CMSOption2

High level graphic of CMSOption2() function with parameters. Blue square node is the actual function with the parameters ordered.

1. OptionType parameter
   
   
   Type of option. Possible values are 'cap' or 'floor'.
2. Strike parameter
   
   
   Strike value
3. Start parameter
   
   
   Start date of the payment period
4. EndDate parameter
   
   
   End date of the payment period
5. CMSIndexKey parameter
   
   
   SWAP Index Key to an already constructed Swap Index object (via a call to the CreateSwapIndex(), IDXEURSwap(), IDXGBPSwap(), IDXJPYSwap(), IDXCHFSwap() or IDXUSDSwap() function). Used for the description of the SWAP underlying the CMS for the Fixing period of this forward rate.
6. FlatVol parameter
   
   
   A numeric Lognormal volatility value.
7. InArrears parameter
   
   
   Is the swap Index fixed on the payment date of the payment period?
8. Greek parameter
   
   
   Risk output type. Possible values are : PREMIUM, DELTA, GAMMA or VEGA (VEGA, not via the full integration via swaption method). All the greeks (except 'PREMIUM') output are equivalent to the mathematical notion of a derivative, thus if you would like to see the risk in terms of a finite movement (ie - 5 percent or 10 basis points move in the interested parameter) simply multiply the output amount by the shift of interest.

Double CTQryCurves.CMSOption2( _
String OptionType, _
Double Strike, _
Long Start, _
Long EndDate, _
String CMSIndexKey, _
Double FlatVol, _
Boolean InArrears, _
String Greek)

=CT.MKT.CMSOption2(
Excel String Cell OptionType,
Excel Numeric Cell Strike,
Excel Numeric Cell Start,
Excel Numeric Cell EndDate,
Excel String Cell CMSIndexKey,
Excel Numeric Cell FlatVol,
Excel Boolean Value Cell InArrears,
Excel String Cell Greek)

static double CMSOption2(
std::string OptionType,
double Strike,
long Start,
long EndDate,
std::string CMSIndexKey,
double FlatVol,
bool InArrears,
std::string Greek);

System.Double CTQryCurvesSA.CMSOption2(
System.String OptionType,
System.Double Strike,
System.Int32 Start,
System.Int32 EndDate,
System.String CMSIndexKey,
System.Double FlatVol,
System.Boolean InArrears,
System.String Greek);

• CALTARGET() ( CT.QL.Curves20 )
• CALUKExchange() ( CT.QL.Curves20 )
• CALEURO() ( CT.QL.Curves20 )
• ValueDateObj() ( CT.QL.Utils20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• MKTYC_XCCY_D() ( CT.QL.Curves20 )
• CreateIndex() ( CT.QL.Curves20 )
• CreateSwapIndex() ( CT.QL.Curves20 )
• CMSOption2() ( CT.QL.Curves20 )

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