Given a Fixing YieldCurve, Discounting YieldCurve and a VolCurve, this function will display the sensitivity matrix (vega) on each of the ('option maturity' / 'Option Strike') hedge instrument combination (for a unit notional) on a single underlying Tenor.

You must provide the actual Option maturity and option strike arrays.

You also provide a single tenor to represent the underlying instrument that the sensitivities will be computed upon.

This underlying instrument represents the underlying contract of the caplet/Swaption trade that will be created in order to compute the vega.

If the Fixing curve and the discounting curves are the same, enter the same key for both parameters.

This function requires the input of YieldCurve object keys, which must have been produced via a call to one of the YieldCurve (CapeTools Curves, CapeTools XCCY Curves or CapeTools Bond Curves) or Credit Default Curves (CapeTools Credit Curves) category of functions.

(For the FixingYC, you cannot use the DiscountCurve(), ForwardCurve(), ZeroCurve(), DiscountCurve2(), ForwardCurve2(), ZeroCurve2() or FlatYieldCurve() functions as these do not contain enough information for hedging.).

For the discounting yieldcurve, these additional 3 functions can also be used : DiscountCurve2(), ForwardCurve2() or ZeroCurve2(). These functions would have returned a string 'KEY' which is to be passed to the 'FixingYC' and 'DiscountYC' parameters of this function.

This function requires the input of a VolCurve object key, which must have been produced via a call to one of the following functions : ATMVolMatrix(), ExpiryKVolMatrix() or SABRVolCurve(). These functions would have returned a string 'KEY' which is to be passed to the 'VCKey' parameter of this function.

Variant CTQryIRRisk.DisplayVCHedgeSens3( _
String FixingYC, _
String DiscountYC, _
String VCKey, _
String UndTenor, _
Variant OptMaturities, _
Variant OptStrikes)

=CT.RSK.DisplayVCHedgeSens3(
Excel String Cell FixingYC,
Excel String Cell DiscountYC,
Excel String Cell VCKey,
Excel String Cell UndTenor,
XLRange OptMaturities,
XLRange OptStrikes)

static CTRangeDataCPP DisplayVCHedgeSens3(
std::string FixingYC,
std::string DiscountYC,
std::string VCKey,
std::string UndTenor,
CTRangeDataCPP OptMaturities,
CTRangeDataCPP OptStrikes);

CTRangeData CTQryIRRiskSA.DisplayVCHedgeSens3(
System.String FixingYC,
System.String DiscountYC,
System.String VCKey,
System.String UndTenor,
CTRangeData OptMaturities,
CTRangeData OptStrikes);

CTQL.CTRangeData DisplayVCHedgeSens3_OptMaturities;


string[] arrBDisplayVCHedgeSens3_OptMaturities = {
"3M",
"6M",
"1Y",
"2Y",
"3Y",
"5Y",
"7Y",
"10Y"  //  Array Data

};

CTQL.StringVector arrDisplayVCHedgeSens3_OptMaturities =
new  CTQL.StringVector(arrBDisplayVCHedgeSens3_OptMaturities);

// Second parameter determines whether the array is a column array (false) or a row array (true)
DisplayVCHedgeSens3_OptMaturities = new  CTQL.CTRangeData(arrDisplayVCHedgeSens3_OptMaturities, false);

CTQL.CTRangeData DisplayVCHedgeSens3_OptStrikes;


double[] arrBDisplayVCHedgeSens3_OptStrikes = {
2.0,
2.5,
3.0,
3.5,
4.0,
4.5,
5.0,
5.5,
6.0,
6.5  //  Array Data

};

CTQL.DoubleVector arrDisplayVCHedgeSens3_OptStrikes =
new  CTQL.DoubleVector(arrBDisplayVCHedgeSens3_OptStrikes);

// Second parameter determines whether the array is a column array (false) or a row array (true)
DisplayVCHedgeSens3_OptStrikes = new  CTQL.CTRangeData(arrDisplayVCHedgeSens3_OptStrikes, false);

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.