QueryLegsYCRiskReport




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Although QueryYCRiskReport() will return the risk result according to a particular query, it does not return the actual legs that were used within the result.

This function provides just that and can be used before calling the QueryYCRiskReport() function in order to ensure that the correct legs are being manipulated.

The valid risk report functions that can be passed to this function are : ReadYCRiskReport(), CreateDeltaReport() or CreateGammaReport().



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


High level graphic of QueryLegsYCRiskReport() 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()).
  2. LimitToLegs parameter

    You can list the names of the leg objects (with extension tags) that you wish to aggregate risk on. If an empty range, all legs within the report will be selected. You can view all the valid legs within the report by executing the ListYCRiskDealTypes() or ListYCRiskLegs() functions.
  3. LimitToTypes parameter

    You can list the types of deals you wish to aggregate risk for. If an empty range, all reports will be selected. The valid types can be viewed by executing the ListYCRiskDealTypes() functions.
  4. ExcludeLegs parameter

    You can list the names of the leg objects (with extension tags) that you wish to exclude from the report. Legs listed here will override any legs listed within the 'LimitToLegs' and 'LimitToTypes' parameters. You can view all the valid legs within the report by executing the ListYCRiskDealTypes() or ListYCRiskLegs() functions.
  5. Operation parameter

    If details has been passed to both the 'LimitToLegs' and 'LimitToTypes' parameters, this parameter indicates how the results will be combined together. Valid values are 'Add' (Only the legs common to both parameters will be taken, the intersection), 'Or' (Legs in both of the parameters will be taken, the union) or 'Diff' (Legs not present in either group will be taken, opposite of the union).


Extended information

Function Syntax

VB Syntax 


Variant CTQryIRRisk.QueryLegsYCRiskReport( _
String Key, _
Variant LimitToLegs, _
Variant LimitToTypes, _
Variant ExcludeLegs, _
String Operation)


Excel Spreadsheet Syntax 


=CT.RSK.QueryLegsYCRiskReport(
Excel String Cell Key,
XLRange LimitToLegs,
XLRange LimitToTypes,
XLRange ExcludeLegs,
Excel String Cell Operation)


C++ Syntax 


static CTRangeDataCPP QueryLegsYCRiskReport(
std::string Key,
CTRangeDataCPP LimitToLegs,
CTRangeDataCPP LimitToTypes,
CTRangeDataCPP ExcludeLegs,
std::string Operation);


DotNET Syntax 


CTRangeData CTQryIRRiskSA.QueryLegsYCRiskReport(
System.String Key,
CTRangeData LimitToLegs,
CTRangeData LimitToTypes,
CTRangeData ExcludeLegs,
System.String Operation);

Parameter data types

ArgNameArgTypeIsKey
KeyStringTRUE
LimitToLegsRangeFALSE
LimitToTypesRangeFALSE
ExcludeLegsRangeFALSE
OperationStringFALSE

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)
LimitToLegsTRUEQueryLegsYCRiskReport_LimitToLegs
LimitToTypesTRUEQueryLegsYCRiskReport_LimitToTypes_Range (creates a range object)
ExcludeLegsTRUEQueryLegsYCRiskReport_ExcludeLegs
OperationFALSEAnd


Example range for parameter : LimitToLegs

Within Excel, a range such as this can be passed directly into the LimitToLegs parameter.


Example C# API usage for setting the range data for parameter : LimitToLegs 







Example range for parameter : LimitToTypes
Within Excel, a range such as this can be passed directly into the LimitToTypes parameter.




Data is stored within the second column (Vector of data)..


Example C# API usage for setting the range data for parameter : LimitToTypes




CTQL.CTRangeData QueryLegsYCRiskReport_LimitToTypes;


string[] arrBQueryLegsYCRiskReport_LimitToTypes = {
"FLOAT",
"FIX"  //  Array Data

};

CTQL.StringVector arrQueryLegsYCRiskReport_LimitToTypes =
new  CTQL.StringVector(arrBQueryLegsYCRiskReport_LimitToTypes);

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







Example range for parameter : ExcludeLegs
Within Excel, a range such as this can be passed directly into the ExcludeLegs parameter.




Example C# API usage for setting the range data for parameter : ExcludeLegs










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 QueryLegsYCRiskReport() 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 QueryLegsYCRiskReport() function call




Example
MyCreateAmortFixLeg2_19.AFIXLEG
MyCreateAmortFloatLeg2_19.AFLTLEG
MyCreateFixedRateLeg3_19.FIXLEG




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