DisplayVCHedgeSens

DisplayVCHedgeSens

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CapeTools Query IR Risk function list

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Given an already created volatility type risk report object (ReadVCRiskReport(), CreateSABRReport(), CreateVegaReport() or CreateVolgaReport()), displays the sensitivity matrix (vega) of each on the hedge instruments (for a unit notional) from the VolCurve.

The hedge instruments will either be caplets or Swaptions.

Note: Within Excel, the function is named - CT.RSK.DisplayVCHedgeSens

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

Parameter Description

Key parameter

Key to an already created volatility type risk report object (ReadVCRiskReport(), CreateSABRReport(), CreateVegaReport() or CreateVolgaReport()).

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
Key	String	TRUE

Example Inputs

ArgName	IsOptional (Excel only)	Example
Key	FALSE	KeyNAME.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.IRRisk20 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 DisplayVCHedgeSens() 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 :

CreateFXManager() ( CT.QL.Curves20 )
CALEURO() ( CT.QL.Curves20 )
CALUKExchange() ( CT.QL.Curves20 )
ValueDateObj() ( CT.QL.Utils20 )
MakeSchedule() ( CT.QL.Curves20 )
CreateDepoTemplate() ( CT.QL.Curves20 )
CreateSwapTemplate() ( CT.QL.Curves20 )
SABRVolCurve() ( CT.QL.Curves20 )
CreateAmortObj() ( CT.QL.Utils20 )
MKTYC_D() ( CT.QL.Curves20 )
CreateIndex() ( CT.QL.Curves20 )
CreateMKT() ( CT.QL.Curves20 )
CreateFloatLeg() ( CT.QL.IRLegs20 )
CreateAmortFloatLeg() ( CT.QL.IRLegs20 )
CreateFixedRateLeg() ( CT.QL.IRLegs20 )
CreateZCFloatLeg() ( CT.QL.IRLegs20 )
CreateAmortFixLeg() ( CT.QL.IRLegs20 )
CreateCapFLTLeg() ( CT.QL.IRLegs20 )
CreateStructure() ( CT.QL.IRLegs20 )
CreateVegaReport() ( CT.QL.IRRisk20 )
DisplayVCHedgeSens() ( CT.QL.IRRisk20 )

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 DisplayVCHedgeSens() function call

Example
OptMat/UndLength	3M	6M	9M	12M	2Y	4Y	6Y	8Y	10Y	12Y	14Y	16Y
3M	0.00199459	0.00410077	0.00636286	0.00861354	0.0173362	0.0337713	0.0492589	0.0635963	0.0769299	0.0914733	0.104177	0.11483
6M	0.0029702	0.00614552	0.00930005	0.012419	0.0245479	0.0474448	0.0690387	0.0889213	0.108044	0.12805	0.145672	0.160259
9M	0.00385073	0.00767688	0.0114577	0.0151148	0.0297532	0.0570742	0.0832992	0.107035	0.130514	0.154513	0.175531	0.192719
12M	0.00438294	0.00871413	0.0129036	0.017091	0.0337457	0.0646779	0.0945859	0.12141	0.148774	0.175861	0.199586	0.218768
2Y	0.00584472	0.0116187	0.0172645	0.0231228	0.0445407	0.0863065	0.125088	0.160185	0.199935	0.234779	0.264221	0.289138
4Y	0.00697639	0.0138739	0.0205276	0.027193	0.0547665	0.106046	0.152154	0.204993	0.251229	0.290222	0.323126	0.352415
6Y	0.00753576	0.0149914	0.0222791	0.0299582	0.0572659	0.108744	0.168464	0.220984	0.265066	0.302012	0.334292	0.365798
8Y	0.00698408	0.0138935	0.0205892	0.0272826	0.0528582	0.115179	0.169834	0.21564	0.254124	0.288199	0.321069	0.348616
10Y	0.00819633	0.0162899	0.0242075	0.0325422	0.0616595	0.115108	0.159942	0.197271	0.230471	0.26231	0.290796	0.316941
12Y	0.00670556	0.0133353	0.0197668	0.0261884	0.0504496	0.0921691	0.125437	0.155841	0.1856	0.211797	0.236064	0.258812
14Y	0.00525576	0.0103191	0.0153527	0.020658	0.0365552	0.0666116	0.0932491	0.119246	0.140227	0.161528	0.181431	0.198618
16Y	0.00328868	0.00656665	0.00977734	0.0127116	0.0243844	0.0459059	0.0674958	0.0865087	0.104342	0.11842	0.132719	0.147668
18Y	0.00220973	0.00441192	0.00658377	0.00893567	0.0162494	0.032692	0.047294	0.0610607	0.0740174	0.0853755	0.0973294	0.104338
20Y	0.00158916	0.00317838	0.00473294	0.00631877	0.0119834	0.0225305	0.0313223	0.0407411	0.0486838	0.0574646	0.0651201	0.0725875
22Y	0.000889014	0.00178234	0.00267016	0.00362948	0.00673758	0.0132857	0.0196648	0.0237842	0.0297358	0.0347834	0.0398986	0.0449134