SwaptionPortfolio Example CPP

C++ Example - SwaptionPortfolio

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

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

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

// within this file ( SwaptionPortfolioPart() ).

// 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.

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

#include <string>

#include <exception>

#include <sstream>

#include <iomanip>

// Point the "additional includes directory" within your editor to the following paths ( where <InstallFolder> is your installation folder)

// <InstallFolder>/Libs/Headers/ (For the library header files)

// <InstallFolder>/Libs/Client/ (For the client helper header and source files)

// The helper files are optional and you can include only those files needed for your functionality

// Each helper header/source file pair corresponds to a single QuantTools category of functions.

// Include QuantTools library header files

#include <QuantTools_all.hpp>

// Include Client Helper QuantTools header files

#include <QuantToolsClient_all.hpp>

// For Debug builds add a reference to the CTQuantToolsCPPAPI20D.lib

// For Release builds add a reference to the CTQuantToolsCPPAPI20.lib

// You add a reference via the ProjectProperties->Linker->Input menu item

// 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 long nCTOSPortfolioGlobal = 0;

// Used by parameters that take an optional range value.

// In Excel we simply omit the value, within the API functions,

// we pass an empty range object

CTRangeDataCPP oEmptyRange;

std::string szTickedKeyName;

std::ostringstream szTemp;

std::string CPP_EX_SwaptionPortfolio()

{

nCTOSPortfolioGlobal += 1;

std::string szErrorMsg = "";

try

{

// UK date calendar used within the UK stock exchange.

std::string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

std::string MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates a centralized valuation date object.

std::string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// UK date calendar.

std::string MyCALUKSettlement;

MyCALUKSettlement =

CALUKSettlementPart();

// TARGET calendar used for holiday adjustments.

std::string MyTargetCal2;

MyTargetCal2 =

CALTARGET__2Part();

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

// Index, but without the YieldCurve information.

std::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.

std::string MyGBPSwapTPL;

MyGBPSwapTPL =

CreateSwapTemplate__4Part(

MyCALUKSettlement,

MyGBPDepoTPL);

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

// Index, but without the YieldCurve information.

std::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.

std::string MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

// Creates a yield curve using market rates and cross currency

// swaps (against the dollar).

std::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).

std::string MySABRVolCurve;

MySABRVolCurve =

SABRVolCurvePart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

std::string My1MIndex;

My1MIndex =

CreateIndex__5Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index code.

std::string My2MIndex;

My2MIndex =

CreateIndex__6Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index code.

std::string My3MIndex;

My3MIndex =

CreateIndex__7Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index code.

std::string My6MIndex;

My6MIndex =

CreateIndex__8Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index code.

std::string My12MIndex;

My12MIndex =

CreateIndex__9Part(

MyCALUKExchange,

MyEuroCal,

MyYC_XCCY_DCF);

// Creates a new Index based on SWAP details.

std::string MyCMS5Y;

MyCMS5Y =

CreateSwapIndex__2Part(

MyTargetCal2,

My3MIndex);

// Creates a new Index based on SWAP details.

std::string MyCMS10Y;

MyCMS10Y =

CreateSwapIndex__3Part(

MyTargetCal2,

My3MIndex);

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

// Swaps).

std::string MyGBPYC;

MyGBPYC =

MKTYC_D__4Part(

MyValuationDate,

MyGBPDepoTPL,

MyGBPSwapTPL);

// GBPLibor, Pound Sterling LIBOR fixed by BBA.

std::string MyGBPIndex;

MyGBPIndex =

IDXGBPLiborPart(

MyGBPYC);

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

std::string MyGroupedIndex;

MyGroupedIndex =

GroupedIndexPart(

My1MIndex,

My2MIndex,

My3MIndex,

My6MIndex,

My12MIndex,

MyGBPIndex,

MyCMS5Y,

MyCMS10Y);

// Creates a Swaption portfolio object.

std::string MySwaptionPortfolio;

MySwaptionPortfolio =

SwaptionPortfolioPart(

MyGroupedIndex,

MyYC_XCCY_DCF,

MySABRVolCurve);

// This is the result we are looking for.

return MySwaptionPortfolio;

}

catch(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

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

std::string SwaptionPortfolioPart(

std::string MyGroupedIndex,

std::string MyYC_XCCY_DCF,

std::string MySABRVolCurve)

{

// Create example range for parameter SwaptionPortfolio_SwaptionRange

CTRangeDataCPP SwaptionPortfolio_SwaptionRange;

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

SwaptionPortfolio_SwaptionRange.RangeFromStr

(

"{"

"OS-123456 | short | reciever | #19/Jul/2011# | #21/Jul/2011# | #21/Jul/2016# | 50000000 | 5.17 | Modifiedfollowing | ACT365F | S | EURLIBOR3M | 0.0002 ;"

"OS : 19-Jul-2012 / 5.31% | short | reciever | #19/Jul/2012# | #21/Jul/2012# | #21/Jul/2017# | 50000000 | 5.31 | Modifiedfollowing | ACT365F | S | EURLIBOR1M | 0.0002 ;"

"OS : 19-Jul-2013 / 5.47% | short | reciever | #19/Jul/2013# | #21/Jul/2013# | #21/Jul/2018# | 50000000 | 5.47 | Modifiedfollowing | ACT365F | S | EURLIBOR1M | 0.0002 ;"

"OS : 19-Jul-2014 / 5.59% | short | reciever | #19/Jul/2014# | #21/Jul/2014# | #21/Jul/2019# | 50000000 | 5.59 | Modifiedfollowing | ACT365F | S | EURLIBOR6M | 0.0002 ;"

"OS : 19-Jul-2015 / 5.74% | short | reciever | #19/Jul/2015# | #21/Jul/2015# | #21/Jul/2020# | 50000000 | 5.74 | Modifiedfollowing | ACT365F | S | EURLIBOR6M | 0.0002 ;"

"OS : 19-Jul-2016 / 5.92% | long | payer | #19/Jul/2016# | #21/Jul/2016# | #21/Jul/2021# | 10000000 | 5.92 | Modifiedfollowing | ACT365F | S | EURLIBOR12M | 0.0002 ;"

"OS : 19-Jul-2017 / 6.06% | long | payer | #19/Jul/2017# | #21/Jul/2017# | #21/Jul/2022# | 10000000 | 6.06 | Modifiedfollowing | ACT365F | S | EURLIBOR12M | 0.0002 ;"

"OS : 19-Jul-2018 / 6.23% | long | payer | #19/Jul/2018# | #21/Jul/2018# | #21/Jul/2023# | 10000000 | 6.23 | Modifiedfollowing | ACT365F | S | EURLIBOR3M | 0.0002 ;"

"OS : 19-Jul-2019 / 6.38% | long | payer | #19/Jul/2019# | #21/Jul/2019# | #21/Jul/2024# | 10000000 | 6.38 | Modifiedfollowing | ACT365F | S | EURLIBOR3M | 0.0002 ;"

"OS : 19-Jul-2020 / 6.51% | long | payer | #19/Jul/2020# | #21/Jul/2020# | #21/Jul/2025# | 10000000 | 6.51 | Modifiedfollowing | ACT365F | S | EURLIBOR6M | 0.0002 ;"

"OS : 19-Jul-2021 / 6.69% | long | payer | #19/Jul/2021# | #21/Jul/2021# | #21/Jul/2026# | 10000000 | 6.69 | Modifiedfollowing | ACT365F | S | EURLIBOR6M | 0.0002"

"}"

);

std::ostringstream szTemp; szTemp.str("");

szTemp << std::setw(0) << nCTOSPortfolioGlobal;

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

std::string MySwaptionPortfolio = std::string("MySwaptionPortfolio") + std::string("_") + szTemp.str();

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

// to a positive value.

long Reload = 1;

// Excel function call would be this - "CT.BOOK.SwaptionPortfolio()"

// Creates a Swaption portfolio object.

std::string rSwaptionPortfolio;

rSwaptionPortfolio = CTOSPortfolioSA::SwaptionPortfolio(

MySwaptionPortfolio,

Reload,

MyGroupedIndex,

MyYC_XCCY_DCF,

MySABRVolCurve,

SwaptionPortfolio_SwaptionRange);

return rSwaptionPortfolio;

}