GenericLMM_MCPricer Example VBA

VBA Example - GenericLMM_MCPricer

' ##################################################################################

' The first function here GenericLMM_MCPricer(), contains a series of

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

' within this file ( GenericLMM_MCPricerPart() ).

' 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.

' ##################################################################################

' Add a reference to the CTQL_VBA_API.xla file via the Tools->Reference menu (within the VBA editor).

' This holds VBA class objects for communicating with the CTQuantToolsXL20.dll Excel Addin

' This XLA does not use COM and has access to all the financial objects created via the spreadsheet functions.

' 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.

Global nCTLMMMCPricerGlobal As Long

Public Function VB_EX_GenericLMM_MCPricer() As String

nCTLMMMCPricerGlobal = nCTLMMMCPricerGlobal + 1

On Error GoTo err_Generic

' Creates an one dimensional interpolation object.

Dim MyInterpObject1D As String

MyInterpObject1D = _

InterpObject1DPart()

' Creates an one dimensional interpolation object.

Dim MyInterpObject1D_2 As String

MyInterpObject1D_2 = _

InterpObject1D__2Part()

' Creates a two dimensional interpolation object.

Dim MyInterpObject2D As String

MyInterpObject2D = _

InterpObject2DPart()

' Creates a two dimensional interpolation object.

Dim MyInterpObject2D_2 As String

MyInterpObject2D_2 = _

InterpObject2D__2Part()

' UK date calendar used within the UK stock exchange.

Dim MyCALUKExchange As String

MyCALUKExchange = _

CALUKExchangePart()

' EURO calendar used for holiday adjustments.

Dim MyEuroCal As String

MyEuroCal = _

CALEUROPart()

' Creates a centralized valuation date object.

Dim MyValuationDate As String

MyValuationDate = _

ValueDateObjPart()

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

' Index, but without the YieldCurve information.

Dim MyDepoTPL As String

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.

Dim MySwapTPL As String

MySwapTPL = _

CreateSwapTemplatePart( _

MyEuroCal, _

MyDepoTPL)

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

' Swaps).

Dim MyMiniYC As String

MyMiniYC = _

MKTYC_D__3Part( _

MyValuationDate, _

MyDepoTPL, _

MySwapTPL)

' Creates a new Index code.

Dim MyNewIndex2 As String

MyNewIndex2 = _

CreateIndex__2Part( _

MyCALUKExchange, _

MyEuroCal, _

MyMiniYC)

' Creates a Libor Forward Model Process container object.

Dim MyLMMProcess2 As String

MyLMMProcess2 = _

LMMProcess2Part( _

MyNewIndex2)

' Creates a an extended linear-exponential volatility model for

' the libor market model.

Dim My3rdLMMLinearExpVolModel2 As String

My3rdLMMLinearExpVolModel2 = _

LMMLinearExpVolModel2__3Part( _

MyLMMProcess2)

' Creates an extended exponential correlation model for the libor

' market model.

Dim My2ndLMMLinearExpCorrModel2 As String

My2ndLMMLinearExpCorrModel2 = _

LMMLinearExpCorrModel2__2Part( _

MyLMMProcess2)

' Given volatility and correlation specification objects, creates

' a Libor Forward Market Simulation Process object to be used

' within the 'CapeTools LMM Process Simulation' or 'CapeTools

' Generic IR LMM MonteCarlo Pricer' category of functions.

Dim MyLMMSimProcess As String

MyLMMSimProcess = _

LMMSimProcessPart( _

MyLMMProcess2, _

My3rdLMMLinearExpVolModel2, _

My2ndLMMLinearExpCorrModel2)

' Creates a generic pricing monte carlo object given a process

' object and a pricing grid.

Dim MyGenericLMM_MCPricer As String

MyGenericLMM_MCPricer = _

GenericLMM_MCPricerPart( _

MyLMMSimProcess, _

MyInterpObject1D, _

MyInterpObject1D_2, _

MyInterpObject2D, _

MyInterpObject2D_2)

' This is the result we are looking for.

VB_EX_GenericLMM_MCPricer = MyGenericLMM_MCPricer

Exit Function

err_Generic:

MsgBox "Error: " & Err.Number & vbCrLf & Err.Description

End Function

' ///////////////////////////////////////////////////////////////////

Private Function GenericLMM_MCPricerPart( _

MyLMMSimProcess As String, _

MyInterpObject1D As String, _

MyInterpObject1D_2 As String, _

MyInterpObject2D As String, _

MyInterpObject2D_2 As String) As String

' Create example range for parameter GenericLMM_MCPricer_PayOffTable

Dim GenericLMM_MCPricer_PayOffTable As Variant

GenericLMM_MCPricer_PayOffTable = vRange.RangeFromStr _

( _

CStr("{") + _

CStr("#21/Jul/2011# | Libor(cRow) + _a | Interp1D(1,cRow) | GridRowSum(cRow, cCol-2, cCol-1) | max(GridColMin(cCol-1, 1, cRow) - LiborMin(1, cRow), 0.0) * DCF(cRow) * Cvg(cRow)") + _

CStr("}") _

)

' Create example range for parameter GenericLMM_MCPricer_ConstParams

Dim GenericLMM_MCPricer_ConstParams As Variant

GenericLMM_MCPricer_ConstParams = vRange.RangeFromStr _

( _

CStr("{") + _

CStr("_a | 0.0001 ;") + _

CStr("_b | 20 ;") + _

CStr("_c | 2.5 ;") + _

CStr("_var1 | 40") + _

CStr("}") _

)

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

Dim MyGenericLMM_MCPricer As String

MyGenericLMM_MCPricer = "MyGenericLMM_MCPricer" & "_" & CStr(nCTLMMMCPricerGlobal)

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

' to a positive value.

Dim Reload As Long

Reload = 1

' With the PayOff table, the first column represents event dates.

Dim ValidateDates As Boolean

ValidateDates = false

' The number of simulations.

Dim NoOfSims As Long

NoOfSims = 10

' Excel function call is : "CT.PRO.GenericLMM_MCPricer()"

' Creates a generic pricing monte carlo object given a process

' object and a pricing grid.

Dim rGenericLMM_MCPricer As String

' We call the CreateCTLMMMCPricer() function via the CTQL module exposed from the CTQL_VBA_API.xla addin.

Dim oCTLMMMCPricer As CTLMMMCPricer

Set oCTLMMMCPricer = CTQL.CreateCTLMMMCPricer()

rGenericLMM_MCPricer = oCTLMMMCPricer.GenericLMM_MCPricer( _

MyGenericLMM_MCPricer, _

Reload, _

MyLMMSimProcess, _

GenericLMM_MCPricer_PayOffTable, _

ValidateDates, _

NoOfSims, _

GenericLMM_MCPricer_ConstParams, _

MyInterpObject1D, _

MyInterpObject1D_2, _

MyInterpObject2D, _

MyInterpObject2D_2)

GenericLMM_MCPricerPart = rGenericLMM_MCPricer

End Function