DisplayYCHedgeSens




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Given an already created yieldcurve type risk report object (ReadYCRiskReport(), CreateDeltaReport() or CreateGammaReport()), displays the sensitivity matrix (delta) of each on the hedge instruments (for a unit notional) from the YieldCurve.

The hedge instruments will be those from the YieldCurve.



Note: Within Excel, the function is named - CT.RSK.DisplayYCHedgeSens


High level graphic of DisplayYCHedgeSens() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key to an already created yieldcurve type risk report object (ReadYCRiskReport(), CreateDeltaReport() or CreateGammaReport()).


Extended information

Function Syntax

VB Syntax 


Variant CTQryIRRisk.DisplayYCHedgeSens( _
String Key)


Excel Spreadsheet Syntax 


=CT.RSK.DisplayYCHedgeSens(
Excel String Cell Key)


C++ Syntax 


static CTRangeDataCPP DisplayYCHedgeSens(
std::string Key);


DotNET Syntax 


CTRangeData CTQryIRRiskSA.DisplayYCHedgeSens(
System.String Key);

Parameter data types

ArgNameArgTypeIsKey
KeyStringTRUE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEKeyNAME.EXTTAG.TICKER (from a function call)


Example function usage


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.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.IRRisk20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the DisplayYCHedgeSens() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

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





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




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the DisplayYCHedgeSens() function call


Example
7D0.0191616
14D0.0382976
1M0.0873864
3M0.249678
6M0.499564
9M0.728131
12M0.95859
2Y1.9
5Y4.42233
10Y7.87579
15Y10.4623
20Y12.3651
25Y13.7693
30Y14.7797
35Y15.4821
40Y15.9446



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