MKTCapFloor




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Returns the premium from an vanilla cap/floor structure.

This function requires the input of a discounting YieldCurve object key, which must have been produced via a call to one of the YieldCurve (CapeTools Curves, CapeTools XCCY Curves or CapeTools Bond Curves) or Credit Default Curves (CapeTools Credit Curves) category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'YCKey' parameter of this function.

This function requires the input of a Index object key, which must have been produced via a call to one of the index creation objects present within the CapeTools Indexes category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'FLTIndexKey' parameter of this function.



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


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



Parameter Description


  1. OptionType parameter

    Type of option. Valid values are 'cap' or 'floor'.
  2. Notional parameter

    Notional amount of the swap.
  3. startDate parameter

    Start date of the cap/floor structure.
  4. matDate parameter

    Unadjusted maturity date of the cap/floor structure.
  5. FLTDayCount parameter

    Daycounter required for year length calculations. Used for each cashflow period of the FLOAT side of the swap.
  6. FLTMargin parameter

    Flat spread that will be added onto the rate fixings (float side of the swap).
  7. FLTIndexKey parameter

    Index Key to an already constructed Index object. Used for calculating the floating fixing rates.
  8. Strike parameter

    Strike of the Cap/Floor.
  9. YCKey parameter

    Key to an already constructed YieldCurve object. Used for discounting cashflows.
  10. IRVolCurve parameter

    Key to an already constructed IR VolCurve object. For a flat volatility, use the FlatVolCurve() function call.


Extended information

Function Syntax

VB Syntax 


Double CTQryCurves.MKTCapFloor( _
String OptionType, _
Double Notional, _
Long startDate, _
Long matDate, _
DayCountEnum FLTDayCount, _
Double FLTMargin, _
String FLTIndexKey, _
Double Strike, _
String YCKey, _
String IRVolCurve)


Excel Spreadsheet Syntax 


=CT.MKT.CapFloor(
Excel String Cell OptionType,
Excel Numeric Cell Notional,
Excel Numeric Cell startDate,
Excel Numeric Cell matDate,
Excel String Cell FLTDayCount,
Excel Numeric Cell FLTMargin,
Excel String Cell FLTIndexKey,
Excel Numeric Cell Strike,
Excel String Cell YCKey,
Excel String Cell IRVolCurve)


C++ Syntax 


static double MKTCapFloor(
std::string OptionType,
double Notional,
long startDate,
long matDate,
DayCountEnum FLTDayCount,
double FLTMargin,
std::string FLTIndexKey,
double Strike,
std::string YCKey,
std::string IRVolCurve);


DotNET Syntax 


System.Double CTQryCurvesSA.MKTCapFloor(
System.String OptionType,
System.Double Notional,
System.Int32 startDate,
System.Int32 matDate,
CTIEnums.DayCountEnum FLTDayCount,
System.Double FLTMargin,
System.String FLTIndexKey,
System.Double Strike,
System.String YCKey,
System.String IRVolCurve);

Parameter data types

ArgNameArgTypeIsKey
OptionTypeStringFALSE
NotionalDoubleFALSE
startDateLongFALSE
matDateLongFALSE
FLTDayCountDayCountEnumFALSE
FLTMarginDoubleFALSE
FLTIndexKeyStringTRUE
StrikeDoubleFALSE
YCKeyStringTRUE
IRVolCurveStringTRUE

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
NotionalFALSE50000000
startDateFALSE21/Jul/2006 (serial date type)
matDateFALSE21/Jul/2011 (serial date type)
FLTDayCountFALSEACT365F
FLTMarginFALSE0.0000
FLTIndexKeyFALSEFLTIndexKeyNAME.EXTTAG.TICKER (from a function call)
StrikeFALSE0.045
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)
IRVolCurveFALSEIRVolCurveNAME.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.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 MKTCapFloor() 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 MKTCapFloor() function call


2736522.74306149

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