CreateVegaReport Example CPPNET

C++.NET Example - CreateVegaReport

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

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

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

// within this file ( CreateVegaReportPart() ).

// 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 <mscorlib.dll>

// If you add a reference via the Visual Studio project,

// then the following line is not needed.

#using <QuantToolsNET.v2.dll>

using namespace System;

// 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 = 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();

public: String* CPPNET_EX_CreateVegaReport()

{

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 SABR curve to model the dynamics of the volatility

// curve (smile).

String* MySABRVolCurve;

MySABRVolCurve =

SABRVolCurvePart(

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 yield curve using market rates (No cross-currency

// Swaps).

String* MyMiniYC;

MyMiniYC =

MKTYC_D__3Part(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

String* MyNewIndex2;

MyNewIndex2 =

CreateIndex__2Part(

MyCALUKExchange,

MyEuroCal,

MyMiniYC);

// 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 Vega report object given a Structure object and a

// shift parameter.

String* MyVegaReport;

MyVegaReport =

CreateVegaReportPart(

MyStructure,

MySABRVolCurve,

MyFXManager);

// This is the result we are looking for.

return MyVegaReport;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

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

private: String* CreateVegaReportPart(

String* MyStructure,

String* MySABRVolCurve,

String* MyFXManager)

{

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

String* MyVegaReport = String::Format(S"{0}_{1}", S"MyVegaReport", System::Convert::ToString(nCTIRRiskGlobal));

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

// to a positive value.

int Reload = 1;

// The shift that you wish to apply to all points within the VolCurve

// in percent.

int VolShift = 1;

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

// in.

CTQL::CTIEnums::CCYEnum ReportPVCcy = CTQL::CTIEnums::CCYEnum::CCY_EUR;

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

// Creates a Vega report object given a Structure object and a

// shift parameter.

String* rCreateVegaReport;

rCreateVegaReport = CTQL::CTIRRiskSA->CreateVegaReport(

MyVegaReport,

Reload,

MyStructure,

MySABRVolCurve,

VolShift,

MyFXManager,

ReportPVCcy);

return rCreateVegaReport;

}