ListYCRiskLegs Example CPP

C++ Example - ListYCRiskLegs

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

// The first function here ListYCRiskLegs(), contains a series of

// function calls leading upto the main function call, the second function

// within this file ( ListYCRiskLegsPart() ).

// 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_ListYCRiskLegs()

{

nCTQryIRRiskGlobal += 1;

std::string szErrorMsg = "";

try

{

// Loads a FX table from a range object into a Exchange Rate Manager

// object.

std::string MyFXManager;

MyFXManager =

CreateFXManagerPart();

// EURO calendar used for holiday adjustments.

std::string MyEuroCal;

MyEuroCal =

CALEUROPart();

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

std::string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// Creates a centralized valuation date object.

std::string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// Generates a schedule of start and end dates, given the initial

// start date and unadjusted final end dates.

std::string MySchedule;

MySchedule =

MakeSchedulePart(

MyEuroCal);

// 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 an amortisation object to be used within the amortisation

// fixed and floating rate leg objects.

std::string MyCreateAmortObj;

MyCreateAmortObj =

CreateAmortObjPart(

MySchedule);

// Creates a new Index code.

std::string MyNewIndex2;

MyNewIndex2 =

CreateIndex__2Part(

MyCALUKExchange,

MyEuroCal,

MyMiniYC);

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

// curve (smile).

std::string MySABRVolCurve;

MySABRVolCurve =

SABRVolCurvePart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a market object which is an aggregate of interest rate

// market objects (Discounting curve and Interest rate volatility

// curve (volcurve)).

std::string MyMarket4;

MyMarket4 =

CreateMKT__4Part(

MyMiniYC,

MySABRVolCurve);

// Creates a floating rate leg.

std::string MyCreateFloatLeg3;

MyCreateFloatLeg3 =

CreateFloatLeg__3Part(

MySchedule,

MyNewIndex2,

MyMarket4);

// Creates an amortised floating rate leg.

std::string MyCreateAmortFloatLeg2;

MyCreateAmortFloatLeg2 =

CreateAmortFloatLeg__2Part(

MyCreateAmortObj,

MyNewIndex2,

MyMarket4);

// Creates a Fixed rate leg.

std::string MyCreateFixedRateLeg3;

MyCreateFixedRateLeg3 =

CreateFixedRateLeg__3Part(

MySchedule,

MyMarket4);

// This floating leg (or FRN) only provide one payoff.

std::string MyCreateZCFloatLeg2;

MyCreateZCFloatLeg2 =

CreateZCFloatLeg__2Part(

MySchedule,

MyNewIndex2,

MyMarket4);

// Creates an amortised fixed rate leg.

std::string MyCreateAmortFixLeg2;

MyCreateAmortFixLeg2 =

CreateAmortFixLeg__2Part(

MyCreateAmortObj,

MyMarket4);

// Creates a porfolio of caplet or floorlet options from this floating

// Rate Leg.

std::string MyCreateCapFLTLeg2;

MyCreateCapFLTLeg2 =

CreateCapFLTLeg__2Part(

MyCreateFloatLeg3,

MySABRVolCurve);

// Creates a Structure object (which is really a portfolio of leg

// objects).

std::string MyStructure;

MyStructure =

CreateStructurePart(

MyCreateAmortFloatLeg2,

MyCreateFixedRateLeg3,

MyCreateZCFloatLeg2,

MyCreateAmortFixLeg2,

MyCreateCapFLTLeg2);

// Creates a Delta report object given a Structure object and a

// shift parameter.

std::string MyDeltaReport;

MyDeltaReport =

CreateDeltaReportPart(

MyStructure,

MyMiniYC,

MyFXManager);

// List the leg names present within this risk report.

CTRangeData resListYCRiskLegs;

resListYCRiskLegs =

ListYCRiskLegsPart(

MyDeltaReport);

// This is the result we are looking for.

return resListYCRiskLegs;

}

catch(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

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

CTRangeData ListYCRiskLegsPart(

std::string MyDeltaReport)

{

// Excel function call would be this - "CT.RSK.ListYCRiskLegs()"

// List the leg names present within this risk report.

CTRangeData rListYCRiskLegs;

rListYCRiskLegs = CTQryIRRiskSA::ListYCRiskLegs(

MyDeltaReport);

return rListYCRiskLegs;

}