CreateVolgaReport




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Creates a Volga report object given a Structure object, a vol shift and a volga shift.

Firstly the volcurve is parallel shifted by the volga shift.

Then for each of the legs within the structure, all the vol points within the volcurve will be, one by one, bumped by the volshift value and the legs re-valued. . The sensitivities will be re-scaled to just a 0.01 shift.

You can then query this object for the VEGA and VOLGA sensitivities.

The report is designed to display instruments that can be hedged via VolCurve market instruments (Caps and Swaptions).

The Structure object that is to be used within this function must have been previously created via a call to the CreateStructure() function.

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

For the legs underlying the structure, only the following volcurves can be manipulated for the computation of risk : SABRVolCurve(), ExpiryKVolMatrix() and ATMVolMatrix(). This is because these curves actually contain the instruments that you can hedge your structure with.



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 : "REPORTVOLGA"



Note: Within Excel, the function is named - CT.RSK.CreateVolgaReport


High level graphic of CreateVolgaReport() 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. StructKey parameter

    Key to an already created Structure object.
  4. VCKey parameter

    Key to an already created VolCurve object. This is the curve that risk will be generated from.
  5. VolgaShift parameter

    The parellel shift that you wish to apply to the reset/fixing curve (units of percent).
  6. VolShift parameter

    The vol shift that you wish to apply to all points within the volcurve (units of percent).
  7. FXManagerKey parameter

    Key to an already created FXManager object. The FXManager is used with the 'ReportPVCcy' parameter in order to store the risk report values in the chosen currency.
  8. ReportPVCcy parameter

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


Extended information

Function Syntax

VB Syntax 


String CTIRRisk.CreateVolgaReport( _
String Key, _
Long Reload, _
String StructKey, _
String VCKey, _
Long VolgaShift, _
Long VolShift, _
String FXManagerKey, _
CCYEnum ReportPVCcy)


Excel Spreadsheet Syntax 


=CT.RSK.CreateVolgaReport(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell StructKey,
Excel String Cell VCKey,
Excel Numeric Cell VolgaShift,
Excel Numeric Cell VolShift,
Excel String Cell FXManagerKey,
Excel String Cell ReportPVCcy)


C++ Syntax 


static std::string CreateVolgaReport(
std::string Key,
long Reload,
std::string StructKey,
std::string VCKey,
long VolgaShift,
long VolShift,
std::string FXManagerKey,
CCYEnum ReportPVCcy);


DotNET Syntax 


System.String CTIRRiskSA.CreateVolgaReport(
System.String Key,
System.Int32 Reload,
System.String StructKey,
System.String VCKey,
System.Int32 VolgaShift,
System.Int32 VolShift,
System.String FXManagerKey,
CTIEnums.CCYEnum ReportPVCcy);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
StructKeyStringTRUE
VCKeyStringTRUE
VolgaShiftLongFALSE
VolShiftLongFALSE
FXManagerKeyStringTRUE
ReportPVCcyCCYEnumFALSE

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
KeyFALSEMyVolgaReport
ReloadFALSE1
StructKeyFALSEStructKeyNAME.EXTTAG.TICKER (from a function call)
VCKeyFALSEVCKeyNAME.EXTTAG.TICKER (from a function call)
VolgaShiftFALSE10
VolShiftFALSE1
FXManagerKeyFALSEFXManagerKeyNAME.EXTTAG.TICKER (from a function call)
ReportPVCcyFALSEEUR


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.IRRisk20 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 CreateVolgaReport() 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 CreateVolgaReport() function call


MyVolgaReport_5.REPORTVOLGA.0

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