ExpiryKVolMatrix Example CPP

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.

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

#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_ExpiryKVolMatrix()

{

nCTVolatiltyCurvesGlobal += 1;

std::string szErrorMsg = "";

try

{

// Creates a centralized valuation date object.

std::string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

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

std::string MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

std::string MyEuroCal;

MyEuroCal =

CALEUROPart();

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

// Index, but without the YieldCurve information.

std::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.

std::string MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

// Creates a volatility matrix.

std::string MyExpiryKVolMatrix;

MyExpiryKVolMatrix =

ExpiryKVolMatrixPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// This is the result we are looking for.

return MyExpiryKVolMatrix;

}

catch(std::exception e)

{

szErrorMsg = e.what();

throw;

}

catch(...)

{

throw;

}

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

std::string ExpiryKVolMatrixPart(

std::string MyValuationDate,

std::string MyDepoTPL,

std::string MySwapTPL)

{

// Create example range for parameter ExpiryKVolMatrix_volRange

CTRangeDataCPP ExpiryKVolMatrix_volRange;

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

// purposes, this is quicker and more informative.

ExpiryKVolMatrix_volRange.RangeFromStr

(

"{"

"'Opt\\Strike' | 0.02 | 0.025 | 0.03 | 0.035 | 0.04 | 0.045 | 0.05 | 0.055 | 0.06 | 0.065 | 0.07 ;"

"'3M' | 21.33 | 20.33 | 19.53 | 18.93 | 18.53 | 18.33 | 18.53 | 18.93 | 19.53 | 20.33 | 21.33 ;"

"'6M' | 21.23 | 20.23 | 19.43 | 18.83 | 18.43 | 18.23 | 18.43 | 18.83 | 19.43 | 20.23 | 21.23 ;"

"'9M' | 21.29 | 20.29 | 19.49 | 18.89 | 18.49 | 18.29 | 18.49 | 18.89 | 19.49 | 20.29 | 21.29 ;"

"'12M' | 21.35 | 20.35 | 19.55 | 18.95 | 18.55 | 18.35 | 18.55 | 18.95 | 19.55 | 20.35 | 21.35 ;"

"'2Y' | 21.37 | 20.37 | 19.57 | 18.97 | 18.57 | 18.37 | 18.57 | 18.97 | 19.57 | 20.37 | 21.37 ;"

"'4Y' | 21.34 | 20.34 | 19.54 | 18.94 | 18.54 | 18.34 | 18.54 | 18.94 | 19.54 | 20.34 | 21.34 ;"

"'6Y' | 21.37 | 20.37 | 19.57 | 18.97 | 18.57 | 18.37 | 18.57 | 18.97 | 19.57 | 20.37 | 21.37 ;"

"'8Y' | 21.35 | 20.35 | 19.55 | 18.95 | 18.55 | 18.35 | 18.55 | 18.95 | 19.55 | 20.35 | 21.35 ;"

"'10Y' | 21.37 | 20.37 | 19.57 | 18.97 | 18.57 | 18.37 | 18.57 | 18.97 | 19.57 | 20.37 | 21.37 ;"

"'12Y' | 21.4 | 20.4 | 19.6 | 19 | 18.6 | 18.4 | 18.6 | 19 | 19.6 | 20.4 | 21.4 ;"

"'14Y' | 21.25 | 20.25 | 19.45 | 18.85 | 18.45 | 18.25 | 18.45 | 18.85 | 19.45 | 20.25 | 21.25 ;"

"'16Y' | 21.38 | 20.38 | 19.58 | 18.98 | 18.58 | 18.38 | 18.58 | 18.98 | 19.58 | 20.38 | 21.38 ;"

"'18Y' | 21.29 | 20.29 | 19.49 | 18.89 | 18.49 | 18.29 | 18.49 | 18.89 | 19.49 | 20.29 | 21.29 ;"

"'20Y' | 21.21 | 20.21 | 19.41 | 18.81 | 18.41 | 18.21 | 18.41 | 18.81 | 19.41 | 20.21 | 21.21 ;"

"'22Y' | 21.33 | 20.33 | 19.53 | 18.93 | 18.53 | 18.33 | 18.53 | 18.93 | 19.53 | 20.33 | 21.33"

"}"

);

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

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

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

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

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

// to a positive value.

long Reload = 1;

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

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

// function ).

std::string CurveName = "MyExpiryKVolMatrix";

// 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;

// The actual underlying that the Volatility matrix represents.

std::string UndTenor = "5Y";

// DayCounter for converting dates into year fractions.

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.ExpiryKVolMatrix()"

// Creates a volatility matrix.

std::string rExpiryKVolMatrix;

rExpiryKVolMatrix = CTVolatiltyCurvesSA::ExpiryKVolMatrix(

MyExpiryKVolMatrix,

Reload,

CurveName,

MyValuationDate,

SettleDays,

ExpiryKVolMatrix_volRange,

DivideVolBy100,

UndTenor,

MyDepoTPL,

MySwapTPL,

DayCount,

InterpType);

return rExpiryKVolMatrix;

}