FloatLegPortfolio Example JS

J# Example - FloatLegPortfolio

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

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

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

// within this file ( FloatLegPortfolioPart() ).

// 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.

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

import 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.

import 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 nCTLegPortfolioGlobal = 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();

String szTickedKeyName;

public String JS_EX_FloatLegPortfolio()

{

nCTLegPortfolioGlobal += 1;

String szErrorMsg = "";

try

{

// 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 centralized valuation date object.

String MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// UK date calendar.

String MyCALUKSettlement;

MyCALUKSettlement =

CALUKSettlementPart();

// TARGET calendar used for holiday adjustments.

String MyTargetCal2;

MyTargetCal2 =

CALTARGET__2Part();

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

// Index, but without the YieldCurve information.

String MyGBPDepoTPL;

MyGBPDepoTPL =

CreateDepoTemplate__3Part(

MyCALUKExchange,

MyCALUKSettlement);

// 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 MyGBPSwapTPL;

MyGBPSwapTPL =

CreateSwapTemplate__4Part(

MyCALUKSettlement,

MyGBPDepoTPL);

// 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 and cross currency

// swaps (against the dollar).

String MyYC_XCCY_DCF;

MyYC_XCCY_DCF =

MKTYC_XCCY_DPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

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

// curve (smile).

String MySABRVolCurve;

MySABRVolCurve =

SABRVolCurvePart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

String My1MIndex;

My1MIndex =

CreateIndex__5Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index code.

String My2MIndex;

My2MIndex =

CreateIndex__6Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index code.

String My3MIndex;

My3MIndex =

CreateIndex__7Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index code.

String My6MIndex;

My6MIndex =

CreateIndex__8Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index code.

String My12MIndex;

My12MIndex =

CreateIndex__9Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index based on SWAP details.

String MyCMS5Y;

MyCMS5Y =

CreateSwapIndex__2Part(

MyTargetCal2,

My3MIndex);

// Creates a new Index based on SWAP details.

String MyCMS10Y;

MyCMS10Y =

CreateSwapIndex__3Part(

MyTargetCal2,

My3MIndex);

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

// Swaps).

String MyGBPYC;

MyGBPYC =

MKTYC_D__4Part(

MyValuationDate,

MyGBPDepoTPL,

MyGBPSwapTPL);

// GBPLibor, Pound Sterling LIBOR fixed by BBA.

String MyGBPIndex;

MyGBPIndex =

IDXGBPLiborPart(

MyGBPYC);

// Creates a container to hold a group of Index objects.

String MyGroupedIndex;

MyGroupedIndex =

GroupedIndexPart(

My1MIndex,

My2MIndex,

My3MIndex,

My6MIndex,

My12MIndex,

MyGBPIndex,

MyCMS5Y,

MyCMS10Y);

// Creates a floating rate leg portfolio object (No quanto legs

// at this time).

String MyFloatLegPortfolio;

MyFloatLegPortfolio =

FloatLegPortfolioPart(

MyGroupedIndex,

MyYC_XCCY_DCF,

MySABRVolCurve);

// This is the result we are looking for.

return MyFloatLegPortfolio;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

catch(System.ApplicationException e)

{

szErrorMsg = e.get_Message();

}

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

private String FloatLegPortfolioPart(

String MyGroupedIndex,

String MyYC_XCCY_DCF,

String MySABRVolCurve)

{

// Create example range for parameter FloatLegPortfolio_FLTRange

CTQL.CTRangeData FloatLegPortfolio_FLTRange =

new CTQL.CTRangeData();

System.Text.StringBuilder FloatLegPortfolio_FLTRange_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.

FloatLegPortfolio_FLTRange_builder.Append("{");

FloatLegPortfolio_FLTRange_builder.Append("FLT-123456 | reciever | #24/Jan/2005# | #24/Jan/2010# | 50000000 | EURLIBOR3M | False | 0.0002 | 0 ;");

FloatLegPortfolio_FLTRange_builder.Append("FLT : 25-Jul-2005 - EURLIBOR6M | reciever | #25/Jul/2005# | #25/Jul/2010# | 50000000 | EURLIBOR6M | False | 0.0002 | 0 ;");

FloatLegPortfolio_FLTRange_builder.Append("FLT : 25-Jan-2006 - EURLIBOR6M | payer | #25/Jan/2006# | #25/Jan/2011# | 10000000 | EURLIBOR6M | True | 0.0002 | 0 ;");

FloatLegPortfolio_FLTRange_builder.Append("FLT : 25-Jul-2006 - EURCMS5Y | payer | #25/Jul/2006# | #25/Jul/2011# | 10000000 | EURCMS5Y | True | 0.0002 | 0.8 ;");

FloatLegPortfolio_FLTRange_builder.Append("FLT : 25-Jan-2007 - EURCMS5Y | payer | #25/Jan/2007# | #25/Jan/2012# | 10000000 | EURCMS5Y | True | 0.0002 | 0.8");

FloatLegPortfolio_FLTRange_builder.Append("}");

FloatLegPortfolio_FLTRange.RangeFromStr

(

FloatLegPortfolio_FLTRange_builder.ToString()

);

// Key Handle to be used for the new Portfolio object.

String MyFloatLegPortfolio = "MyFloatLegPortfolio" + "_" + System.Convert.ToString(nCTLegPortfolioGlobal);

// 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.BOOK.FloatLegPortfolio()"

// Creates a floating rate leg portfolio object (No quanto legs

// at this time).

String rFloatLegPortfolio;

rFloatLegPortfolio = CTQL.CTLegPortfolioSA.FloatLegPortfolio(

MyFloatLegPortfolio,

Reload,

MyGroupedIndex,

MyYC_XCCY_DCF,

MySABRVolCurve,

FloatLegPortfolio_FLTRange);

return rFloatLegPortfolio;

}