DisplayVCHedgeSens2 Example CPPNET

C++.NET 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 <mscorlib.dll>

// If you add a reference via the Visual Studio project,

// then the following line is not needed.

#using <QuantToolsNET.v2.dll>

using namespace System;

// 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();

public: CTRangeData* CPPNET_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)

{

// Create example range for parameter DisplayVCHedgeSens2_OptMaturities

CTQL::CTRangeData* DisplayVCHedgeSens2_OptMaturities;

String* arrBDisplayVCHedgeSens2_OptMaturities[] = {

S"3M",

S"6M",

S"1Y",

S"2Y",

S"3Y",

S"5Y",

S"7Y",

S"10Y" // Array Data

};

CTQL::StringVector* arrDisplayVCHedgeSens2_OptMaturities =

new CTQL::StringVector(__try_cast<Array*>(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[] = {

S"3M",

S"6M",

S"1Y",

S"2Y",

S"3Y",

S"5Y",

S"7Y",

S"10Y",

S"15Y",

S"20Y" // Array Data

};

CTQL::StringVector* arrDisplayVCHedgeSens2_UndMaturities =

new CTQL::StringVector(__try_cast<Array*>(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 = __try_cast<CTRangeData*>(CTQL::CTQryIRRiskSA->DisplayVCHedgeSens2(

MyMiniYC,

MyDiscountCurve2,

MySABRVolCurve,

DisplayVCHedgeSens2_OptMaturities,

DisplayVCHedgeSens2_UndMaturities));

_nRows = rDisplayVCHedgeSens2->GetRows();

_nCols = rDisplayVCHedgeSens2->GetCols();

szRangeDescription = rDisplayVCHedgeSens2->ToMatrixString();

return rDisplayVCHedgeSens2;

}