CreateFloatLeg Example JS

J# Example - CreateFloatLeg

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

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

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

// within this file ( CreateFloatLegPart() ).

// 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 nCTLegsGlobal = 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_CreateFloatLeg()

{

nCTLegsGlobal += 1;

String szErrorMsg = "";

try

{

// 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 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 market object which is an aggregate of interest rate

// market objects (Discounting curve and Interest rate volatility

// curve (volcurve)).

String MyMarket;

MyMarket =

CreateMKTPart(

MyYCInterpOnDCF,

MySABRVolCurve);

// Creates a floating rate leg.

String MyCreateFloatLeg;

MyCreateFloatLeg =

CreateFloatLegPart(

MySchedule,

MyNewIndex,

MyMarket);

// This is the result we are looking for.

return MyCreateFloatLeg;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

catch(System.ApplicationException e)

{

szErrorMsg = e.get_Message();

}

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

private String CreateFloatLegPart(

String MySchedule,

String MyNewIndex,

String MyMarket)

{

// Create example range for parameter CreateFloatLeg_Notional

CTQL.CTRangeData CreateFloatLeg_Notional;

int[] arrBCreateFloatLeg_Notional = {

5000000,

5000000 // Array Data

};

CTQL.IntVector arrCreateFloatLeg_Notional =

new CTQL.IntVector(arrBCreateFloatLeg_Notional);

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

CreateFloatLeg_Notional = new CTQL.CTRangeData(arrCreateFloatLeg_Notional, false);

// Create example range for parameter CreateFloatLeg_PrincipalPayments

CTQL.CTRangeData CreateFloatLeg_PrincipalPayments;

int[] arrBCreateFloatLeg_PrincipalPayments = {

0 // Array Data

};

CTQL.IntVector arrCreateFloatLeg_PrincipalPayments =

new CTQL.IntVector(arrBCreateFloatLeg_PrincipalPayments);

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

CreateFloatLeg_PrincipalPayments = new CTQL.CTRangeData(arrCreateFloatLeg_PrincipalPayments, false);

// Create example range for parameter CreateFloatLeg_Margin

CTQL.CTRangeData CreateFloatLeg_Margin;

double[] arrBCreateFloatLeg_Margin = {

0.0002,

0.0002 // Array Data

};

CTQL.DoubleVector arrCreateFloatLeg_Margin =

new CTQL.DoubleVector(arrBCreateFloatLeg_Margin);

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

CreateFloatLeg_Margin = new CTQL.CTRangeData(arrCreateFloatLeg_Margin, false);

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

String MyCreateFloatLeg = "MyCreateFloatLeg" + "_" + System.Convert.ToString(nCTLegsGlobal);

// 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.CreateFloatLeg()"

// Creates a floating rate leg.

String rCreateFloatLeg;

rCreateFloatLeg = CTQL.CTLegsSA.CreateFloatLeg(

MyCreateFloatLeg,

Reload,

PayRec,

Gearing,

CreateFloatLeg_Notional,

CreateFloatLeg_PrincipalPayments,

Ccy,

MySchedule,

BusDayConv,

DayCount,

MyNewIndex,

CreateFloatLeg_Margin,

ExchangePrincipal,

MyMarket,

SMPFWDRho);

return rCreateFloatLeg;

}