Given a Discounting YieldCurve, this function will display the market basis-point-sensitivity (BPS) matrix on each of the ('UnderlyingStart' / 'UnderlyingLength') instrument combination (for a unit notional of the underlying deposits/swaps).

You must provide the actual Underlying-Start and Underlying-Length tenor arrays.

If the Fixing curve and the discounting curves are the same, enter the same key for both parameters.

This function requires the input of YieldCurve object keys, 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.

(You cannot use the DiscountCurve(), ForwardCurve(), ZeroCurve() or FlatYieldCurve() functions as these do not contain enough information for pricing.).

For the discounting yieldcurve, these additional 3 functions can also be used : DiscountCurve2(), ForwardCurve2() or ZeroCurve2(). These functions would have returned a string 'KEY' which is to be passed to the 'FixingYC' and 'DiscountYC' parameters of this function.

Variant CTQryCurves.QuickBPSMatrix( _
String DiscountYC, _
Variant UndStart, _
Variant UndLength)

=CT.RSK.QuickBPSMatrix(
Excel String Cell DiscountYC,
XLRange UndStart,
XLRange UndLength)

static CTRangeDataCPP QuickBPSMatrix(
std::string DiscountYC,
CTRangeDataCPP UndStart,
CTRangeDataCPP UndLength);

CTRangeData CTQryCurvesSA.QuickBPSMatrix(
System.String DiscountYC,
CTRangeData UndStart,
CTRangeData UndLength);

CTQL.CTRangeData QuickBPSMatrix_UndStart;


string[] arrBQuickBPSMatrix_UndStart = {
"3M",
"6M",
"1Y",
"2Y",
"3Y",
"5Y",
"7Y",
"10Y"  //  Array Data

};

CTQL.StringVector arrQuickBPSMatrix_UndStart =
new  CTQL.StringVector(arrBQuickBPSMatrix_UndStart);

// Second parameter determines whether the array is a column array (false) or a row array (true)
QuickBPSMatrix_UndStart = new  CTQL.CTRangeData(arrQuickBPSMatrix_UndStart, false);

CTQL.CTRangeData QuickBPSMatrix_UndLength;


string[] arrBQuickBPSMatrix_UndLength = {
"3M",
"6M",
"1Y",
"2Y",
"3Y",
"5Y",
"7Y",
"10Y",
"15Y",
"20Y"  //  Array Data

};

CTQL.StringVector arrQuickBPSMatrix_UndLength =
new  CTQL.StringVector(arrBQuickBPSMatrix_UndLength);

// Second parameter determines whether the array is a column array (false) or a row array (true)
QuickBPSMatrix_UndLength = new  CTQL.CTRangeData(arrQuickBPSMatrix_UndLength, false);

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.