DisplayVCHedgeSens2 Example JS

J# 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.

// ##################################################################################

import 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.

import 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 = 0;

// 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();

String szTickedKeyName;

public CTRangeData JS_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;

}

catch(System.ApplicationException e)

{

szErrorMsg = e.get_Message();

}

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

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;

}