EquitySABRVolCurve Example Java

Java 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.

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

public class Java_EX_EquitySABRVolCurve()

{

static

{

try

{

System.loadLibrary("CTQuantToolsAPI20");

}

catch (UnsatisfiedLinkError e)

{

System.err.println("Native code library failed to load. Make sure that the CTQuantToolsAPI20.dll is installed correctly.\n" + e);

System.exit(1);

}

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();

static String szTickedKeyName;

public static String Java_EX_EquitySABRVolCurve(String argv[])

{

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.getMessage();

System.exit(1);

}

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

private static String EquitySABRVolCurvePart(

String MyValuationDate,

String MyEuroCal)

{

// Create example range for parameter EquitySABRVolCurve_SABRMatrix

CTQL.CTRangeData EquitySABRVolCurve_SABRMatrix =

new CTQL.CTRangeData();

StringBuffer EquitySABRVolCurve_SABRMatrix_builder = new StringBuffer(100);

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

// purposes, this is quicker and more informative.

EquitySABRVolCurve_SABRMatrix_builder.append("{");

EquitySABRVolCurve_SABRMatrix_builder.append("'Opt\\SABR' | ATM | ALPHA | BETA | RHO | FWD ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'3M' | 20.01 | 3.8 | 0.7 | 0.25 | 207.04 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'6M' | 20.02 | 3.8 | 0.7 | 0.25 | 215.04 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'9M' | 20.02 | 3.8 | 0.7 | 0.25 | 223.68 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'12M' | 20.03 | 3.81 | 0.7 | 0.25 | 229.31 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'2Y' | 20.04 | 3.81 | 0.7 | 0.25 | 237.12 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'3Y' | 20.05 | 3.81 | 0.7 | 0.25 | 247.11 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'4Y' | 20.06 | 3.81 | 0.7 | 0.25 | 253.04 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'5Y' | 20.07 | 3.81 | 0.7 | 0.25 | 261.81 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'6Y' | 20.08 | 3.81 | 0.7 | 0.25 | 267.77 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'7Y' | 20.09 | 3.81 | 0.7 | 0.25 | 277.48 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'8Y' | 20.09 | 3.82 | 0.7 | 0.25 | 282.77 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'9Y' | 20.1 | 3.82 | 0.7 | 0.25 | 290.6 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'10Y' | 20.11 | 3.82 | 0.7 | 0.25 | 295.62 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'11Y' | 20.12 | 3.82 | 0.7 | 0.25 | 301.61 ;");

EquitySABRVolCurve_SABRMatrix_builder.append("'12Y' | 20.13 | 3.82 | 0.7 | 0.25 | 306.96");

EquitySABRVolCurve_SABRMatrix_builder.append("}");

EquitySABRVolCurve_SABRMatrix.RangeFromStr

(

EquitySABRVolCurve_SABRMatrix_builder.toString()

);

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

String MyEquitySABRVolCurve = "MyEquitySABRVolCurve" + "_" + Integer.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.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

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

// units.

CTIEnums.DayCountEnum DayCount = CTIEnums.DayCountEnum.DayCount_30360;

// Interpolation method to use when interpolating the curve for

// vols, - LINEAR, LOGLINEAR, CUBIC.

CTIEnums.InterpEnum InterpType = 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;

}