RiskGetYCVCSenLegs Example Java

Java Example - RiskGetYCVCSenLegs

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

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

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

// within this file ( RiskGetYCVCSenLegsPart() ).

// 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.

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

public class Java_EX_RiskGetYCVCSenLegs()

{

static

{

try

{

System.loadLibrary("CTQuantToolsAPI20");

}

catch (UnsatisfiedLinkError e)

{

System.err.println("Native code library failed to load. Make sure that the CTQuantToolsAPI20.dll is installed correctly.\n" + e);

System.exit(1);

}

static int nCTQryIRRiskGlobal = 0;

// Used by function parameters that take an optional range value.

// In Excel we simply omit the value, within the API functions,

// we pass an empty range object

static CTQL.CTRangeData oEmptyRange = new CTQL.CTRangeData();

static String szTickedKeyName;

public static CTRangeData Java_EX_RiskGetYCVCSenLegs(String argv[])

{

nCTQryIRRiskGlobal += 1;

String szErrorMsg = "";

try

{

// EURO calendar used for holiday adjustments.

String MyEuroCal;

MyEuroCal =

CALEUROPart();

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

String MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// Creates a centralized valuation date object.

String MyValuationDate;

MyValuationDate =

ValueDateObjPart();

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

// start date and unadjusted final end dates.

String MySchedule;

MySchedule =

MakeSchedulePart(

MyEuroCal);

// Creates a Deposit template which is almost identical to a Libor

// Index, but without the YieldCurve information.

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.

String MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

// Creates a yield curve using market rates (No cross-currency

// Swaps).

String MyMiniYC;

MyMiniYC =

MKTYC_D__3Part(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

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

// curve (smile).

String MySABRVolCurve;

MySABRVolCurve =

SABRVolCurvePart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates an amortisation object to be used within the amortisation

// fixed and floating rate leg objects.

String MyCreateAmortObj;

MyCreateAmortObj =

CreateAmortObjPart(

MySchedule);

// Creates a new Index code.

String MyNewIndex2;

MyNewIndex2 =

CreateIndex__2Part(

MyCALUKExchange,

MyEuroCal,

MyMiniYC);

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

// market objects (Discounting curve and Interest rate volatility

// curve (volcurve)).

String MyMarket4;

MyMarket4 =

CreateMKT__4Part(

MyMiniYC,

MySABRVolCurve);

// Creates a floating rate leg.

String MyCreateFloatLeg3;

MyCreateFloatLeg3 =

CreateFloatLeg__3Part(

MySchedule,

MyNewIndex2,

MyMarket4);

// Creates an amortised floating rate leg.

String MyCreateAmortFloatLeg2;

MyCreateAmortFloatLeg2 =

CreateAmortFloatLeg__2Part(

MyCreateAmortObj,

MyNewIndex2,

MyMarket4);

// Creates a Fixed rate leg.

String MyCreateFixedRateLeg3;

MyCreateFixedRateLeg3 =

CreateFixedRateLeg__3Part(

MySchedule,

MyMarket4);

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

String MyCreateZCFloatLeg2;

MyCreateZCFloatLeg2 =

CreateZCFloatLeg__2Part(

MySchedule,

MyNewIndex2,

MyMarket4);

// Creates an amortised fixed rate leg.

String MyCreateAmortFixLeg2;

MyCreateAmortFixLeg2 =

CreateAmortFixLeg__2Part(

MyCreateAmortObj,

MyMarket4);

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

// Rate Leg.

String MyCreateCapFLTLeg2;

MyCreateCapFLTLeg2 =

CreateCapFLTLeg__2Part(

MyCreateFloatLeg3,

MySABRVolCurve);

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

// objects).

String MyStructure;

MyStructure =

CreateStructurePart(

MyCreateAmortFloatLeg2,

MyCreateFixedRateLeg3,

MyCreateZCFloatLeg2,

MyCreateAmortFixLeg2,

MyCreateCapFLTLeg2);

// Given a Structure object key, Returns a list of Legs within

// the structure that are sensitive to the indicated YieldCurve

// and VolCurve.

CTRangeData resRiskGetYCVCSenLegs;

resRiskGetYCVCSenLegs =

RiskGetYCVCSenLegsPart(

MyStructure,

MyMiniYC,

MySABRVolCurve);

// This is the result we are looking for.

return resRiskGetYCVCSenLegs;

}

catch(Exception e)

{

szErrorMsg = e.getMessage();

System.exit(1);

}

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

private static CTRangeData RiskGetYCVCSenLegsPart(

String MyStructure,

String MyMiniYC,

String MySABRVolCurve)

{

// Used by functions returning a range value. Via the szRangeDescription variable, you can inspect the results

int _nRows, _nCols;

String szRangeDescription;

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

// Given a Structure object key, Returns a list of Legs within

// the structure that are sensitive to the indicated YieldCurve

// and VolCurve.

CTRangeData rRiskGetYCVCSenLegs;

rRiskGetYCVCSenLegs = (CTRangeData)CTQL.CTQryIRRiskSA.RiskGetYCVCSenLegs(

MyStructure,

MyMiniYC,

MySABRVolCurve);

_nRows = rRiskGetYCVCSenLegs.GetRows();

_nCols = rRiskGetYCVCSenLegs.GetCols();

szRangeDescription = rRiskGetYCVCSenLegs.ToMatrixString();

return rRiskGetYCVCSenLegs;

}