QueryYCRiskReport




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Queries an already created risk report object that can be hedged via YieldCurve instruments (ie - via a call to ReadYCRiskReport(), CreateDeltaReport() or CreateGammaReport()).

The results will be aggregated across all risk reports before being returned.

You can limit the aggregated results to a named list of legs within the structure or a named list of leg types within the structure.

If both lists are present, then an OR operation will be conducted.

Via the 'OutputType' parameter, you can express the risk as 'SENS' for the actual change for a positive basis point shift or, 'PE' (Principal Equivalence) which will display the principal notional amount, for each hedge instrument, needed to hedge a one basis point change.

You can also enter values of '3MEQU', '5YQU' and '10YEQU' to express all the risk (for each tenor) in terms of a single hedge instrument (3M deposit, 5Y swap instrument and 10Y swap instrument respectively).

Finally, you can select 'FUTURES' which will provide the Notional amount for the most liquid futures contract.

To turn this Futures notional amount into a number of futures contracts to buy/sell, simply divide the Futures hedge notional result by the notional amount underlying the futures contract.

Because the '3MEQU', '5YQU', '10YEQU' and 'FUTURES' values are normalised by a single contract, you can sum the risk numbers across tenors to provide a single hedge number.

This is not true for the 'PE' value.



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


High level graphic of QueryYCRiskReport() 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. Greek parameter

    The type of risk to view 'Delta' or 'Gamma' (Gamma will only be present if Gamma has been computed via CreateGammaReport()). 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 ListYCRiskDealTypes() or ListYCRiskLegs() 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 ListYCRiskDealTypes() 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 ListYCRiskDealTypes() or ListYCRiskLegs() 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. For DELTA risk you can choose one of : 'FUTURES', 'SENS', 'PE', '3MEQU', '5EQU' or '10YEQU'. For GAMMA risk you can only select 'SENS'.
  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).


Extended information

Function Syntax

VB Syntax 


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


Excel Spreadsheet Syntax 


=CT.RSK.QueryYCRiskReport(
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)


C++ Syntax 


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


DotNET Syntax 


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

Parameter data types

ArgNameArgTypeIsKey
KeyStringTRUE
GreekStringFALSE
LimitToLegsRangeFALSE
LimitToTypesRangeFALSE
ExcludeLegsRangeFALSE
OperationStringFALSE
OutputTypeStringFALSE
FXManagerKeyStringTRUE
ReportPVCcyCCYEnumFALSE

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)
GreekTRUEDelta
LimitToLegsTRUEQueryYCRiskReport_LimitToLegs
LimitToTypesTRUEQueryYCRiskReport_LimitToTypes_Range (creates a range object)
ExcludeLegsTRUEQueryYCRiskReport_ExcludeLegs
OperationFALSEAnd
OutputTypeFALSESENS
FXManagerKeyTRUEFXManagerKeyNAME.EXTTAG.TICKER (from a function call)
ReportPVCcyTRUEGBP


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 QueryYCRiskReport_LimitToTypes;


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

};

CTQL.StringVector arrQueryYCRiskReport_LimitToTypes =
new  CTQL.StringVector(arrBQueryYCRiskReport_LimitToTypes);

// Second parameter determines whether the array is a column array (false) or a row array (true)
QueryYCRiskReport_LimitToTypes = new  CTQL.CTRangeData(arrQueryYCRiskReport_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 QueryYCRiskReport() 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 QueryYCRiskReport() function call




Example
7D0.920192
14D0
1M0
3M0.001364
6M-24.3706
9M40.8011
12M-694.938
2Y686.092
5Y2138.56
10Y323.793
15Y0
20Y0
25Y0
30Y0
35Y0
40Y0




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