DisplayPDEGamma




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CapeTools Generic PDE Pricer function list

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Displays the gamma risk value from a structure priced via a Generic PDE Pricer object.



Note: Within Excel, the function is named - CT.PRO.DisplayPDEGamma


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



Parameter Description


  1. PDEPricer parameter

    Key to an already constructed Generic PDE Pricer object.


Extended information

Function Syntax

VB Syntax 


Double CTPDEPricer.DisplayPDEGamma( _
String PDEPricer)


Excel Spreadsheet Syntax 


=CT.PRO.DisplayPDEGamma(
Excel String Cell PDEPricer)


C++ Syntax 


static double DisplayPDEGamma(
std::string PDEPricer);


DotNET Syntax 


System.Double CTPDEPricerSA.DisplayPDEGamma(
System.String PDEPricer);

Parameter data types

ArgNameArgTypeIsKey
PDEPricerStringTRUE

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
PDEPricerFALSEPDEPricerNAME.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.GenericPricing20 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 DisplayPDEGamma() 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 DisplayPDEGamma() function call


0.00781923666163561

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