SimpleDCF





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Calculates the DiscountFactor between two dates given an InterestRate() object.

Please refer to the large number of enumeration functions present within the CapeTools Enums category of functions.

The CapeTools Enums category of functions return correct string codes that can be passed to parameters taking fixed string values defined by the library (ie - DayCount codes, frequency codes, currency codes, compounding codes, business day convention codes etc...).

You can thus execute these enumeration functions which return the proper code, instead of trying to remember the string code needed or making spelling mistakes which can be difficult to debug.



Note: Within Excel, the function is named - CT.UTIL.SimpleDCF




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



Parameter Description


  1. interestRateObj parameter

    Key to an already constructed InterestRate() object.
  2. StartDate parameter

    The start date of interest.
  3. EndDate parameter

    The end date of interest.


Extended information

Function Syntax

VB Syntax


Double CTUtils.SimpleDCF( _
String interestRateObj, _
Long StartDate, _
Long EndDate)


Excel Spreadsheet Syntax


=CT.UTIL.SimpleDCF(
Excel String Cell interestRateObj,
Excel Numeric Cell StartDate,
Excel Numeric Cell EndDate)


C++ Syntax


static double SimpleDCF(
std::string interestRateObj,
long StartDate,
long EndDate);


DotNET Syntax


System.Double CTUtilsSA.SimpleDCF(
System.String interestRateObj,
System.Int32 StartDate,
System.Int32 EndDate);

Parameter data types

ArgNameArgTypeIsKey
interestRateObjStringTRUE
StartDateLongFALSE
EndDateLongFALSE


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
interestRateObjFALSEinterestRateObjNAME.EXTTAG.TICKER (from a function call)
StartDateFALSE21/Oct/2005 (serial date type)
EndDateFALSE21/Jan/2006 (serial date type)


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.Utils20 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 SimpleDCF() 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 SimpleDCF() function call


0.987381710716033

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