CreateStructure Example CS

C# Example - CreateStructure

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

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

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

// within this file ( CreateStructurePart() ).

// 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.

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

using System;

// Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)

// and using the reduced version (in the case of declaring enumerations).

// This is just to demostrate both types of coding.

using CTQL; // You need to add a reference to the QuantToolsNET.v2.dll also

// 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 int nCTQryLegsGlobal;

// 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();

public string CS_EX_CreateStructure()

{

nCTQryLegsGlobal += 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 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 yield curve using market rates (No cross-currency

// Swaps).

string MyMiniYC;

MyMiniYC =

MKTYC_D__3Part(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// 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);

// This is the result we are looking for.

return MyStructure;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

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

private string CreateStructurePart(

string MyCreateAmortFloatLeg2,

string MyCreateFixedRateLeg3,

string MyCreateZCFloatLeg2,

string MyCreateAmortFixLeg2,

string MyCreateCapFLTLeg2)

{

// Create example range for parameter CreateStructure_Legs

CTQL.CTRangeData CreateStructure_Legs;

string[] arrBCreateStructure_Legs = {

MyCreateAmortFloatLeg2,

MyCreateFixedRateLeg3,

MyCreateZCFloatLeg2,

MyCreateAmortFixLeg2,

MyCreateCapFLTLeg2 // Array Data

};

CTQL.StringVector arrCreateStructure_Legs =

new CTQL.StringVector(arrBCreateStructure_Legs);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateStructure_Legs = new CTQL.CTRangeData(arrCreateStructure_Legs, false);

// Key value to use as a handle for the created object

string MyStructure = "MyStructure" + "_" + System.Convert.ToString(nCTQryLegsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.LEG.CreateStructure()"

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

// objects).

string rCreateStructure;

rCreateStructure = CTQL.CTQryLegsSA.CreateStructure(

MyStructure,

Reload,

CreateStructure_Legs);

return rCreateStructure;

}

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

private string CreateAmortFloatLeg__2Part(

string MyCreateAmortObj,

string MyNewIndex2,

string MyMarket4)

{

// Create example range for parameter CreateAmortFloatLeg__2_Margin

CTQL.CTRangeData CreateAmortFloatLeg__2_Margin;

double[] arrBCreateAmortFloatLeg__2_Margin = {

0.0002,

0.0002 // Array Data

};

CTQL.DoubleVector arrCreateAmortFloatLeg__2_Margin =

new CTQL.DoubleVector(arrBCreateAmortFloatLeg__2_Margin);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateAmortFloatLeg__2_Margin = new CTQL.CTRangeData(arrCreateAmortFloatLeg__2_Margin, false);

// Key value to use as a handle for the created object

string MyCreateAmortFloatLeg2 = "MyCreateAmortFloatLeg2" + "_" + System.Convert.ToString(nCTQryLegsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTIEnums.PAYRECEnum PayRec = CTIEnums.PAYRECEnum.PAYREC_REC;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// If a CMS index is specified (within the parameter 'IndexKey')

// and the 'CMSAlgo' parameter within this CMS Index has been set

// to 'Hull' then the correlation between swap rates and fwd rates

// is required.

double SMPFWDRho = 0.8;

// Excel function call would be this - "CT.LEG.CreateAmortFloatLeg()"

// Creates an amortised floating rate leg.

string rCreateAmortFloatLeg__2;

rCreateAmortFloatLeg__2 = CTQL.CTLegsSA.CreateAmortFloatLeg(

MyCreateAmortFloatLeg2,

Reload,

PayRec,

Gearing,

MyCreateAmortObj,

Ccy,

BusDayConv,

DayCount,

MyNewIndex2,

CreateAmortFloatLeg__2_Margin,

ExchangePrincipal,

MyMarket4,

SMPFWDRho);

return rCreateAmortFloatLeg__2;

}

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

private string CreateFixedRateLeg__3Part(

string MySchedule,

string MyMarket4)

{

// Create example range for parameter CreateFixedRateLeg__3_Notional

CTQL.CTRangeData CreateFixedRateLeg__3_Notional;

int[] arrBCreateFixedRateLeg__3_Notional = {

5000000,

5000000 // Array Data

};

CTQL.IntVector arrCreateFixedRateLeg__3_Notional =

new CTQL.IntVector(arrBCreateFixedRateLeg__3_Notional);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateFixedRateLeg__3_Notional = new CTQL.CTRangeData(arrCreateFixedRateLeg__3_Notional, false);

// Create example range for parameter CreateFixedRateLeg__3_PrincipalPayments

CTQL.CTRangeData CreateFixedRateLeg__3_PrincipalPayments;

int[] arrBCreateFixedRateLeg__3_PrincipalPayments = {

0 // Array Data

};

CTQL.IntVector arrCreateFixedRateLeg__3_PrincipalPayments =

new CTQL.IntVector(arrBCreateFixedRateLeg__3_PrincipalPayments);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateFixedRateLeg__3_PrincipalPayments = new CTQL.CTRangeData(arrCreateFixedRateLeg__3_PrincipalPayments, false);

// Create example range for parameter CreateFixedRateLeg__3_Coupon

CTQL.CTRangeData CreateFixedRateLeg__3_Coupon;

double[] arrBCreateFixedRateLeg__3_Coupon = {

0.05,

0.05 // Array Data

};

CTQL.DoubleVector arrCreateFixedRateLeg__3_Coupon =

new CTQL.DoubleVector(arrBCreateFixedRateLeg__3_Coupon);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateFixedRateLeg__3_Coupon = new CTQL.CTRangeData(arrCreateFixedRateLeg__3_Coupon, false);

// Key value to use as a handle for the created object

string MyCreateFixedRateLeg3 = "MyCreateFixedRateLeg3" + "_" + System.Convert.ToString(nCTQryLegsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTIEnums.PAYRECEnum PayRec = CTIEnums.PAYRECEnum.PAYREC_PAY;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// Excel function call would be this - "CT.LEG.CreateFixedRateLeg()"

// Creates a Fixed rate leg.

string rCreateFixedRateLeg__3;

rCreateFixedRateLeg__3 = CTQL.CTFIXLegsSA.CreateFixedRateLeg(

MyCreateFixedRateLeg3,

Reload,

PayRec,

Gearing,

CreateFixedRateLeg__3_Notional,

CreateFixedRateLeg__3_PrincipalPayments,

Ccy,

MySchedule,

BusDayConv,

DayCount,

CreateFixedRateLeg__3_Coupon,

ExchangePrincipal,

MyMarket4);

return rCreateFixedRateLeg__3;

}

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

private string CreateZCFloatLeg__2Part(

string MySchedule,

string MyNewIndex2,

string MyMarket4)

{

// Create example range for parameter CreateZCFloatLeg__2_Notional

CTQL.CTRangeData CreateZCFloatLeg__2_Notional;

int[] arrBCreateZCFloatLeg__2_Notional = {

5000000,

5000000 // Array Data

};

CTQL.IntVector arrCreateZCFloatLeg__2_Notional =

new CTQL.IntVector(arrBCreateZCFloatLeg__2_Notional);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateZCFloatLeg__2_Notional = new CTQL.CTRangeData(arrCreateZCFloatLeg__2_Notional, false);

// Create example range for parameter CreateZCFloatLeg__2_PrincipalPayments

CTQL.CTRangeData CreateZCFloatLeg__2_PrincipalPayments;

int[] arrBCreateZCFloatLeg__2_PrincipalPayments = {

0 // Array Data

};

CTQL.IntVector arrCreateZCFloatLeg__2_PrincipalPayments =

new CTQL.IntVector(arrBCreateZCFloatLeg__2_PrincipalPayments);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateZCFloatLeg__2_PrincipalPayments = new CTQL.CTRangeData(arrCreateZCFloatLeg__2_PrincipalPayments, false);

// Create example range for parameter CreateZCFloatLeg__2_Margin

CTQL.CTRangeData CreateZCFloatLeg__2_Margin;

double[] arrBCreateZCFloatLeg__2_Margin = {

0.0002,

0.0002 // Array Data

};

CTQL.DoubleVector arrCreateZCFloatLeg__2_Margin =

new CTQL.DoubleVector(arrBCreateZCFloatLeg__2_Margin);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateZCFloatLeg__2_Margin = new CTQL.CTRangeData(arrCreateZCFloatLeg__2_Margin, false);

// Key value to use as a handle for the created object

string MyCreateZCFloatLeg2 = "MyCreateZCFloatLeg2" + "_" + System.Convert.ToString(nCTQryLegsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTIEnums.PAYRECEnum PayRec = CTIEnums.PAYRECEnum.PAYREC_REC;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// If a CMS index is specified (within the parameter 'IndexKey')

// and the 'CMSAlgo' parameter within this CMS Index has been set

// to 'Hull' then the correlation between swap rates and fwd rates

// is required.

double SMPFWDRho = 0.8;

// Excel function call would be this - "CT.LEG.CreateZCFloatLeg()"

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

string rCreateZCFloatLeg__2;

rCreateZCFloatLeg__2 = CTQL.CTZCFLTLegsSA.CreateZCFloatLeg(

MyCreateZCFloatLeg2,

Reload,

PayRec,

Gearing,

CreateZCFloatLeg__2_Notional,

CreateZCFloatLeg__2_PrincipalPayments,

Ccy,

MySchedule,

BusDayConv,

DayCount,

MyNewIndex2,

CreateZCFloatLeg__2_Margin,

ExchangePrincipal,

MyMarket4,

SMPFWDRho);

return rCreateZCFloatLeg__2;

}

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

private string CreateAmortFixLeg__2Part(

string MyCreateAmortObj,

string MyMarket4)

{

// Create example range for parameter CreateAmortFixLeg__2_Coupon

CTQL.CTRangeData CreateAmortFixLeg__2_Coupon;

double[] arrBCreateAmortFixLeg__2_Coupon = {

0.05,

0.05 // Array Data

};

CTQL.DoubleVector arrCreateAmortFixLeg__2_Coupon =

new CTQL.DoubleVector(arrBCreateAmortFixLeg__2_Coupon);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateAmortFixLeg__2_Coupon = new CTQL.CTRangeData(arrCreateAmortFixLeg__2_Coupon, false);

// Key value to use as a handle for the created object

string MyCreateAmortFixLeg2 = "MyCreateAmortFixLeg2" + "_" + System.Convert.ToString(nCTQryLegsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Whether you would like to PAY or REC this leg.

CTIEnums.PAYRECEnum PayRec = CTIEnums.PAYRECEnum.PAYREC_PAY;

// A positive factor value you wish to multiply the Floating-Reset

// Rate/Fixed-Coupon Rate by (Usually 1).

int Gearing = 1;

// Currency of the Notional amount.

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Payment Business Day Convention.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Payment DayCounter.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Whether you wish to exchange the principal amount(s) at the

// start and termination of the leg contract.

bool ExchangePrincipal = false;

// Excel function call would be this - "CT.LEG.CreateAmortFixLeg()"

// Creates an amortised fixed rate leg.

string rCreateAmortFixLeg__2;

rCreateAmortFixLeg__2 = CTQL.CTFIXLegsSA.CreateAmortFixLeg(

MyCreateAmortFixLeg2,

Reload,

PayRec,

Gearing,

MyCreateAmortObj,

Ccy,

BusDayConv,

DayCount,

CreateAmortFixLeg__2_Coupon,

ExchangePrincipal,

MyMarket4);

return rCreateAmortFixLeg__2;

}

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

private string CreateCapFLTLeg__2Part(

string MyCreateFloatLeg3,

string MySABRVolCurve)

{

// Create example range for parameter CreateCapFLTLeg__2_EnablePeriods

CTQL.CTRangeData CreateCapFLTLeg__2_EnablePeriods;

int[] arrBCreateCapFLTLeg__2_EnablePeriods = {

1 // Array Data

};

CTQL.IntVector arrCreateCapFLTLeg__2_EnablePeriods =

new CTQL.IntVector(arrBCreateCapFLTLeg__2_EnablePeriods);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateCapFLTLeg__2_EnablePeriods = new CTQL.CTRangeData(arrCreateCapFLTLeg__2_EnablePeriods, false);

// Create example range for parameter CreateCapFLTLeg__2_Strike

CTQL.CTRangeData CreateCapFLTLeg__2_Strike;

double[] arrBCreateCapFLTLeg__2_Strike = {

0.03,

0.03 // Array Data

};

CTQL.DoubleVector arrCreateCapFLTLeg__2_Strike =

new CTQL.DoubleVector(arrBCreateCapFLTLeg__2_Strike);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CreateCapFLTLeg__2_Strike = new CTQL.CTRangeData(arrCreateCapFLTLeg__2_Strike, false);

// Key value to use as a handle for the created object

string MyCreateCapFLTLeg2 = "MyCreateCapFLTLeg2" + "_" + System.Convert.ToString(nCTQryLegsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.LEG.CreateCapFLTLeg()"

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

// Rate Leg.

string rCreateCapFLTLeg__2;

rCreateCapFLTLeg__2 = CTQL.CTExoticLegsSA.CreateCapFLTLeg(

MyCreateCapFLTLeg2,

Reload,

MyCreateFloatLeg3,

CreateCapFLTLeg__2_EnablePeriods,

CreateCapFLTLeg__2_Strike,

MySABRVolCurve);

return rCreateCapFLTLeg__2;

}

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

private string CreateAmortObjPart(

string MySchedule)

{

// Key value to use as a handle for the created object

string MyCreateAmortObj = "MyCreateAmortObj" + "_" + System.Convert.ToString(nCTQryLegsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Initial positive notional amount.

double Notional = 5000000;

// Final positive notional amount.

double FinalNot = 1000000;

// Whether you wish to include principal payments that are paid

// to the holder of this contract during the life of the leg contract.

bool PrincipalPayments = true;

// Amortisation method to use.

CTIEnums.AmortEnum AmortMethod = CTIEnums.AmortEnum.Amort_Linear;

// Amortisation rate to use.

double AmortRate = 0.06;

// The number of times you would like to repeat the Notional amounts

// computed (normally 1).

int AmortRepeatNot = 1;

// Excel function call would be this - "CT.UTIL.CreateAmortObj()"

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

// fixed and floating rate leg objects.

string rCreateAmortObj;

rCreateAmortObj = CTQL.CTUtilsSA.CreateAmortObj(

MyCreateAmortObj,

Reload,

Notional,

FinalNot,

PrincipalPayments,

AmortMethod,

AmortRate,

AmortRepeatNot,

MySchedule);

return rCreateAmortObj;

}

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

private string CreateIndex__2Part(

string MyCALUKExchange,

string MyEuroCal,

string MyMiniYC)

{

// Create example range for parameter CreateIndex__2_BasisSwaps

CTQL.CTRangeData CreateIndex__2_BasisSwaps =

new CTQL.CTRangeData();

System.Text.StringBuilder CreateIndex__2_BasisSwaps_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

CreateIndex__2_BasisSwaps_builder.Append("{");

CreateIndex__2_BasisSwaps_builder.Append("'1Y' | 3.5 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'2Y' | 3 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'3Y' | 3.25 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'4Y' | 3.25 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'5Y' | 3.25 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'7Y' | 3.25 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'10Y' | 3.25 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'15Y' | 3 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'20Y' | 2.75 | True ;");

CreateIndex__2_BasisSwaps_builder.Append("'30Y' | 2.75 | True");

CreateIndex__2_BasisSwaps_builder.Append("}");

CreateIndex__2_BasisSwaps.RangeFromStr

(

CreateIndex__2_BasisSwaps_builder.ToString()

);

// Create example range for parameter CreateIndex__2_PastFixings

CTQL.CTRangeData CreateIndex__2_PastFixings =

new CTQL.CTRangeData();

System.Text.StringBuilder CreateIndex__2_PastFixings_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

CreateIndex__2_PastFixings_builder.Append("{");

CreateIndex__2_PastFixings_builder.Append("#21/Mar/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#22/Mar/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#23/Mar/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#24/Mar/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#25/Mar/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#28/Mar/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#29/Mar/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#30/Mar/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#31/Mar/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#1/Apr/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#4/Apr/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#5/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#6/Apr/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#7/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#8/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#11/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#12/Apr/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#13/Apr/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#14/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#15/Apr/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#18/Apr/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#19/Apr/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#20/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#21/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#22/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#25/Apr/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#26/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#27/Apr/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#28/Apr/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#29/Apr/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#2/May/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#3/May/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#4/May/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#5/May/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#6/May/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#9/May/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#10/May/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#11/May/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#12/May/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#13/May/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#16/May/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#17/May/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#18/May/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#19/May/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#20/May/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#23/May/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#24/May/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#25/May/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#26/May/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#27/May/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#30/May/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#31/May/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#1/Jun/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#2/Jun/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#3/Jun/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#6/Jun/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#7/Jun/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#8/Jun/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#9/Jun/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#10/Jun/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#13/Jun/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#14/Jun/2005# | 0.0357 ;");

CreateIndex__2_PastFixings_builder.Append("#15/Jun/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#16/Jun/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#17/Jun/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#20/Jun/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#21/Jun/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#22/Jun/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#23/Jun/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#24/Jun/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#27/Jun/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#28/Jun/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#29/Jun/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#30/Jun/2005# | 0.0355 ;");

CreateIndex__2_PastFixings_builder.Append("#1/Jul/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#4/Jul/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#5/Jul/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#6/Jul/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#7/Jul/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#8/Jul/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#11/Jul/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#12/Jul/2005# | 0.0354 ;");

CreateIndex__2_PastFixings_builder.Append("#13/Jul/2005# | 0.0353 ;");

CreateIndex__2_PastFixings_builder.Append("#14/Jul/2005# | 0.0356 ;");

CreateIndex__2_PastFixings_builder.Append("#15/Jul/2005# | 0.0353");

CreateIndex__2_PastFixings_builder.Append("}");

CreateIndex__2_PastFixings.RangeFromStr

(

CreateIndex__2_PastFixings_builder.ToString()

);

// Key value to use as a handle for the created object

string MyNewIndex2 = "MyNewIndex2" + "_" + System.Convert.ToString(nCTQryLegsGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// New Index code to create

string IndexCode = "3MEuroIndex2";

// Tenor of the index.

string Tenor = "3M";

// Within a Floating leg object, where there are many fixing periods,

// when fixing a rate there are two ways the end date of a fixing

// period can be computed.

bool LIBORMethod = true;

// Number of days for fixing a rate.

int FixingDays = 2;

// Currency code in which default values will be copied

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Business day convention needed for day adjustments when an adjustment

// moves the date into the preceding, following month.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_monthendreference;

// Daycounter required for year length calculations.

CTIEnums.DayCountEnum DayCounter = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Interpolation methodology to utilise when interpolating the

// forward spread curve (generated from the interes