EquitySABRVolCurve Example CPPNET




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EquitySABRVolCurve function

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Example C++.NET Driver function. Preparing the parameters and the final function call (the result).

High level view of the code structure (resulting in the final function call to EquitySABRVolCurve() )

These are the financial QuantTools function calls that are used within the examples :





The objects generated by these functions are inter-connected in the following way :



C++.NET Example - EquitySABRVolCurve





    //     ##################################################################################
    //     The first function here EquitySABRVolCurve(), contains a series of
    //     function calls leading upto the main function call, the second function
    //     within this file ( EquitySABRVolCurvePart() ).
    //     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 <mscorlib.dll>


// If you add a reference via the Visual Studio project, 
// then the following line is not needed.
#using <QuantToolsNET.v2.dll> 

using namespace System;

// 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 nCTVolatiltyCurvesGlobal = 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();
    
public: String* CPPNET_EX_EquitySABRVolCurve()
{
    nCTVolatiltyCurvesGlobal += 1;

    String* szErrorMsg = "";
    
    try
    {


    //    Creates a centralized valuation date object.


    String* MyValuationDate;
    MyValuationDate = 
        ValueDateObjPart();
    
    


    //    EURO calendar used for holiday adjustments.


    String* MyEuroCal;
    MyEuroCal = 
        CALEUROPart();
    
    


    //    Creates an equity/FX/commodity SABR object to model the dynamics 
    //    of the volatility curve (smile).

    String* MyEquitySABRVolCurve;
    MyEquitySABRVolCurve = 
        EquitySABRVolCurvePart(
        MyValuationDate,
        MyEuroCal);
    
    // This is the result we are looking for.
    return MyEquitySABRVolCurve;
    

    }
    catch(Exception e)
    {
        szErrorMsg = e.Message;
        throw e;
    }
}                
        


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

private: String* EquitySABRVolCurvePart(
    String* MyValuationDate,
    String* MyEuroCal)
{

        //  Create example range for parameter EquitySABRVolCurve_SABRMatrix
        CTQL::CTRangeData* EquitySABRVolCurve_SABRMatrix = 
            new CTQL::CTRangeData();

        System::Text::StringBuilder* EquitySABRVolCurve_SABRMatrix_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.
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"{");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'Opt\\SABR'     | ATM     | ALPHA     | BETA     | RHO     | FWD ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'3M'     | 20.01     | 3.8     | 0.7     | 0.25     | 207.04 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'6M'     | 20.02     | 3.8     | 0.7     | 0.25     | 215.04 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'9M'     | 20.02     | 3.8     | 0.7     | 0.25     | 223.68 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'12M'     | 20.03     | 3.81     | 0.7     | 0.25     | 229.31 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'2Y'     | 20.04     | 3.81     | 0.7     | 0.25     | 237.12 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'3Y'     | 20.05     | 3.81     | 0.7     | 0.25     | 247.11 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'4Y'     | 20.06     | 3.81     | 0.7     | 0.25     | 253.04 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'5Y'     | 20.07     | 3.81     | 0.7     | 0.25     | 261.81 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'6Y'     | 20.08     | 3.81     | 0.7     | 0.25     | 267.77 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'7Y'     | 20.09     | 3.81     | 0.7     | 0.25     | 277.48 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'8Y'     | 20.09     | 3.82     | 0.7     | 0.25     | 282.77 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'9Y'     | 20.1     | 3.82     | 0.7     | 0.25     | 290.6 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'10Y'     | 20.11     | 3.82     | 0.7     | 0.25     | 295.62 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'11Y'     | 20.12     | 3.82     | 0.7     | 0.25     | 301.61 ;");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"'12Y'     | 20.13     | 3.82     | 0.7     | 0.25     | 306.96");
        EquitySABRVolCurve_SABRMatrix_builder->Append(S"}");
        
        EquitySABRVolCurve_SABRMatrix->RangeFromStr
        (
            EquitySABRVolCurve_SABRMatrix_builder->ToString()
        );



    //    Key value to use as a handle for the created object
        String* MyEquitySABRVolCurve = String::Format(S"{0}_{1}", S"MyEquitySABRVolCurve", System::Convert::ToString(nCTVolatiltyCurvesGlobal));


    //    When creating this object for the first time, set this parameter 
    //    to a positive value.
        int Reload = 1;


    //    Number of days between the Exercise date of the options and 
    //    the STARTDATE of the instrument.
        int SettleDays = 2;


    //    Is the input volatility entered as a percentage value (true), 
    //    or the raw volatility value (false).
        bool DivideVolBy100 = true;


    //    Business Day Convention.
        CTQL::CTIEnums::BDCEnum BusDayConv = CTQL::CTIEnums::BDCEnum::BDC_modifiedfollowing;


    //    DayCounter used for the calculation of option maturity in year 
    //    units.
        CTQL::CTIEnums::DayCountEnum DayCount = CTQL::CTIEnums::DayCountEnum::DayCount_30360;


    //    Interpolation method to use when interpolating the curve for 
    //    vols, - LINEAR, LOGLINEAR, CUBIC.
        CTQL::CTIEnums::InterpEnum InterpType = CTQL::CTIEnums::InterpEnum::Interp_LINEAR;

                    
    //  Excel function call would be this - "CT.CRV.EquitySABRVolCurve()"

    //    Creates an equity/FX/commodity SABR object to model the dynamics 
    //    of the volatility curve (smile).
        String* rEquitySABRVolCurve;
                                        
        rEquitySABRVolCurve = CTQL::CTVolatiltyCurvesSA->EquitySABRVolCurve(
                MyEquitySABRVolCurve,
                Reload,
                MyValuationDate,
                SettleDays,
                EquitySABRVolCurve_SABRMatrix,
                DivideVolBy100,
                BusDayConv,
                DayCount,
                MyEuroCal,
                InterpType);


    return rEquitySABRVolCurve;
}        







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