ExpiryKVolMatrix Example CS

C# Example - ExpiryKVolMatrix

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

// The first function here ExpiryKVolMatrix(), contains a series of

// function calls leading upto the main function call, the second function

// within this file ( ExpiryKVolMatrixPart() ).

// 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 System;

// Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)

// and using the reduced version (in the case of declaring enumerations).

// This is just to demostrate both types of coding.

using CTQL; // You need to add a reference to the QuantToolsNET.v2.dll also

// 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;

// 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 CS_EX_ExpiryKVolMatrix()

{

nCTVolatiltyCurvesGlobal += 1;

string szErrorMsg = "";

try

{

// Creates a centralized valuation date object.

string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// UK date calendar used within the UK stock exchange.

string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

string MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates a Deposit template which is almost identical to a Libor

// Index, but without the YieldCurve information.

string MyDepoTPL;

MyDepoTPL =

CreateDepoTemplatePart(

MyCALUKExchange,

MyEuroCal);

// Creates a Swap template which is almost identical to the definition

// of the parameters of a swap contract, but without the swap duration,

// buysell, and YieldCurve information.

string MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

// Creates a volatility matrix.

string MyExpiryKVolMatrix;

MyExpiryKVolMatrix =

ExpiryKVolMatrixPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// This is the result we are looking for.

return MyExpiryKVolMatrix;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

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

private string ExpiryKVolMatrixPart(

string MyValuationDate,

string MyDepoTPL,

string MySwapTPL)

{

// Create example range for parameter ExpiryKVolMatrix_volRange

CTQL.CTRangeData ExpiryKVolMatrix_volRange =

new CTQL.CTRangeData();

System.Text.StringBuilder ExpiryKVolMatrix_volRange_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.

ExpiryKVolMatrix_volRange_builder.Append("{");

ExpiryKVolMatrix_volRange_builder.Append("'Opt\\Strike' | 0.02 | 0.025 | 0.03 | 0.035 | 0.04 | 0.045 | 0.05 | 0.055 | 0.06 | 0.065 | 0.07 ;");

ExpiryKVolMatrix_volRange_builder.Append("'3M' | 21.33 | 20.33 | 19.53 | 18.93 | 18.53 | 18.33 | 18.53 | 18.93 | 19.53 | 20.33 | 21.33 ;");

ExpiryKVolMatrix_volRange_builder.Append("'6M' | 21.23 | 20.23 | 19.43 | 18.83 | 18.43 | 18.23 | 18.43 | 18.83 | 19.43 | 20.23 | 21.23 ;");

ExpiryKVolMatrix_volRange_builder.Append("'9M' | 21.29 | 20.29 | 19.49 | 18.89 | 18.49 | 18.29 | 18.49 | 18.89 | 19.49 | 20.29 | 21.29 ;");

ExpiryKVolMatrix_volRange_builder.Append("'12M' | 21.35 | 20.35 | 19.55 | 18.95 | 18.55 | 18.35 | 18.55 | 18.95 | 19.55 | 20.35 | 21.35 ;");

ExpiryKVolMatrix_volRange_builder.Append("'2Y' | 21.37 | 20.37 | 19.57 | 18.97 | 18.57 | 18.37 | 18.57 | 18.97 | 19.57 | 20.37 | 21.37 ;");

ExpiryKVolMatrix_volRange_builder.Append("'4Y' | 21.34 | 20.34 | 19.54 | 18.94 | 18.54 | 18.34 | 18.54 | 18.94 | 19.54 | 20.34 | 21.34 ;");

ExpiryKVolMatrix_volRange_builder.Append("'6Y' | 21.37 | 20.37 | 19.57 | 18.97 | 18.57 | 18.37 | 18.57 | 18.97 | 19.57 | 20.37 | 21.37 ;");

ExpiryKVolMatrix_volRange_builder.Append("'8Y' | 21.35 | 20.35 | 19.55 | 18.95 | 18.55 | 18.35 | 18.55 | 18.95 | 19.55 | 20.35 | 21.35 ;");

ExpiryKVolMatrix_volRange_builder.Append("'10Y' | 21.37 | 20.37 | 19.57 | 18.97 | 18.57 | 18.37 | 18.57 | 18.97 | 19.57 | 20.37 | 21.37 ;");

ExpiryKVolMatrix_volRange_builder.Append("'12Y' | 21.4 | 20.4 | 19.6 | 19 | 18.6 | 18.4 | 18.6 | 19 | 19.6 | 20.4 | 21.4 ;");

ExpiryKVolMatrix_volRange_builder.Append("'14Y' | 21.25 | 20.25 | 19.45 | 18.85 | 18.45 | 18.25 | 18.45 | 18.85 | 19.45 | 20.25 | 21.25 ;");

ExpiryKVolMatrix_volRange_builder.Append("'16Y' | 21.38 | 20.38 | 19.58 | 18.98 | 18.58 | 18.38 | 18.58 | 18.98 | 19.58 | 20.38 | 21.38 ;");

ExpiryKVolMatrix_volRange_builder.Append("'18Y' | 21.29 | 20.29 | 19.49 | 18.89 | 18.49 | 18.29 | 18.49 | 18.89 | 19.49 | 20.29 | 21.29 ;");

ExpiryKVolMatrix_volRange_builder.Append("'20Y' | 21.21 | 20.21 | 19.41 | 18.81 | 18.41 | 18.21 | 18.41 | 18.81 | 19.41 | 20.21 | 21.21 ;");

ExpiryKVolMatrix_volRange_builder.Append("'22Y' | 21.33 | 20.33 | 19.53 | 18.93 | 18.53 | 18.33 | 18.53 | 18.93 | 19.53 | 20.33 | 21.33");

ExpiryKVolMatrix_volRange_builder.Append("}");

ExpiryKVolMatrix_volRange.RangeFromStr

(

ExpiryKVolMatrix_volRange_builder.ToString()

);

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

string MyExpiryKVolMatrix = "MyExpiryKVolMatrix" + "_" + System.Convert.ToString(nCTVolatiltyCurvesGlobal);

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

// to a positive value.

int Reload = 1;

// A tag used to identify this curve (case insensitive) if placed

// within a Volatility curve collection ( via the GroupedVolCurves()

// function ).

string CurveName = "MyExpiryKVolMatrix";

// 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;

// The actual underlying that the Volatility matrix represents.

string UndTenor = "5Y";

// DayCounter for converting dates into year fractions.

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.ExpiryKVolMatrix()"

// Creates a volatility matrix.

string rExpiryKVolMatrix;

rExpiryKVolMatrix = CTQL.CTVolatiltyCurvesSA.ExpiryKVolMatrix(

MyExpiryKVolMatrix,

Reload,

CurveName,

MyValuationDate,

SettleDays,

ExpiryKVolMatrix_volRange,

DivideVolBy100,

UndTenor,

MyDepoTPL,

MySwapTPL,

DayCount,

InterpType);

return rExpiryKVolMatrix;

}

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

private string ValueDateObjPart()

{

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

string MyValuationDate = "MyValuationDate" + "_" + System.Convert.ToString(nCTVolatiltyCurvesGlobal);

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

// to a positive value.

int Reload = 1;

// Valuation Date (typically equal to Today's date)

CTQL.Date ValueDate = new CTQL.Date("19/7/2005", "dd/mm/yyyy");

// Excel function call would be this - "CT.DATE.ValueDateObj()"

// Creates a centralized valuation date object.

string rValueDateObj;

rValueDateObj = CTQL.CTUtilsSA.ValueDateObj(

MyValuationDate,

Reload,

ValueDate.serialNumber());

return rValueDateObj;

}

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

private string CreateDepoTemplatePart(

string MyCALUKExchange,

string MyEuroCal)

{

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

string MyDepoTPL = "MyDepoTPL" + "_" + System.Convert.ToString(nCTVolatiltyCurvesGlobal);

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

// to a positive value.

int Reload = 1;

// A friendly name that you wish to associate with this template

string Name = "MyShortIndexTemplate";

// Number of days for fixing a rate.

int FixingDays = 2;

// Currency in which default values will be copied

CTIEnums.CCYEnum Ccy = CTIEnums.CCYEnum.CCY_EUR;

// Business day convention needed for day adjustments when an adjustment

// moves the date into the preceding, following month.

CTIEnums.BDCEnum BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// Daycounter required for year length calculations.

CTIEnums.DayCountEnum dayCounter = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// The Frequency (Length) of this template.

CTIEnums.FreqEnum FLTLegFreq = CTIEnums.FreqEnum.Freq_quarterly;

// Within a Floating leg object, where there are many fixing periods,

// when fixing a rate there are two ways the end date of a fixing

// period can be computed.

bool LIBORMethod = true;

// Excel function call would be this - "CT.TPL.CreateDepoTemplate()"

// Creates a Deposit template which is almost identical to a Libor

// Index, but without the YieldCurve information.

string rCreateDepoTemplate;

rCreateDepoTemplate = CTQL.CTIndexesSA.CreateDepoTemplate(

MyDepoTPL,

Reload,

Name,

FixingDays,

Ccy,

MyCALUKExchange,

MyEuroCal,

BusDayConv,

dayCounter,

FLTLegFreq,

LIBORMethod);

return rCreateDepoTemplate;

}

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

private string CreateSwapTemplatePart(

string MyEuroCal,

string MyDepoTPL)

{

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

string MySwapTPL = "MySwapTPL" + "_" + System.Convert.ToString(nCTVolatiltyCurvesGlobal);

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

// to a positive value.

int Reload = 1;

// A friendly name that you wish to associate with this template

string Name = "MySwapIndexTemplate";

// Number of days for fixing a rate.

int FixingDays = 2;

// Business day convention needed for day adjustments when an adjustment

// moves the date into the preceding, following month.

CTIEnums.BDCEnum CashFlowBDConv = CTIEnums.BDCEnum.BDC_modifiedfollowing;

// The Frequency of the FIX side of the swap.

CTIEnums.FreqEnum CashFlowFreq = CTIEnums.FreqEnum.Freq_semiannual;

// Daycounter required for year length calculations.

CTIEnums.DayCountEnum dayCounter = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Excel function call would be this - "CT.TPL.CreateSwapTemplate()"

// Creates a Swap template which is almost identical to the definition

// of the parameters of a swap contract, but without the swap duration,

// buysell, and YieldCurve information.

string rCreateSwapTemplate;

rCreateSwapTemplate = CTQL.CTIndexesSA.CreateSwapTemplate(

MySwapTPL,

Reload,

Name,

FixingDays,

MyEuroCal,

CashFlowBDConv,

CashFlowFreq,

dayCounter,

MyDepoTPL);

return rCreateSwapTemplate;

}

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

private string CALUKExchangePart()

{

// Create example range for parameter CALUKExchange_AddHols

CTQL.CTRangeData CALUKExchange_AddHols;

int[] arrBCALUKExchange_AddHols = {

CTQL.Date.serialNumber("1/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("2/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("3/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("4/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("5/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("6/2/2006", "dd/mm/yyyy") // Array Data

};

CTQL.IntVector arrCALUKExchange_AddHols =

new CTQL.IntVector(arrBCALUKExchange_AddHols);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CALUKExchange_AddHols = new CTQL.CTRangeData(arrCALUKExchange_AddHols, false);

// Create example range for parameter CALUKExchange_RemoveHols

CTQL.CTRangeData CALUKExchange_RemoveHols;

int[] arrBCALUKExchange_RemoveHols = {

CTQL.Date.serialNumber("25/12/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("25/12/2007", "dd/mm/yyyy") // Array Data

};

CTQL.IntVector arrCALUKExchange_RemoveHols =

new CTQL.IntVector(arrBCALUKExchange_RemoveHols);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CALUKExchange_RemoveHols = new CTQL.CTRangeData(arrCALUKExchange_RemoveHols, false);

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

string MyCALUKExchange = "MyCALUKExchange" + "_" + System.Convert.ToString(nCTVolatiltyCurvesGlobal);

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

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.CAL.UK.Exchange()"

// UK date calendar used within the UK stock exchange.

string rCALUKExchange;

rCALUKExchange = CTQL.CTCalendarsSA.CALUKExchange(

MyCALUKExchange,

Reload,

CALUKExchange_AddHols,

CALUKExchange_RemoveHols);

return rCALUKExchange;

}

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

private string CALEUROPart()

{

// Create example range for parameter CALEURO_AddHols

CTQL.CTRangeData CALEURO_AddHols;

int[] arrBCALEURO_AddHols = {

CTQL.Date.serialNumber("1/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("2/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("3/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("4/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("5/2/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("6/2/2006", "dd/mm/yyyy") // Array Data

};

CTQL.IntVector arrCALEURO_AddHols =

new CTQL.IntVector(arrBCALEURO_AddHols);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CALEURO_AddHols = new CTQL.CTRangeData(arrCALEURO_AddHols, false);

// Create example range for parameter CALEURO_RemoveHols

CTQL.CTRangeData CALEURO_RemoveHols;

int[] arrBCALEURO_RemoveHols = {

CTQL.Date.serialNumber("25/12/2006", "dd/mm/yyyy"),

CTQL.Date.serialNumber("25/12/2007", "dd/mm/yyyy") // Array Data

};

CTQL.IntVector arrCALEURO_RemoveHols =

new CTQL.IntVector(arrBCALEURO_RemoveHols);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CALEURO_RemoveHols = new CTQL.CTRangeData(arrCALEURO_RemoveHols, false);

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

string MyEuroCal = "MyEuroCal" + "_" + System.Convert.ToString(nCTVolatiltyCurvesGlobal);

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

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.CAL.EURO()"

// EURO calendar used for holiday adjustments.

string rCALEURO;

rCALEURO = CTQL.CTCalendarsSA.CALEURO(

MyEuroCal,

Reload,

CALEURO_AddHols,

CALEURO_RemoveHols);

return rCALEURO;

}