DisplayVCHedgeSens2 Example CS




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DisplayVCHedgeSens2 function

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Example C# Driver function. Preparing the parameters, sub-function calls and the final function call (the result).

High level view of the code structure (resulting in the final function call to DisplayVCHedgeSens2() )

These are the financial QuantTools function calls that are used within the examples :





The objects generated by these functions are inter-connected in the following way :



C# Example - DisplayVCHedgeSens2





    //     ##################################################################################
    //     The first function here DisplayVCHedgeSens2(), contains a series of
    //     function calls leading upto the main function call, the second function
    //     within this file ( DisplayVCHedgeSens2Part() ).
    //     which contains the answer that we are looking for.

    //     The first function here is simply an example of how to construct the parameters 
    //     in order acquire either a string Key (that is to be passed to other functions) 
    //     or a computed result.

    //     If you are viewing this source code from the chm or web help file you can use the
    //     outlining features to collapse certain sections of the code for better readability. 
    //     ##################################################################################
    

using System;

// Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)
// and using the reduced version (in the case of declaring enumerations).
// This is just to demostrate both types of coding.

using CTQL; // You need to add a reference to the QuantToolsNET.v2.dll also

// Some global parameter in order to append to user defined keys.
// We use it here to ensure that we have unique Keys (in the case several of our examples
// use the same key-name)
// In normal use, a user defined string will be used and so this variable will be pointless.
static int nCTQryIRRiskGlobal;
    
// Used by function parameters that take an optional range value. 
// In Excel we simply omit the value, within the API functions, 
// we pass an empty range object
static CTQL.CTRangeData oEmptyRange = new CTQL.CTRangeData();
    
public CTRangeData CS_EX_DisplayVCHedgeSens2()
{
    nCTQryIRRiskGlobal += 1;
            
    string szErrorMsg = "";

    try
    {


    //    Creates a centralized valuation date object.
    

    string MyValuationDate;
    MyValuationDate = 
        ValueDateObjPart();
    
    


    //    UK date calendar used within the UK stock exchange.
    

    string MyCALUKExchange;
    MyCALUKExchange = 
        CALUKExchangePart();
    
    


    //    EURO calendar used for holiday adjustments.
    

    string MyEuroCal;
    MyEuroCal = 
        CALEUROPart();
    
    


    //    Creates a Deposit template which is almost identical to a Libor 
    //    Index, but without the YieldCurve information.
    
    string MyDepoTPL;
    MyDepoTPL = 
        CreateDepoTemplatePart(
        MyCALUKExchange,
        MyEuroCal);
    
    


    //    Creates a Swap template which is almost identical to the definition 
    //    of the parameters of a swap contract, but without the swap duration, 
    //    buysell, and YieldCurve information.
    
    string MySwapTPL;
    MySwapTPL = 
        CreateSwapTemplatePart(
        MyEuroCal,
        MyDepoTPL);
    
    


    //    Creates a yield curve using market rates (No cross-currency 
    //    Swaps).
    
    string MyMiniYC;
    MyMiniYC = 
        MKTYC_D__3Part(
        MyValuationDate,
        MyDepoTPL,
        MySwapTPL);
    
    


    //    Creates a discount curve from Tenors (or Dates) and discount 
    //    factor inputs.
    
    string MyDiscountCurve2;
    MyDiscountCurve2 = 
        DiscountCurve2Part(
        MyValuationDate,
        MyDepoTPL,
        MySwapTPL);
    
    


    //    Creates a SABR curve to model the dynamics of the volatility 
    //    curve (smile).
    
    string MySABRVolCurve;
    MySABRVolCurve = 
        SABRVolCurvePart(
        MyValuationDate,
        MyDepoTPL,
        MySwapTPL);
    
    


    //    Given a Fixing YieldCurve, Discounting YieldCurve and a VolCurve, 
    //    this function will display the sensitivity matrix (vega) on 
    //    each of the ('option maturity' / 'option underlying') hedge 
    //    instrument combination (for a unit notional).
    
    CTRangeData resDisplayVCHedgeSens2;
    resDisplayVCHedgeSens2 = 
        DisplayVCHedgeSens2Part(
        MyMiniYC,
        MyDiscountCurve2,
        MySABRVolCurve);
    
    // This is the result we are looking for.
    return resDisplayVCHedgeSens2;
    

    }
    catch(Exception e)
    {
        szErrorMsg = e.Message;
        throw e;
    }
                        
}                
        


// ///////////////////////////////////////////////////////////////////

private CTRangeData DisplayVCHedgeSens2Part(
    string MyMiniYC,
    string MyDiscountCurve2,
    string MySABRVolCurve)
{
    // Used by functions returning a range value. Via the szRangeDescription variable, you can inspect the results
    int _nRows, _nCols;
    string szRangeDescription;

        //  Create example range for parameter DisplayVCHedgeSens2_OptMaturities
        CTQL.CTRangeData DisplayVCHedgeSens2_OptMaturities;    
        

        string[] arrBDisplayVCHedgeSens2_OptMaturities = { 
            "3M", 
            "6M", 
            "1Y", 
            "2Y", 
            "3Y", 
            "5Y", 
            "7Y", 
            "10Y"  //  Array Data
        
        };
        
        CTQL.StringVector arrDisplayVCHedgeSens2_OptMaturities = 
            new  CTQL.StringVector(arrBDisplayVCHedgeSens2_OptMaturities);
    
        // Second parameter determines whether the array is a column array (false) or a row array (true)
        DisplayVCHedgeSens2_OptMaturities = new  CTQL.CTRangeData(arrDisplayVCHedgeSens2_OptMaturities, false);
            
        //  Create example range for parameter DisplayVCHedgeSens2_UndMaturities
        CTQL.CTRangeData DisplayVCHedgeSens2_UndMaturities;    
        

        string[] arrBDisplayVCHedgeSens2_UndMaturities = { 
            "3M", 
            "6M", 
            "1Y", 
            "2Y", 
            "3Y", 
            "5Y", 
            "7Y", 
            "10Y", 
            "15Y", 
            "20Y"  //  Array Data
        
        };
        
        CTQL.StringVector arrDisplayVCHedgeSens2_UndMaturities = 
            new  CTQL.StringVector(arrBDisplayVCHedgeSens2_UndMaturities);
    
        // Second parameter determines whether the array is a column array (false) or a row array (true)
        DisplayVCHedgeSens2_UndMaturities = new  CTQL.CTRangeData(arrDisplayVCHedgeSens2_UndMaturities, false);
            


                    
    //  Excel function call would be this - "CT.RSK.DisplayVCHedgeSens2()"

    //    Given a Fixing YieldCurve, Discounting YieldCurve and a VolCurve, 
    //    this function will display the sensitivity matrix (vega) on 
    //    each of the ('option maturity' / 'option underlying') hedge 
    //    instrument combination (for a unit notional).
        CTRangeData rDisplayVCHedgeSens2;
                                        
        rDisplayVCHedgeSens2 = (CTRangeData)CTQL.CTQryIRRiskSA.DisplayVCHedgeSens2(
                MyMiniYC,
                MyDiscountCurve2,
                MySABRVolCurve,
                DisplayVCHedgeSens2_OptMaturities,
                DisplayVCHedgeSens2_UndMaturities);

        _nRows = rDisplayVCHedgeSens2.GetRows();
        _nCols = rDisplayVCHedgeSens2.GetCols();
        szRangeDescription = rDisplayVCHedgeSens2.ToMatrixString();



    return rDisplayVCHedgeSens2;
}        



// ///////////////////////////////////////////////////////////////////

private string MKTYC_D__3Part(
    string MyValuationDate,
    string MyDepoTPL,
    string MySwapTPL)
{

        //  Create example range for parameter MKTYC_D__3_oTenorsRates
        CTQL.CTRangeData MKTYC_D__3_oTenorsRates = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder MKTYC_D__3_oTenorsRates_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        MKTYC_D__3_oTenorsRates_builder.Append("{");
        MKTYC_D__3_oTenorsRates_builder.Append("'7D'     | 3.48     | True ;");
        MKTYC_D__3_oTenorsRates_builder.Append("'14D'     | 3.49     | True ;");
        MKTYC_D__3_oTenorsRates_builder.Append("'1M'     | 3.5     | True ;");
        MKTYC_D__3_oTenorsRates_builder.Append("'3M'     | 3.7     | True ;");
        MKTYC_D__3_oTenorsRates_builder.Append("'6M'     | 3.9     | True");
        MKTYC_D__3_oTenorsRates_builder.Append("}");
        
        MKTYC_D__3_oTenorsRates.RangeFromStr
        (
            MKTYC_D__3_oTenorsRates_builder.ToString()
        );
                     
        //  Create example range for parameter MKTYC_D__3_oRange2
        CTQL.CTRangeData MKTYC_D__3_oRange2 = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder MKTYC_D__3_oRange2_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        MKTYC_D__3_oRange2_builder.Append("{");
        MKTYC_D__3_oRange2_builder.Append("'9M'     | 4.1     | True ;");
        MKTYC_D__3_oRange2_builder.Append("'12M'     | 4.3     | True");
        MKTYC_D__3_oRange2_builder.Append("}");
        
        MKTYC_D__3_oRange2.RangeFromStr
        (
            MKTYC_D__3_oRange2_builder.ToString()
        );
                     
        //  Create example range for parameter MKTYC_D__3_oRange3
        CTQL.CTRangeData MKTYC_D__3_oRange3 = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder MKTYC_D__3_oRange3_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        MKTYC_D__3_oRange3_builder.Append("{");
        MKTYC_D__3_oRange3_builder.Append("'2Y'     | 4.5     | True ;");
        MKTYC_D__3_oRange3_builder.Append("'5Y'     | 4.7     | True ;");
        MKTYC_D__3_oRange3_builder.Append("'10Y'     | 4.9     | True");
        MKTYC_D__3_oRange3_builder.Append("}");
        
        MKTYC_D__3_oRange3.RangeFromStr
        (
            MKTYC_D__3_oRange3_builder.ToString()
        );
                     
        //  Create example range for parameter MKTYC_D__3_oRange4
        CTQL.CTRangeData MKTYC_D__3_oRange4 = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder MKTYC_D__3_oRange4_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        MKTYC_D__3_oRange4_builder.Append("{");
        MKTYC_D__3_oRange4_builder.Append("'15Y'     | 5.3     | True ;");
        MKTYC_D__3_oRange4_builder.Append("'20Y'     | 5.4     | True ;");
        MKTYC_D__3_oRange4_builder.Append("'25Y'     | 5.5     | True ;");
        MKTYC_D__3_oRange4_builder.Append("'30Y'     | 5.6     | True ;");
        MKTYC_D__3_oRange4_builder.Append("'35Y'     | 5.7     | True ;");
        MKTYC_D__3_oRange4_builder.Append("'40Y'     | 5.8     | True");
        MKTYC_D__3_oRange4_builder.Append("}");
        
        MKTYC_D__3_oRange4.RangeFromStr
        (
            MKTYC_D__3_oRange4_builder.ToString()
        );
                     


    //    Key value to use as a handle for the created object
        string MyMiniYC = "MyMiniYC" + "_" + System.Convert.ToString(nCTQryIRRiskGlobal);

    //    When creating this object for the first time, set this parameter 
    //    to a positive value.
        int Reload = 1;

    //    A tag used to identify this curve (case insensitive) if placed 
    //    within a Yieldcurve collection ( via the GroupedCurves() function 
    //    ).
        string CurveName = "MyMiniYC";

    //    Interpolation methodology to utilise when interpolating for 
    //    discount factors.
        CTIEnums.InterpEnum InterpMethod = CTIEnums.InterpEnum.Interp_LOGLINEAR;

    //    An optional flat spread value that will be added to all tenors.
        double Spread = 0.000;

    //    DayCounter for converting dates into year fractions.
        CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

    //    If a cash (deposit) tenor's end date is after the earliest futures 
    //    expiry date within the curve, do we discard the cash tenor (false) 
    //    or keep it (true).
        bool DepoOvrWrtFuts = false;

    //    If a futures tenor's end date is after the earliest swap tenor's 
    //    end date within the curve, do we discard the futures tenor (false) 
    //    or keep it (true).
        bool FutsOvrWrtSwps = true;

    //    Whether the yieldCurve data should be extrapolated if a calculation 
    //    request that uses a date that is beyond the end date of the 
    //    yieldCurve (ie - a request for a 40 year discount factor, but 
    //    the curve is only built up to 30 years.) If false an error will 
    //    be returned.
        bool Extrapolate = true;

                    
    //  Excel function call would be this - "CT.CRV.MKTYC_D()"

    //    Creates a yield curve using market rates (No cross-currency 
    //    Swaps).
        string rMKTYC_D__3;
                                        
        rMKTYC_D__3 = CTQL.CTCurvesSA.MKTYC_D(
                MyMiniYC,
                Reload,
                CurveName,
                MyValuationDate,
                MKTYC_D__3_oTenorsRates,
                MKTYC_D__3_oRange2,
                MKTYC_D__3_oRange3,
                MKTYC_D__3_oRange4,
                InterpMethod,
                Spread,
                DayCount,
                DepoOvrWrtFuts,
                FutsOvrWrtSwps,
                MyDepoTPL,
                MySwapTPL,
                Extrapolate);


    return rMKTYC_D__3;
}        



// ///////////////////////////////////////////////////////////////////

private string DiscountCurve2Part(
    string MyValuationDate,
    string MyDepoTPL,
    string MySwapTPL)
{

        //  Create example range for parameter DiscountCurve2_oTenorsVals
        CTQL.CTRangeData DiscountCurve2_oTenorsVals = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder DiscountCurve2_oTenorsVals_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        DiscountCurve2_oTenorsVals_builder.Append("{");
        DiscountCurve2_oTenorsVals_builder.Append("#19/Jul/2005#     | 1     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'1M'     | 0.99449     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'2M'     | 0.98532     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'3M'     | 0.97837     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'4M'     | 0.97256     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'5M'     | 0.96531     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'6M'     | 0.95551     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'7M'     | 0.94676     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'8M'     | 0.94119     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'9M'     | 0.93245     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'10M'     | 0.92318     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'2Y'     | 0.90358     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'3Y'     | 0.89645     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'4Y'     | 0.88086     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'5Y'     | 0.86642     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'6Y'     | 0.85052     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'7Y'     | 0.83706     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'8Y'     | 0.82289     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'9Y'     | 0.81462     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'10Y'     | 0.79767     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'11Y'     | 0.78375     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'12Y'     | 0.76553     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'13Y'     | 0.75642     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'14Y'     | 0.73867     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'15Y'     | 0.72086     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'16Y'     | 0.70395     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'17Y'     | 0.6927     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'18Y'     | 0.67272     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'19Y'     | 0.65829     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'20Y'     | 0.65091     | True ;");
        DiscountCurve2_oTenorsVals_builder.Append("'21Y'     | 0.63988     | True");
        DiscountCurve2_oTenorsVals_builder.Append("}");
        
        DiscountCurve2_oTenorsVals.RangeFromStr
        (
            DiscountCurve2_oTenorsVals_builder.ToString()
        );
                     


    //    Key value to use as a handle for the created object
        string MyDiscountCurve2 = "MyDiscountCurve2" + "_" + System.Convert.ToString(nCTQryIRRiskGlobal);

    //    When creating this object for the first time, set this parameter 
    //    to a positive value.
        int Reload = 1;

    //    A tag used to identify this curve (case insensitive) if placed 
    //    within a Yieldcurve collection ( via the GroupedCurves() function 
    //    ).
        string CurveName = "MyDiscountCurve";

    //    DayCounter for converting dates into year fractions.
        CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

    //    Whether the yieldCurve data should be extrapolated if a calculation 
    //    request that uses a date that is beyond the end date of the 
    //    yieldCurve (ie - a request for a 40 year discount factor, but 
    //    the curve is only built up to 30 years.) If false an error will 
    //    be returned.
        bool Extrapolate = true;

                    
    //  Excel function call would be this - "CT.CRV.DiscountCurve2()"

    //    Creates a discount curve from Tenors (or Dates) and discount 
    //    factor inputs.
        string rDiscountCurve2;
                                        
        rDiscountCurve2 = CTQL.CTCurvesSA.DiscountCurve2(
                MyDiscountCurve2,
                Reload,
                CurveName,
                MyValuationDate,
                DiscountCurve2_oTenorsVals,
                DayCount,
                MyDepoTPL,
                MySwapTPL,
                Extrapolate);


    return rDiscountCurve2;
}        



// ///////////////////////////////////////////////////////////////////

private string SABRVolCurvePart(
    string MyValuationDate,
    string MyDepoTPL,
    string MySwapTPL)
{

        //  Create example range for parameter SABRVolCurve_ATMRange
        CTQL.CTRangeData SABRVolCurve_ATMRange = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder SABRVolCurve_ATMRange_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        SABRVolCurve_ATMRange_builder.Append("{");
        SABRVolCurve_ATMRange_builder.Append("'Opt\\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;");
        SABRVolCurve_ATMRange_builder.Append("'3M'     | 18     | 18.01     | 18.02     | 18.02     | 18.03     | 18.04     | 18.05     | 18.06     | 18.07     | 18.07     | 18.08     | 18.09 ;");
        SABRVolCurve_ATMRange_builder.Append("'6M'     | 18.1     | 18.11     | 18.12     | 18.12     | 18.13     | 18.14     | 18.15     | 18.16     | 18.17     | 18.17     | 18.18     | 18.19 ;");
        SABRVolCurve_ATMRange_builder.Append("'9M'     | 18.19     | 18.2     | 18.21     | 18.22     | 18.22     | 18.23     | 18.24     | 18.25     | 18.26     | 18.26     | 18.27     | 18.28 ;");
        SABRVolCurve_ATMRange_builder.Append("'12M'     | 18.29     | 18.29     | 18.3     | 18.31     | 18.32     | 18.32     | 18.33     | 18.34     | 18.34     | 18.35     | 18.36     | 18.37 ;");
        SABRVolCurve_ATMRange_builder.Append("'2Y'     | 18.37     | 18.38     | 18.39     | 18.4     | 18.41     | 18.42     | 18.42     | 18.43     | 18.44     | 18.44     | 18.45     | 18.46 ;");
        SABRVolCurve_ATMRange_builder.Append("'4Y'     | 18.46     | 18.47     | 18.48     | 18.48     | 18.49     | 18.5     | 18.5     | 18.51     | 18.52     | 18.53     | 18.53     | 18.54 ;");
        SABRVolCurve_ATMRange_builder.Append("'6Y'     | 18.55     | 18.55     | 18.56     | 18.57     | 18.57     | 18.58     | 18.59     | 18.6     | 18.6     | 18.61     | 18.62     | 18.62 ;");
        SABRVolCurve_ATMRange_builder.Append("'8Y'     | 18.63     | 18.64     | 18.64     | 18.65     | 18.66     | 18.66     | 18.67     | 18.68     | 18.69     | 18.69     | 18.7     | 18.71 ;");
        SABRVolCurve_ATMRange_builder.Append("'10Y'     | 18.71     | 18.72     | 18.73     | 18.74     | 18.75     | 18.75     | 18.76     | 18.77     | 18.78     | 18.79     | 18.79     | 18.8 ;");
        SABRVolCurve_ATMRange_builder.Append("'12Y'     | 18.81     | 18.81     | 18.82     | 18.83     | 18.84     | 18.84     | 18.85     | 18.86     | 18.87     | 18.87     | 18.88     | 18.88 ;");
        SABRVolCurve_ATMRange_builder.Append("'14Y'     | 18.89     | 18.9     | 18.91     | 18.92     | 18.92     | 18.93     | 18.94     | 18.95     | 18.96     | 18.96     | 18.97     | 18.98 ;");
        SABRVolCurve_ATMRange_builder.Append("'16Y'     | 18.99     | 18.99     | 19     | 19.01     | 19.02     | 19.03     | 19.04     | 19.05     | 19.05     | 19.06     | 19.07     | 19.07 ;");
        SABRVolCurve_ATMRange_builder.Append("'18Y'     | 19.08     | 19.08     | 19.09     | 19.1     | 19.11     | 19.11     | 19.12     | 19.13     | 19.13     | 19.14     | 19.15     | 19.16 ;");
        SABRVolCurve_ATMRange_builder.Append("'20Y'     | 19.16     | 19.17     | 19.18     | 19.18     | 19.19     | 19.2     | 19.21     | 19.21     | 19.22     | 19.22     | 19.23     | 19.24 ;");
        SABRVolCurve_ATMRange_builder.Append("'22Y'     | 19.25     | 19.26     | 19.26     | 19.27     | 19.28     | 19.29     | 19.29     | 19.3     | 19.31     | 19.32     | 19.32     | 19.33");
        SABRVolCurve_ATMRange_builder.Append("}");
        
        SABRVolCurve_ATMRange.RangeFromStr
        (
            SABRVolCurve_ATMRange_builder.ToString()
        );
                     
        //  Create example range for parameter SABRVolCurve_ALPHARange
        CTQL.CTRangeData SABRVolCurve_ALPHARange = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder SABRVolCurve_ALPHARange_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        SABRVolCurve_ALPHARange_builder.Append("{");
        SABRVolCurve_ALPHARange_builder.Append("'Opt\\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;");
        SABRVolCurve_ALPHARange_builder.Append("'3M'     | 0.4     | 0.4     | 0.4     | 0.4     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.42 ;");
        SABRVolCurve_ALPHARange_builder.Append("'6M'     | 0.42     | 0.42     | 0.42     | 0.42     | 0.42     | 0.42     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43 ;");
        SABRVolCurve_ALPHARange_builder.Append("'9M'     | 0.43     | 0.44     | 0.44     | 0.44     | 0.44     | 0.44     | 0.44     | 0.45     | 0.45     | 0.45     | 0.45     | 0.45 ;");
        SABRVolCurve_ALPHARange_builder.Append("'12M'     | 0.45     | 0.45     | 0.46     | 0.46     | 0.46     | 0.46     | 0.46     | 0.46     | 0.46     | 0.47     | 0.47     | 0.47 ;");
        SABRVolCurve_ALPHARange_builder.Append("'2Y'     | 0.47     | 0.47     | 0.47     | 0.47     | 0.48     | 0.48     | 0.48     | 0.48     | 0.48     | 0.48     | 0.49     | 0.49 ;");
        SABRVolCurve_ALPHARange_builder.Append("'4Y'     | 0.49     | 0.49     | 0.49     | 0.49     | 0.49     | 0.49     | 0.5     | 0.5     | 0.5     | 0.5     | 0.5     | 0.5 ;");
        SABRVolCurve_ALPHARange_builder.Append("'6Y'     | 0.51     | 0.51     | 0.51     | 0.51     | 0.51     | 0.51     | 0.52     | 0.52     | 0.52     | 0.52     | 0.52     | 0.52 ;");
        SABRVolCurve_ALPHARange_builder.Append("'8Y'     | 0.52     | 0.53     | 0.53     | 0.53     | 0.53     | 0.53     | 0.53     | 0.53     | 0.54     | 0.54     | 0.54     | 0.54 ;");
        SABRVolCurve_ALPHARange_builder.Append("'10Y'     | 0.54     | 0.54     | 0.54     | 0.55     | 0.55     | 0.55     | 0.55     | 0.55     | 0.55     | 0.55     | 0.56     | 0.56 ;");
        SABRVolCurve_ALPHARange_builder.Append("'12Y'     | 0.56     | 0.56     | 0.56     | 0.56     | 0.56     | 0.57     | 0.57     | 0.57     | 0.57     | 0.57     | 0.57     | 0.57 ;");
        SABRVolCurve_ALPHARange_builder.Append("'14Y'     | 0.57     | 0.58     | 0.58     | 0.58     | 0.58     | 0.58     | 0.58     | 0.58     | 0.59     | 0.59     | 0.59     | 0.59 ;");
        SABRVolCurve_ALPHARange_builder.Append("'16Y'     | 0.59     | 0.59     | 0.59     | 0.6     | 0.6     | 0.6     | 0.6     | 0.6     | 0.6     | 0.6     | 0.61     | 0.61 ;");
        SABRVolCurve_ALPHARange_builder.Append("'18Y'     | 0.61     | 0.61     | 0.61     | 0.61     | 0.61     | 0.62     | 0.62     | 0.62     | 0.62     | 0.62     | 0.62     | 0.62 ;");
        SABRVolCurve_ALPHARange_builder.Append("'20Y'     | 0.63     | 0.63     | 0.63     | 0.63     | 0.63     | 0.63     | 0.64     | 0.64     | 0.64     | 0.64     | 0.64     | 0.64 ;");
        SABRVolCurve_ALPHARange_builder.Append("'22Y'     | 0.65     | 0.65     | 0.65     | 0.65     | 0.65     | 0.65     | 0.65     | 0.65     | 0.66     | 0.66     | 0.66     | 0.66");
        SABRVolCurve_ALPHARange_builder.Append("}");
        
        SABRVolCurve_ALPHARange.RangeFromStr
        (
            SABRVolCurve_ALPHARange_builder.ToString()
        );
                     
        //  Create example range for parameter SABRVolCurve_BETARange
        CTQL.CTRangeData SABRVolCurve_BETARange = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder SABRVolCurve_BETARange_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        SABRVolCurve_BETARange_builder.Append("{");
        SABRVolCurve_BETARange_builder.Append("'Opt\\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;");
        SABRVolCurve_BETARange_builder.Append("'3M'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'6M'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'9M'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'12M'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'2Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'4Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'6Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'8Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'10Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'12Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'14Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'16Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'18Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'20Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;");
        SABRVolCurve_BETARange_builder.Append("'22Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7");
        SABRVolCurve_BETARange_builder.Append("}");
        
        SABRVolCurve_BETARange.RangeFromStr
        (
            SABRVolCurve_BETARange_builder.ToString()
        );
                     
        //  Create example range for parameter SABRVolCurve_RHORange
        CTQL.CTRangeData SABRVolCurve_RHORange = 
            new CTQL.CTRangeData();
             
        System.Text.StringBuilder SABRVolCurve_RHORange_builder = 
            new System.Text.StringBuilder(100);
                         
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        SABRVolCurve_RHORange_builder.Append("{");
        SABRVolCurve_RHORange_builder.Append("'Opt\\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;");
        SABRVolCurve_RHORange_builder.Append("'3M'     | 0.3     | 0.3     | 0.3     | 0.31     | 0.31     | 0.31     | 0.31     | 0.31     | 0.31     | 0.31     | 0.31     | 0.32 ;");
        SABRVolCurve_RHORange_builder.Append("'6M'     | 0.32     | 0.32     | 0.32     | 0.32     | 0.32     | 0.32     | 0.33     | 0.32     | 0.32     | 0.33     | 0.33     | 0.33 ;");
        SABRVolCurve_RHORange_builder.Append("'9M'     | 0.33     | 0.33     | 0.32     | 0.33     | 0.32     | 0.33     | 0.33     | 0.33     | 0.33     | 0.33     | 0.33     | 0.33 ;");
        SABRVolCurve_RHORange_builder.Append("'12M'     | 0.33     | 0.34     | 0.33     | 0.33     | 0.33     | 0.33     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34 ;");
        SABRVolCurve_RHORange_builder.Append("'2Y'     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.35     | 0.35 ;");
        SABRVolCurve_RHORange_builder.Append("'4Y'     | 0.35     | 0.35     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36 ;");
        SABRVolCurve_RHORange_builder.Append("'6Y'     | 0.37     | 0.36     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37 ;");
        SABRVolCurve_RHORange_builder.Append("'8Y'     | 0.38     | 0.38     | 0.38     | 0.37     | 0.37     | 0.37     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38 ;");
        SABRVolCurve_RHORange_builder.Append("'10Y'     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.37     | 0.38     | 0.37     | 0.38     | 0.38     | 0.38 ;");
        SABRVolCurve_RHORange_builder.Append("'12Y'     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.39     | 0.39     | 0.39     | 0.39 ;");
        SABRVolCurve_RHORange_builder.Append("'14Y'     | 0.39     | 0.39     | 0.39     | 0.39     | 0.39     | 0.39     | 0.4     | 0.39     | 0.39     | 0.39     | 0.4     | 0.4 ;");
        SABRVolCurve_RHORange_builder.Append("'16Y'     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.41     | 0.41 ;");
        SABRVolCurve_RHORange_builder.Append("'18Y'     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.42     | 0.42     | 0.41     | 0.42     | 0.42     | 0.42 ;");
        SABRVolCurve_RHORange_builder.Append("'20Y'     | 0.42     | 0.42     | 0.42     | 0.43     | 0.43     | 0.43     | 0.42     | 0.43     | 0.42     | 0.43     | 0.43     | 0.43 ;");
        SABRVolCurve_RHORange_builder.Append("'22Y'     | 0.42     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43");
        SABRVolCurve_RHORange_builder.Append("}");
        
        SABRVolCurve_RHORange.RangeFromStr
        (
            SABRVolCurve_RHORange_builder.ToString()
        );
                     


    //    Key value to use as a handle for the created object
        string MySABRVolCurve = "MySABRVolCurve" + "_" + System.Convert.ToString(nCTQryIRRiskGlobal);

    //    When creating this object for the first time, set this parameter 
    //    to a positive value.
        int Reload = 1;

    //    A tag used to identify this curve (case insensitive) if placed 
    //    within a Volatility curve collection ( via the GroupedVolCurves() 
    //    function ).
        string CurveName = "MySABRVolCurve";

    //    Number of days between the Exercise date of the options and 
    //    the STARTDATE of the instrument.
        int SettleDays = 2;

    //    Is the input volatility entered as a percentage value (true), 
    //    or the raw volatility value (false).
        bool DivideVolBy100 = true;

    //    DayCounter for converting dates into year fractions.
        CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_30360;

    //    Interpolation method to use when interpolating the curve for 
    //    vols, - LINEAR, LOGLINEAR, CUBIC.
        CTIEnums.InterpEnum InterpType = CTIEnums.InterpEnum.Interp_LINEAR;

                    
    //  Excel function call would be this - "CT.CRV.SABRVolCurve()"

    //    Creates a SABR curve to model the dynamics of the volatility 
    //    curve (smile).
        string rSABRVolCurve;
                                        
        rSABRVolCurve = CTQL.CTVolatiltyCurvesSA.SABRVolCurve(
                MySABRVolCurve,
                Reload,
                CurveName,
                MyValuationDate,
                SettleDays,
                SABRVolCurve_ATMRange,
                SABRVolCurve_ALPHARange,
                SABRVolCurve_BETARange,
                SABRVolCurve_RHORange,
                DivideVolBy100,
                MyDepoTPL,
                MySwapTPL,
                DayCount,
                InterpType);


    return rSABRVolCurve;
}        



// ///////////////////////////////////////////////////////////////////

private string ValueDateObjPart()
{



    //    Key value to use as a handle for the created object
        string MyValuationDate = "MyValuationDate" + "_" + System.Convert.ToString(nCTQryIRRiskGlobal);

    //    When