EquitySABRVolCurve Example CPP

C++ 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.

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

#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 nCTVolatiltyCurvesGlobal = 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_EquitySABRVolCurve()

{

nCTVolatiltyCurvesGlobal += 1;

std::string szErrorMsg = "";

try

{

// Creates a centralized valuation date object.

std::string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// EURO calendar used for holiday adjustments.

std::string MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates an equity/FX/commodity SABR object to model the dynamics

// of the volatility curve (smile).

std::string MyEquitySABRVolCurve;

MyEquitySABRVolCurve =

EquitySABRVolCurvePart(

MyValuationDate,

MyEuroCal);

// This is the result we are looking for.

return MyEquitySABRVolCurve;

}

catch(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

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

std::string EquitySABRVolCurvePart(

std::string MyValuationDate,

std::string MyEuroCal)

{

// Create example range for parameter EquitySABRVolCurve_SABRMatrix

CTRangeDataCPP EquitySABRVolCurve_SABRMatrix;

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

// purposes, this is quicker and more informative.

EquitySABRVolCurve_SABRMatrix.RangeFromStr

(

"{"

"'Opt\\SABR' | ATM | ALPHA | BETA | RHO | FWD ;"

"'3M' | 20.01 | 3.8 | 0.7 | 0.25 | 207.04 ;"

"'6M' | 20.02 | 3.8 | 0.7 | 0.25 | 215.04 ;"

"'9M' | 20.02 | 3.8 | 0.7 | 0.25 | 223.68 ;"

"'12M' | 20.03 | 3.81 | 0.7 | 0.25 | 229.31 ;"

"'2Y' | 20.04 | 3.81 | 0.7 | 0.25 | 237.12 ;"

"'3Y' | 20.05 | 3.81 | 0.7 | 0.25 | 247.11 ;"

"'4Y' | 20.06 | 3.81 | 0.7 | 0.25 | 253.04 ;"

"'5Y' | 20.07 | 3.81 | 0.7 | 0.25 | 261.81 ;"

"'6Y' | 20.08 | 3.81 | 0.7 | 0.25 | 267.77 ;"

"'7Y' | 20.09 | 3.81 | 0.7 | 0.25 | 277.48 ;"

"'8Y' | 20.09 | 3.82 | 0.7 | 0.25 | 282.77 ;"

"'9Y' | 20.1 | 3.82 | 0.7 | 0.25 | 290.6 ;"

"'10Y' | 20.11 | 3.82 | 0.7 | 0.25 | 295.62 ;"

"'11Y' | 20.12 | 3.82 | 0.7 | 0.25 | 301.61 ;"

"'12Y' | 20.13 | 3.82 | 0.7 | 0.25 | 306.96"

"}"

);

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

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

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

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

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

// to a positive value.

long Reload = 1;

// Number of days between the Exercise date of the options and

// the STARTDATE of the instrument.

long SettleDays = 2;

// Is the input volatility entered as a percentage value (true),

// or the raw volatility value (false).

bool DivideVolBy100 = true;

// Business Day Convention.

BDCEnum BusDayConv = BDC_modifiedfollowing;

// DayCounter used for the calculation of option maturity in year

// units.

DayCountEnum DayCount = DayCount_30360;

// Interpolation method to use when interpolating the curve for

// vols, - LINEAR, LOGLINEAR, CUBIC.

InterpEnum InterpType = 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).

std::string rEquitySABRVolCurve;

rEquitySABRVolCurve = CTVolatiltyCurvesSA::EquitySABRVolCurve(

MyEquitySABRVolCurve,

Reload,

MyValuationDate,

SettleDays,

EquitySABRVolCurve_SABRMatrix,

DivideVolBy100,

BusDayConv,

DayCount,

MyEuroCal,

InterpType);

return rEquitySABRVolCurve;

}