QueryVCRiskReport

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

1. Key parameter
   
   
   Key to an already created volatility type risk report object (ReadVCRiskReport(), CreateSABRReport(), CreateVegaReport() or CreateVolgaReport()).
2. Greek parameter
   
   
   The Greek of interest 'Vega' or 'Volga'. For SABR risk, you can also have the additional 'Beta', 'Alpha' or 'Rho'. You must ensure that the risk report you are using is consistent with the risk you are requesting.
3. 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 ListVCRiskDealTypes() or ListVCRiskLegs() functions.
4. 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 ListVCRiskDealTypes() functions.
5. 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 ListVCRiskDealTypes() or ListVCRiskLegs() functions.
6. 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).
7. OutputType parameter
   
   
   How you would like the risk expressed. Only 'SENS' at this time.
8. FXManagerKey parameter
   
   
   Optional key to an already created FXManager object.
9. ReportPVCcy parameter
   
   
   Optional currency code that you wish the value of the leg to be reported in (must be specified if the 'FXManagerKey' parameter is specified).

Variant CTQryIRRisk.QueryVCRiskReport( _
String Key, _
String Greek, _
Variant LimitToLegs, _
Variant LimitToTypes, _
Variant ExcludeLegs, _
String Operation, _
String OutputType, _
String FXManagerKey, _
CCYEnum ReportPVCcy)

=CT.RSK.QueryVCRiskReport(
Excel String Cell Key,
Excel String Cell Greek,
XLRange LimitToLegs,
XLRange LimitToTypes,
XLRange ExcludeLegs,
Excel String Cell Operation,
Excel String Cell OutputType,
Excel String Cell FXManagerKey,
Excel String Cell ReportPVCcy)

static CTRangeDataCPP QueryVCRiskReport(
std::string Key,
std::string Greek,
CTRangeDataCPP LimitToLegs,
CTRangeDataCPP LimitToTypes,
CTRangeDataCPP ExcludeLegs,
std::string Operation,
std::string OutputType,
std::string FXManagerKey,
CCYEnum ReportPVCcy);

CTRangeData CTQryIRRiskSA.QueryVCRiskReport(
System.String Key,
System.String Greek,
CTRangeData LimitToLegs,
CTRangeData LimitToTypes,
CTRangeData ExcludeLegs,
System.String Operation,
System.String OutputType,
System.String FXManagerKey,
CTIEnums.CCYEnum ReportPVCcy);

CTQL.CTRangeData QueryVCRiskReport_LimitToTypes;


string[] arrBQueryVCRiskReport_LimitToTypes = {
"STRATEGY_CAPPED",
"FLOAT"  //  Array Data

};

CTQL.StringVector arrQueryVCRiskReport_LimitToTypes =
new  CTQL.StringVector(arrBQueryVCRiskReport_LimitToTypes);

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

• CreateFXManager() ( CT.QL.Curves20 )
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• ValueDateObj() ( CT.QL.Utils20 )
• MakeSchedule() ( CT.QL.Curves20 )
• CreateDepoTemplate() ( CT.QL.Curves20 )
• CreateSwapTemplate() ( CT.QL.Curves20 )
• SABRVolCurve() ( CT.QL.Curves20 )
• CreateAmortObj() ( CT.QL.Utils20 )
• MKTYC_D() ( CT.QL.Curves20 )
• CreateIndex() ( CT.QL.Curves20 )
• CreateMKT() ( CT.QL.Curves20 )
• CreateFloatLeg() ( CT.QL.IRLegs20 )
• CreateAmortFloatLeg() ( CT.QL.IRLegs20 )
• CreateFixedRateLeg() ( CT.QL.IRLegs20 )
• CreateZCFloatLeg() ( CT.QL.IRLegs20 )
• CreateAmortFixLeg() ( CT.QL.IRLegs20 )
• CreateCapFLTLeg() ( CT.QL.IRLegs20 )
• CreateStructure() ( CT.QL.IRLegs20 )
• CreateVegaReport() ( CT.QL.IRRisk20 )
• QueryVCRiskReport() ( CT.QL.IRRisk20 )

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