CreateStructure Example CPP

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.

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

#include <string>

#include <exception>

#include <sstream>

#include <iomanip>

// Point the "additional includes directory" within your editor to the following paths ( where <InstallFolder> is your installation folder)

// <InstallFolder>/Libs/Headers/ (For the library header files)

// <InstallFolder>/Libs/Client/ (For the client helper header and source files)

// The helper files are optional and you can include only those files needed for your functionality

// Each helper header/source file pair corresponds to a single QuantTools category of functions.

// Include QuantTools library header files

#include <QuantTools_all.hpp>

// Include Client Helper QuantTools header files

#include <QuantToolsClient_all.hpp>

// For Debug builds add a reference to the CTQuantToolsCPPAPI20D.lib

// For Release builds add a reference to the CTQuantToolsCPPAPI20.lib

// You add a reference via the ProjectProperties->Linker->Input menu item

// 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 long nCTQryLegsGlobal = 0;

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

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

// we pass an empty range object

CTRangeDataCPP oEmptyRange;

std::string szTickedKeyName;

std::ostringstream szTemp;

std::string CPP_EX_CreateStructure()

{

nCTQryLegsGlobal += 1;

std::string szErrorMsg = "";

try

{

// EURO calendar used for holiday adjustments.

std::string MyEuroCal;

MyEuroCal =

CALEUROPart();

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

std::string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// Creates a centralized valuation date object.

std::string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

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

// start date and unadjusted final end dates.

std::string MySchedule;

MySchedule =

MakeSchedulePart(

MyEuroCal);

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

// Index, but without the YieldCurve information.

std::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.

std::string MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

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

// curve (smile).

std::string MySABRVolCurve;

MySABRVolCurve =

SABRVolCurvePart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

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

// fixed and floating rate leg objects.

std::string MyCreateAmortObj;

MyCreateAmortObj =

CreateAmortObjPart(

MySchedule);

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

// Swaps).

std::string MyMiniYC;

MyMiniYC =

MKTYC_D__3Part(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

std::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)).

std::string MyMarket4;

MyMarket4 =

CreateMKT__4Part(

MyMiniYC,

MySABRVolCurve);

// Creates a floating rate leg.

std::string MyCreateFloatLeg3;

MyCreateFloatLeg3 =

CreateFloatLeg__3Part(

MySchedule,

MyNewIndex2,

MyMarket4);

// Creates an amortised floating rate leg.

std::string MyCreateAmortFloatLeg2;

MyCreateAmortFloatLeg2 =

CreateAmortFloatLeg__2Part(

MyCreateAmortObj,

MyNewIndex2,

MyMarket4);

// Creates a Fixed rate leg.

std::string MyCreateFixedRateLeg3;

MyCreateFixedRateLeg3 =

CreateFixedRateLeg__3Part(

MySchedule,

MyMarket4);

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

std::string MyCreateZCFloatLeg2;

MyCreateZCFloatLeg2 =

CreateZCFloatLeg__2Part(

MySchedule,

MyNewIndex2,

MyMarket4);

// Creates an amortised fixed rate leg.

std::string MyCreateAmortFixLeg2;

MyCreateAmortFixLeg2 =

CreateAmortFixLeg__2Part(

MyCreateAmortObj,

MyMarket4);

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

// Rate Leg.

std::string MyCreateCapFLTLeg2;

MyCreateCapFLTLeg2 =

CreateCapFLTLeg__2Part(

MyCreateFloatLeg3,

MySABRVolCurve);

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

// objects).

std::string MyStructure;

MyStructure =

CreateStructurePart(

MyCreateAmortFloatLeg2,

MyCreateFixedRateLeg3,

MyCreateZCFloatLeg2,

MyCreateAmortFixLeg2,

MyCreateCapFLTLeg2);

// This is the result we are looking for.

return MyStructure;

}

catch(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

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

std::string CreateStructurePart(

std::string MyCreateAmortFloatLeg2,

std::string MyCreateFixedRateLeg3,

std::string MyCreateZCFloatLeg2,

std::string MyCreateAmortFixLeg2,

std::string MyCreateCapFLTLeg2)

{

// Create example range for parameter CreateStructure_Legs

// Column vector of 5 rows (indexed from 0, highest index of 4)

CTRangeDataCPP CreateStructure_Legs(5, 1);

CreateStructure_Legs.SetValue(0, 0, MyCreateAmortFloatLeg2);

CreateStructure_Legs.SetValue(1, 0, MyCreateFixedRateLeg3);

CreateStructure_Legs.SetValue(2, 0, MyCreateZCFloatLeg2);

CreateStructure_Legs.SetValue(3, 0, MyCreateAmortFixLeg2);

CreateStructure_Legs.SetValue(4, 0, MyCreateCapFLTLeg2);

std::ostringstream szTemp; szTemp.str("");

szTemp << std::setw(0) << nCTQryLegsGlobal;

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

std::string MyStructure = std::string("MyStructure") + std::string("_") + szTemp.str();

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

// to a positive value.

long Reload = 1;

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

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

// objects).

std::string rCreateStructure;

rCreateStructure = CTQryLegsSA::CreateStructure(

MyStructure,

Reload,

CreateStructure_Legs);

return rCreateStructure;

}