PrcLegObject

PrcLegObject

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CapeTools Query Legs function list

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Prices a Leg object (cannot price inverse leg objects, see PrcInverseLegObject()).

The Leg object that is to be used within this function must have been previously created via a call to one of the following functions : CreateFixedRateLeg(), CreateZeroCouponLeg(), CreateCashFlowLeg(), CreateAmortCashLeg(), CreateAmortFixLeg(), CreateFloatLeg(), CreateIALeg(), CreateQLeg(), CreateQIALeg(), CreateZCFloatLeg(), CreateZCIALeg(), CreateZCQLeg(), CreateZCQIALeg(), CreateAmortFloatLeg(), CreateAmortIALeg(), CreateAmortQLeg() or CreateAmortQIALeg(). These functions would have returned a string 'KEY' which is to be passed to the 'Key' parameter of this function.

Note: Within Excel, the function is named - CT.LEG.PrcLegObject

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

Parameter Description

Key parameter

Leg object Key to an already created Leg object (ie FIX legs, FLOAT legs, Quanto, IA etc...).
Level parameter

Whether you would like to see the PV for the entire structure or for each cashflow. Can include extended information. Valid values are - TOTAL, SUMMARY, CASHFLOW and ALL.
FXManagerKey parameter

Optional key to an already created FXManager object.
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

Parameter data types

ArgName	ArgType	IsKey
Key	String	TRUE
Level	String	FALSE
FXManagerKey	String	TRUE
ReportPVCcy	CCYEnum	FALSE

Example Inputs

ArgName	IsOptional (Excel only)	Example
Key	FALSE	KeyNAME.EXTTAG.TICKER (from a function call)
Level	FALSE	SUMMARY
FXManagerKey	TRUE	FXManagerKeyNAME.EXTTAG.TICKER (from a function call)
ReportPVCcy	TRUE	GBP

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.IRLegs20 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 PrcLegObject() 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 :

CreateFXManager() ( CT.QL.Curves20 )
CALEURO() ( CT.QL.Curves20 )
CALUKExchange() ( CT.QL.Curves20 )
ValueDateObj() ( CT.QL.Utils20 )
MakeSchedule() ( CT.QL.Curves20 )
CreateDepoTemplate() ( CT.QL.Curves20 )
CreateSwapTemplate() ( CT.QL.Curves20 )
SABRVolCurve() ( CT.QL.Curves20 )
MKTYC_D() ( CT.QL.Curves20 )
CreateIndex() ( CT.QL.Curves20 )
CreateMKT() ( CT.QL.Curves20 )
CreateFloatLeg() ( CT.QL.IRLegs20 )
PrcLegObject() ( CT.QL.IRLegs20 )

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 PrcLegObject() function call

Example
Gearing	Notional (EUR)	FixingDate	PeriodStartDate	PeriodEndDate	PayDate	IndexStartDate	IndexEndDate	Coverage	Fixings	Gearing*Fixings+Margins	DCF	EUR/GBP FX	LegPayments (GBP)	Principal Exchange(GBP)	Principal Payments (GBP)	Total Amount (GBP)	Discounted LegPayments (GBP)	Discounted Principal Exchange(GBP)	Discounted Principal Payments (GBP)	Discounted Total Amount (GBP)
1	5e+006	38917	38919	39013	39013	38919	39013	0.257534	0.0405483	0.0407483	0.953636	1.56	81853.8	0	0	81853.8	78058.7	0	0	78058.7
1	5e+006	39009	39013	39104	39104	39013	39105	0.249315	0.0409483	0.0411483	0.944057	1.56	80019.3	0	0	80019.3	75542.8	0	0	75542.8
1	5e+006	39100	39104	39195	39195	39104	39195	0.249315	0.0413483	0.0415483	0.934481	1.56	80797.1	0	0	80797.1	75503.4	0	0	75503.4
1	5e+006	39191	39195	39286	39286	39195	39286	0.249315	0.0417483	0.0419483	0.924912	1.56	81575	0	0	81575	75449.7	0	0	75449.7
1	5e+006	39282	39286	39377	39377	39286	39378	0.249315	0.0446786	0.0448786	0.914809	1.56	87273.4	0	0	87273.4	79838.5	0	0	79838.5
1	5e+006	39373	39377	39468	39468	39377	39469	0.249315	0.0451786	0.0453786	0.904704	1.56	88245.7	0	0	88245.7	79836.3	0	0	79836.3
1	5e+006	39464	39468	39559	39559	39468	39559	0.249315	0.0456786	0.0458786	0.894601	1.56	89218.1	0	0	89218.1	79814.6	0	0	79814.6
1	5e+006	39555	39559	39650	39650	39559	39650	0.249315	0.0461786	0.0463786	0.884501	1.56	90190.4	0	0	90190.4	79773.5	0	0	79773.5
1	5e+006	39646	39650	39742	39742	39650	39742	0.252055	0.048725	0.048925	0.873841	1.56	96187.9	0	0	96187.9	84052.9	0	0	84052.9
1	5e+006	39738	39742	39834	39834	39742	39834	0.252055	0.049325	0.049525	0.86318	1.56	97367.5	0	0	97367.5	84045.7	0	0	84045.7
1	5e+006	39832	39834	39924	39924	39834	39924	0.246575	0.049925	0.050125	0.85275	1.56	96404.8	0	0	96404.8	82209.2	0	0	82209.2
1	5e+006	39920	39924	40015	40015	39924	40015	0.249315	0.0460256	0.0462256	0.843144	1.56	89893.1	0	0	89893.1	75792.8	0	0	75792.8
1	5e+006	40011	40015	40107	40107	40015	40107	0.252055	0.0460285	0.0462285	0.833542	1.56	90886.5	0	0	90886.5	75757.7	0	0	75757.7
1	5e+006	40105	40107	40199	40199	40107	40199	0.252055	0.0460285	0.0462285	0.824049	1.56	90886.5	0	0	90886.5	74894.9	0	0	74894.9
1	5e+006	40197	40199	40289	40289	40199	40289	0.246575	0.0460228	0.0462228	0.814867	1.56	88899.7	0	0	88899.7	72441.4	0	0	72441.4
1	5e+006	40287	40289	40380	40380	40289	40380	0.249315	0.0460256	0.0462256	0.805687	1.56	89893.1	0	0	89893.1	72425.7	0	0	72425.7
1	5e+006	40378	40380	40472	40472	40380	40472	0.252055	0.0450438	0.0452438	0.796707	1.56	88950.6	0	0	88950.6	70867.6	0	0	70867.6
1	5e+006	40470	40472	40564	40564	40472	40564	0.252055	0.0450438	0.0452438	0.787827	1.56	88950.6	0	0	88950.6	70077.7	0	0	70077.7
1	5e+006	40562	40564	40654	40654	40564	40654	0.246575	0.0450384	0.0452384	0.779235	1.56	87006.4	0	0	87006.4	67798.5	0	0	67798.5
1	5e+006	40652	40654	40745	40745	40654	40745	0.249315	0.0450411	0.0452411	0.770644	1.56	87978.5	0	0	87978.5	67800.1	0	0	67800.1