OSBKDisplayLeg

OSBKDisplayLeg

http://www.QuantTools.com
CapeTools Swaption Portfolio function list

Welcome | Documentation format | QuantTools Groups | QuantTools Categories | Licence

Returns a range of information (regarding the underlying swap leg) given a Swaption object.

The function requires the input of a Swaption portfolio object which must have been constructed via the SwaptionPortfolio() function.

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

Note: Within Excel, the function is named - CT.BOOK.OSBKDisplayLeg

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

Parameter Description

OSBookKey parameter

Key Handle to an already constructed Swaption Portfolio (Book) object.
OSDealID parameter

The ID of the Swaption deal in which the underlying swap information will be extracted.
PayRecLeg parameter

Which leg you wish to query the information for.

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
OSBookKey	String	TRUE
OSDealID	String	FALSE
PayRecLeg	PAYRECEnum	FALSE

Example Inputs

ArgName	IsOptional (Excel only)	Example
OSBookKey	FALSE	OSBookKeyNAME.EXTTAG.TICKER (from a function call)
OSDealID	FALSE	OS-123456
PayRecLeg	FALSE	PAY

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.IRPortfolio20 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 OSBKDisplayLeg() 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 :

CALUKExchange() ( CT.QL.Curves20 )
CALEURO() ( CT.QL.Curves20 )
ValueDateObj() ( CT.QL.Utils20 )
CALUKSettlement() ( CT.QL.Curves20 )
CALTARGET() ( CT.QL.Curves20 )
CreateDepoTemplate() ( CT.QL.Curves20 )
CreateSwapTemplate() ( CT.QL.Curves20 )
MKTYC_XCCY_D() ( CT.QL.Curves20 )
SABRVolCurve() ( CT.QL.Curves20 )
CreateIndex() ( CT.QL.Curves20 )
CreateSwapIndex() ( CT.QL.Curves20 )
MKTYC_D() ( CT.QL.Curves20 )
IDXGBPLibor() ( CT.QL.Curves20 )
GroupedIndex() ( CT.QL.Curves20 )
SwaptionPortfolio() ( CT.QL.IRPortfolio20 )
OSBKDisplayLeg() ( CT.QL.IRPortfolio20 )

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 OSBKDisplayLeg() function call

Example
Gearing	Notional (EUR)	Start	End	Pay	Coverage	Coupons	DCF	LegPayments (EUR)	Principal Exchange (EUR)	Principal Payments (EUR)	Total Amount (EUR)	Discounted LegPayments (EUR)	Discounted Principal Exchange (EUR)	Discounted Principal Payments (EUR)	Discounted Total Amount (EUR)
-1	5e+007	40745	40931	40931	0.509589	0.0516	0.780211	-1.31474e+006	0	0	-1.31474e+006	-1.02577e+006	0	0	-1.02577e+006
-1	5e+007	40931	41113	41113	0.49863	0.0516	0.765224	-1.28647e+006	0	0	-1.28647e+006	-984434	0	0	-984434
-1	5e+007	41113	41295	41295	0.49863	0.0516	0.750524	-1.28647e+006	0	0	-1.28647e+006	-965524	0	0	-965524
-1	5e+007	41295	41477	41477	0.49863	0.0516	0.736108	-1.28647e+006	0	0	-1.28647e+006	-946977	0	0	-946977
-1	5e+007	41477	41660	41660	0.50137	0.0516	0.721891	-1.29353e+006	0	0	-1.29353e+006	-933790	0	0	-933790
-1	5e+007	41660	41841	41841	0.49589	0.0516	0.708099	-1.2794e+006	0	0	-1.2794e+006	-905940	0	0	-905940
-1	5e+007	41841	42025	42025	0.50411	0.0516	0.69435	-1.3006e+006	0	0	-1.3006e+006	-903073	0	0	-903073
-1	5e+007	42025	42206	42206	0.49589	0.0516	0.681084	-1.2794e+006	0	0	-1.2794e+006	-871378	0	0	-871378
-1	5e+007	42206	42390	42390	0.50411	0.0516	0.664946	-1.3006e+006	0	0	-1.3006e+006	-864831	0	0	-864831
-1	5e+007	42390	42572	42572	0.49863	0.0516	0.64936	-1.28647e+006	0	0	-1.28647e+006	-835379	0	0	-835379