DRSOption2




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Computes a DRS (In-Arrears or delayed-reset) caplet or floorlet given an index object and a flat lognormal volatility.

This function does **NOT** require the input of a SWAP IndexKey object key, which are generated via a call to CreateSwapIndex(), IDXEURSwap(), IDXGBPSwap(), IDXJPYSwap(), IDXCHFSwap() or IDXUSDSwap() functions.



Note: Within Excel, the function is named - CT.MKT.DRSOption2


High level graphic of DRSOption2() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  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. IndexKey parameter

    Short Index Key to an already constructed Index object.
  6. FlatVol parameter

    A numeric Lognormal volatility value.
  7. 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.


Extended information

Function Syntax

VB Syntax 


Double CTQryCurves.DRSOption2( _
String OptionType, _
Double Strike, _
Long Start, _
Long EndDate, _
String IndexKey, _
Double FlatVol, _
String Greek)


Excel Spreadsheet Syntax 


=CT.MKT.DRSOption2(
Excel String Cell OptionType,
Excel Numeric Cell Strike,
Excel Numeric Cell Start,
Excel Numeric Cell EndDate,
Excel String Cell IndexKey,
Excel Numeric Cell FlatVol,
Excel String Cell Greek)


C++ Syntax 


static double DRSOption2(
std::string OptionType,
double Strike,
long Start,
long EndDate,
std::string IndexKey,
double FlatVol,
std::string Greek);


DotNET Syntax 


System.Double CTQryCurvesSA.DRSOption2(
System.String OptionType,
System.Double Strike,
System.Int32 Start,
System.Int32 EndDate,
System.String IndexKey,
System.Double FlatVol,
System.String Greek);

Parameter data types

ArgNameArgTypeIsKey
OptionTypeStringFALSE
StrikeDoubleFALSE
StartLongFALSE
EndDateLongFALSE
IndexKeyStringTRUE
FlatVolDoubleFALSE
GreekStringFALSE

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
OptionTypeFALSEcap
StrikeFALSE0.05
StartFALSE21/Jan/2006 (serial date type)
EndDateFALSE21/Jul/2006 (serial date type)
IndexKeyFALSEIndexKeyNAME.EXTTAG.TICKER (from a function call)
FlatVolFALSE0.20
GreekFALSEPREMIUM


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.Curves20 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 DRSOption2() 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 DRSOption2() function call


0.000372867991980446

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