array Data

};

CTQL.DoubleVector arrCreateAmortFloatLeg__2_Margin =

new CTQL.DoubleVector(arrBCreateAmortFloatLeg__2_Margin);

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

CreateAmortFloatLeg__2_Margin = new CTQL.CTRangeData(arrCreateAmortFloatLeg__2_Margin, false);

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

string MyCreateAmortFloatLeg2 = "MyCreateAmortFloatLeg2" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTIEnums.PAYRECEnum PayRec = CTIEnums.PAYRECEnum.PAYREC_REC;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// If a CMS index is specified (within the parameter 'IndexKey')

// and the 'CMSAlgo' parameter within this CMS Index has been set

// to 'Hull' then the correlation between swap rates and fwd rates

// is required.

double SMPFWDRho = 0.8;

// Excel function call would be this - "CT.LEG.CreateAmortFloatLeg()"

// Creates an amortised floating rate leg.

string rCreateAmortFloatLeg__2;

rCreateAmortFloatLeg__2 = CTQL.CTLegsSA.CreateAmortFloatLeg(

MyCreateAmortFloatLeg2,

Reload,

PayRec,

Gearing,

MyCreateAmortObj,

Ccy,

BusDayConv,

DayCount,

MyNewIndex2,

CreateAmortFloatLeg__2_Margin,

ExchangePrincipal,

MyMarket4,

SMPFWDRho);

return rCreateAmortFloatLeg__2;

}

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

private string CreateFixedRateLeg__3Part(

string MySchedule,

string MyMarket4)

{

// Create example range for parameter CreateFixedRateLeg__3_Notional

CTQL.CTRangeData CreateFixedRateLeg__3_Notional;

int[] arrBCreateFixedRateLeg__3_Notional = {

5000000,

5000000 // Array Data

};

CTQL.IntVector arrCreateFixedRateLeg__3_Notional =

new CTQL.IntVector(arrBCreateFixedRateLeg__3_Notional);

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

CreateFixedRateLeg__3_Notional = new CTQL.CTRangeData(arrCreateFixedRateLeg__3_Notional, false);

// Create example range for parameter CreateFixedRateLeg__3_PrincipalPayments

CTQL.CTRangeData CreateFixedRateLeg__3_PrincipalPayments;

int[] arrBCreateFixedRateLeg__3_PrincipalPayments = {

0 // Array Data

};

CTQL.IntVector arrCreateFixedRateLeg__3_PrincipalPayments =

new CTQL.IntVector(arrBCreateFixedRateLeg__3_PrincipalPayments);

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

CreateFixedRateLeg__3_PrincipalPayments = new CTQL.CTRangeData(arrCreateFixedRateLeg__3_PrincipalPayments, false);

// Create example range for parameter CreateFixedRateLeg__3_Coupon

CTQL.CTRangeData CreateFixedRateLeg__3_Coupon;

double[] arrBCreateFixedRateLeg__3_Coupon = {

0.05,

0.05 // Array Data

};

CTQL.DoubleVector arrCreateFixedRateLeg__3_Coupon =

new CTQL.DoubleVector(arrBCreateFixedRateLeg__3_Coupon);

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

CreateFixedRateLeg__3_Coupon = new CTQL.CTRangeData(arrCreateFixedRateLeg__3_Coupon, false);

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

string MyCreateFixedRateLeg3 = "MyCreateFixedRateLeg3" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTIEnums.PAYRECEnum PayRec = CTIEnums.PAYRECEnum.PAYREC_PAY;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// Excel function call would be this - "CT.LEG.CreateFixedRateLeg()"

// Creates a Fixed rate leg.

string rCreateFixedRateLeg__3;

rCreateFixedRateLeg__3 = CTQL.CTFIXLegsSA.CreateFixedRateLeg(

MyCreateFixedRateLeg3,

Reload,

PayRec,

Gearing,

CreateFixedRateLeg__3_Notional,

CreateFixedRateLeg__3_PrincipalPayments,

Ccy,

MySchedule,

BusDayConv,

DayCount,

CreateFixedRateLeg__3_Coupon,

ExchangePrincipal,

MyMarket4);

return rCreateFixedRateLeg__3;

}

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

private string CreateZCFloatLeg__2Part(

string MySchedule,

string MyNewIndex2,

string MyMarket4)

{

// Create example range for parameter CreateZCFloatLeg__2_Notional

CTQL.CTRangeData CreateZCFloatLeg__2_Notional;

int[] arrBCreateZCFloatLeg__2_Notional = {

5000000,

5000000 // Array Data

};

CTQL.IntVector arrCreateZCFloatLeg__2_Notional =

new CTQL.IntVector(arrBCreateZCFloatLeg__2_Notional);

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

CreateZCFloatLeg__2_Notional = new CTQL.CTRangeData(arrCreateZCFloatLeg__2_Notional, false);

// Create example range for parameter CreateZCFloatLeg__2_PrincipalPayments

CTQL.CTRangeData CreateZCFloatLeg__2_PrincipalPayments;

int[] arrBCreateZCFloatLeg__2_PrincipalPayments = {

0 // Array Data

};

CTQL.IntVector arrCreateZCFloatLeg__2_PrincipalPayments =

new CTQL.IntVector(arrBCreateZCFloatLeg__2_PrincipalPayments);

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

CreateZCFloatLeg__2_PrincipalPayments = new CTQL.CTRangeData(arrCreateZCFloatLeg__2_PrincipalPayments, false);

// Create example range for parameter CreateZCFloatLeg__2_Margin

CTQL.CTRangeData CreateZCFloatLeg__2_Margin;

double[] arrBCreateZCFloatLeg__2_Margin = {

0.0002,

0.0002 // Array Data

};

CTQL.DoubleVector arrCreateZCFloatLeg__2_Margin =

new CTQL.DoubleVector(arrBCreateZCFloatLeg__2_Margin);

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

CreateZCFloatLeg__2_Margin = new CTQL.CTRangeData(arrCreateZCFloatLeg__2_Margin, false);

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

string MyCreateZCFloatLeg2 = "MyCreateZCFloatLeg2" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTIEnums.PAYRECEnum PayRec = CTIEnums.PAYRECEnum.PAYREC_REC;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// If a CMS index is specified (within the parameter 'IndexKey')

// and the 'CMSAlgo' parameter within this CMS Index has been set

// to 'Hull' then the correlation between swap rates and fwd rates

// is required.

double SMPFWDRho = 0.8;

// Excel function call would be this - "CT.LEG.CreateZCFloatLeg()"

// This floating leg (or FRN) only provide one payoff.

string rCreateZCFloatLeg__2;

rCreateZCFloatLeg__2 = CTQL.CTZCFLTLegsSA.CreateZCFloatLeg(

MyCreateZCFloatLeg2,

Reload,

PayRec,

Gearing,

CreateZCFloatLeg__2_Notional,

CreateZCFloatLeg__2_PrincipalPayments,

Ccy,

MySchedule,

BusDayConv,

DayCount,

MyNewIndex2,

CreateZCFloatLeg__2_Margin,

ExchangePrincipal,

MyMarket4,

SMPFWDRho);

return rCreateZCFloatLeg__2;

}

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

private string CreateAmortFixLeg__2Part(

string MyCreateAmortObj,

string MyMarket4)

{

// Create example range for parameter CreateAmortFixLeg__2_Coupon

CTQL.CTRangeData CreateAmortFixLeg__2_Coupon;

double[] arrBCreateAmortFixLeg__2_Coupon = {

0.05,

0.05 // Array Data

};

CTQL.DoubleVector arrCreateAmortFixLeg__2_Coupon =

new CTQL.DoubleVector(arrBCreateAmortFixLeg__2_Coupon);

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

CreateAmortFixLeg__2_Coupon = new CTQL.CTRangeData(arrCreateAmortFixLeg__2_Coupon, false);

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

string MyCreateAmortFixLeg2 = "MyCreateAmortFixLeg2" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTIEnums.PAYRECEnum PayRec = CTIEnums.PAYRECEnum.PAYREC_PAY;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// Excel function call would be this - "CT.LEG.CreateAmortFixLeg()"

// Creates an amortised fixed rate leg.

string rCreateAmortFixLeg__2;

rCreateAmortFixLeg__2 = CTQL.CTFIXLegsSA.CreateAmortFixLeg(

MyCreateAmortFixLeg2,

Reload,

PayRec,

Gearing,

MyCreateAmortObj,

Ccy,

BusDayConv,

DayCount,

CreateAmortFixLeg__2_Coupon,

ExchangePrincipal,

MyMarket4);

return rCreateAmortFixLeg__2;

}

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

private string CreateCapFLTLeg__2Part(

string MyCreateFloatLeg3,

string MySABRVolCurve)

{

// Create example range for parameter CreateCapFLTLeg__2_EnablePeriods

CTQL.CTRangeData CreateCapFLTLeg__2_EnablePeriods;

int[] arrBCreateCapFLTLeg__2_EnablePeriods = {

1 // Array Data

};

CTQL.IntVector arrCreateCapFLTLeg__2_EnablePeriods =

new CTQL.IntVector(arrBCreateCapFLTLeg__2_EnablePeriods);

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

CreateCapFLTLeg__2_EnablePeriods = new CTQL.CTRangeData(arrCreateCapFLTLeg__2_EnablePeriods, false);

// Create example range for parameter CreateCapFLTLeg__2_Strike

CTQL.CTRangeData CreateCapFLTLeg__2_Strike;

double[] arrBCreateCapFLTLeg__2_Strike = {

0.03,

0.03 // Array Data

};

CTQL.DoubleVector arrCreateCapFLTLeg__2_Strike =

new CTQL.DoubleVector(arrBCreateCapFLTLeg__2_Strike);

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

CreateCapFLTLeg__2_Strike = new CTQL.CTRangeData(arrCreateCapFLTLeg__2_Strike, false);

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

string MyCreateCapFLTLeg2 = "MyCreateCapFLTLeg2" + "_" + System.Convert.ToString(nCTIRRiskGlobal);

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

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.LEG.CreateCapFLTLeg()"

// Creates a porfolio of caplet or floorlet options from this floating

// Rate Leg.

string rCreateCapFLTLeg__2;

rCreateCapFLTLeg__2 = CTQL.CTExoticLegsSA.CreateCapFLTLeg(

MyCreateCapFLTLeg2,

Reload,

MyCreateFloatLeg3,

CreateCapFLTLeg__2_EnablePeriods,

CreateCapFLTLeg__2_Strike,

MySABRVolCurve);

return rCreateCapFLTLeg__2;

}

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

private string Creat