DisplayVCHedgeSens2 Example CPP

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.

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

#include <string>

#include <exception>

#include <sstream>

#include <iomanip>

// Point the "additional includes directory" within your editor to the following paths ( where <InstallFolder> is your installation folder)

// <InstallFolder>/Libs/Headers/ (For the library header files)

// <InstallFolder>/Libs/Client/ (For the client helper header and source files)

// The helper files are optional and you can include only those files needed for your functionality

// Each helper header/source file pair corresponds to a single QuantTools category of functions.

// Include QuantTools library header files

#include <QuantTools_all.hpp>

// Include Client Helper QuantTools header files

#include <QuantToolsClient_all.hpp>

// For Debug builds add a reference to the CTQuantToolsCPPAPI20D.lib

// For Release builds add a reference to the CTQuantToolsCPPAPI20.lib

// You add a reference via the ProjectProperties->Linker->Input menu item

// 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 long nCTQryIRRiskGlobal = 0;

// Used by parameters that take an optional range value.

// In Excel we simply omit the value, within the API functions,

// we pass an empty range object

CTRangeDataCPP oEmptyRange;

std::string szTickedKeyName;

std::ostringstream szTemp;

CTRangeData CPP_EX_DisplayVCHedgeSens2()

{

nCTQryIRRiskGlobal += 1;

std::string szErrorMsg = "";

try

{

// Creates a centralized valuation date object.

std::string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

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

std::string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

std::string MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates a Deposit template which is almost identical to a Libor

// Index, but without the YieldCurve information.

std::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.

std::string MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

// Creates a yield curve using market rates (No cross-currency

// Swaps).

std::string MyMiniYC;

MyMiniYC =

MKTYC_D__3Part(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a discount curve from Tenors (or Dates) and discount

// factor inputs.

std::string MyDiscountCurve2;

MyDiscountCurve2 =

DiscountCurve2Part(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a SABR curve to model the dynamics of the volatility

// curve (smile).

std::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(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

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

CTRangeData DisplayVCHedgeSens2Part(

std::string MyMiniYC,

std::string MyDiscountCurve2,

std::string MySABRVolCurve)

{

// Create example range for parameter DisplayVCHedgeSens2_OptMaturities

// Column vector of 8 rows (indexed from 0, highest index of 7)

CTRangeDataCPP DisplayVCHedgeSens2_OptMaturities(8, 1);

DisplayVCHedgeSens2_OptMaturities.SetValue(0, 0, "3M");

DisplayVCHedgeSens2_OptMaturities.SetValue(1, 0, "6M");

DisplayVCHedgeSens2_OptMaturities.SetValue(2, 0, "1Y");

DisplayVCHedgeSens2_OptMaturities.SetValue(3, 0, "2Y");

DisplayVCHedgeSens2_OptMaturities.SetValue(4, 0, "3Y");

DisplayVCHedgeSens2_OptMaturities.SetValue(5, 0, "5Y");

DisplayVCHedgeSens2_OptMaturities.SetValue(6, 0, "7Y");

DisplayVCHedgeSens2_OptMaturities.SetValue(7, 0, "10Y");

// Create example range for parameter DisplayVCHedgeSens2_UndMaturities

// Column vector of 10 rows (indexed from 0, highest index of 9)

CTRangeDataCPP DisplayVCHedgeSens2_UndMaturities(10, 1);

DisplayVCHedgeSens2_UndMaturities.SetValue(0, 0, "3M");

DisplayVCHedgeSens2_UndMaturities.SetValue(1, 0, "6M");

DisplayVCHedgeSens2_UndMaturities.SetValue(2, 0, "1Y");

DisplayVCHedgeSens2_UndMaturities.SetValue(3, 0, "2Y");

DisplayVCHedgeSens2_UndMaturities.SetValue(4, 0, "3Y");

DisplayVCHedgeSens2_UndMaturities.SetValue(5, 0, "5Y");

DisplayVCHedgeSens2_UndMaturities.SetValue(6, 0, "7Y");

DisplayVCHedgeSens2_UndMaturities.SetValue(7, 0, "10Y");

DisplayVCHedgeSens2_UndMaturities.SetValue(8, 0, "15Y");

DisplayVCHedgeSens2_UndMaturities.SetValue(9, 0, "20Y");

// 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 = CTQryIRRiskSA::DisplayVCHedgeSens2(

MyMiniYC,

MyDiscountCurve2,

MySABRVolCurve,

DisplayVCHedgeSens2_OptMaturities,

DisplayVCHedgeSens2_UndMaturities);

return rDisplayVCHedgeSens2;

}