LMMProcessDetails




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CapeTools LMM Volatility/Correlation Models function list

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Returns summary information regarding the rates underlying the LMMProcess.



Note: Within Excel, the function is named - CT.MOD.LMMProcessDetails


High level graphic of LMMProcessDetails() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. LMMProcess parameter

    Key to an already constructed LMMProcess object. LMMProcess() or LMMProcess2() functions.


Extended information

Function Syntax

VB Syntax 


Variant CTLMMVolCorrModels.LMMProcessDetails( _
String LMMProcess)


Excel Spreadsheet Syntax 


=CT.MOD.LMMProcessDetails(
Excel String Cell LMMProcess)


C++ Syntax 


static CTRangeDataCPP LMMProcessDetails(
std::string LMMProcess);


DotNET Syntax 


CTRangeData CTLMMVolCorrModelsSA.LMMProcessDetails(
System.String LMMProcess);

Parameter data types

ArgNameArgTypeIsKey
LMMProcessStringTRUE

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
LMMProcessFALSELMMProcessNAME.EXTTAG.TICKER (from a function call)


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.Models20 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 LMMProcessDetails() 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 LMMProcessDetails() function call


Example
FixingDateStartDateEndDateInitialRateCoverage
3891738919390130.04754080.257534
3900939013391040.04753470.249315
3910039104391950.04753170.249315
3919139195392860.04753170.249315
3928239286393770.04859720.249315
3937339377394680.04859720.249315
3946439468395590.04859410.249315
3955539559396500.04859410.249315
3964639650397420.04854330.252055
3973839742398340.04854330.252055
3983239834399240.04853690.246575
3992039924400150.04854010.249315
4001140015401070.04854330.252055
4010540107401990.04854330.252055
4019740199402890.04853690.246575
4028740289403800.04854010.249315
4037840380404720.05155950.252055
4047040472405640.05155950.252055
4056240564406540.05155230.246575
4065240654407450.05155590.249315



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