SABRVolCurve Example VBNET




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SABRVolCurve function

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Example VB.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 SABRVolCurve() )

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 :



VB.NET Example - SABRVolCurve





    '     ##################################################################################
    '     The first function here SABRVolCurve(), contains a series of
    '     function calls leading upto the main function call, the second function
    '     within this file ( SABRVolCurvePart() ).
    '     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. 
    '     ##################################################################################
        

Imports 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.

Imports 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.
Global nCTVolatiltyCurvesGlobal As Integer
    
' 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
Global oEmptyRange As CTQL.CTRangeData
    
Public Function VB_EX_SABRVolCurve() As String

    nCTVolatiltyCurvesGlobal = nCTVolatiltyCurvesGlobal + 1
            

    Dim szErrorMsg As String
          
    Try

            
    

    '    Creates a centralized valuation date object.

    Dim MyValuationDate As String
    MyValuationDate = _
        ValueDateObjPart()


    

    '    UK date calendar used within the UK stock exchange.

    Dim MyCALUKExchange As String
    MyCALUKExchange = _
        CALUKExchangePart()


    

    '    EURO calendar used for holiday adjustments.

    Dim MyEuroCal As String
    MyEuroCal = _
        CALEUROPart()


    

    '    Creates a Deposit template which is almost identical to a Libor 
    '    Index, but without the YieldCurve information.
    Dim MyDepoTPL As String
    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.
    Dim MySwapTPL As String
    MySwapTPL = _
        CreateSwapTemplatePart( _
        MyEuroCal, _
        MyDepoTPL)


    

    '    Creates a SABR curve to model the dynamics of the volatility 
    '    curve (smile).
    Dim MySABRVolCurve As String
    MySABRVolCurve = _
        SABRVolCurvePart( _
        MyValuationDate, _
        MyDepoTPL, _
        MySwapTPL)

    ' This is the result we are looking for.
    VB_EX_SABRVolCurve = MySABRVolCurve

            
    Catch e As Exception
        szErrorMsg = e.Message
        Throw e
    Catch e As System.ApplicationException
        szData = e.Message
    End Try
            
End Function                
        


' ///////////////////////////////////////////////////////////////////

Private Function SABRVolCurvePart( _
    MyValuationDate As String, _                
    MyDepoTPL As String, _                
    MySwapTPL As String) As String


    
        '  Create example range for parameter SABRVolCurve_ATMRange


        Dim SABRVolCurve_ATMRange _
            As CTQL.CTRangeData

        Dim SABRVolCurve_ATMRange_builder _
            As New System.Text.StringBuilder(100)
        
        ' We could set the value for each cell individually, but for display
        ' purposes, this is quicker and more informative.
        SABRVolCurve_ATMRange_builder.Append("{")
        SABRVolCurve_ATMRange_builder.Append("'Opt\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;")
        SABRVolCurve_ATMRange_builder.Append("'3M'     | 18     | 18.01     | 18.02     | 18.02     | 18.03     | 18.04     | 18.05     | 18.06     | 18.07     | 18.07     | 18.08     | 18.09 ;")
        SABRVolCurve_ATMRange_builder.Append("'6M'     | 18.1     | 18.11     | 18.12     | 18.12     | 18.13     | 18.14     | 18.15     | 18.16     | 18.17     | 18.17     | 18.18     | 18.19 ;")
        SABRVolCurve_ATMRange_builder.Append("'9M'     | 18.19     | 18.2     | 18.21     | 18.22     | 18.22     | 18.23     | 18.24     | 18.25     | 18.26     | 18.26     | 18.27     | 18.28 ;")
        SABRVolCurve_ATMRange_builder.Append("'12M'     | 18.29     | 18.29     | 18.3     | 18.31     | 18.32     | 18.32     | 18.33     | 18.34     | 18.34     | 18.35     | 18.36     | 18.37 ;")
        SABRVolCurve_ATMRange_builder.Append("'2Y'     | 18.37     | 18.38     | 18.39     | 18.4     | 18.41     | 18.42     | 18.42     | 18.43     | 18.44     | 18.44     | 18.45     | 18.46 ;")
        SABRVolCurve_ATMRange_builder.Append("'4Y'     | 18.46     | 18.47     | 18.48     | 18.48     | 18.49     | 18.5     | 18.5     | 18.51     | 18.52     | 18.53     | 18.53     | 18.54 ;")
        SABRVolCurve_ATMRange_builder.Append("'6Y'     | 18.55     | 18.55     | 18.56     | 18.57     | 18.57     | 18.58     | 18.59     | 18.6     | 18.6     | 18.61     | 18.62     | 18.62 ;")
        SABRVolCurve_ATMRange_builder.Append("'8Y'     | 18.63     | 18.64     | 18.64     | 18.65     | 18.66     | 18.66     | 18.67     | 18.68     | 18.69     | 18.69     | 18.7     | 18.71 ;")
        SABRVolCurve_ATMRange_builder.Append("'10Y'     | 18.71     | 18.72     | 18.73     | 18.74     | 18.75     | 18.75     | 18.76     | 18.77     | 18.78     | 18.79     | 18.79     | 18.8 ;")
        SABRVolCurve_ATMRange_builder.Append("'12Y'     | 18.81     | 18.81     | 18.82     | 18.83     | 18.84     | 18.84     | 18.85     | 18.86     | 18.87     | 18.87     | 18.88     | 18.88 ;")
        SABRVolCurve_ATMRange_builder.Append("'14Y'     | 18.89     | 18.9     | 18.91     | 18.92     | 18.92     | 18.93     | 18.94     | 18.95     | 18.96     | 18.96     | 18.97     | 18.98 ;")
        SABRVolCurve_ATMRange_builder.Append("'16Y'     | 18.99     | 18.99     | 19     | 19.01     | 19.02     | 19.03     | 19.04     | 19.05     | 19.05     | 19.06     | 19.07     | 19.07 ;")
        SABRVolCurve_ATMRange_builder.Append("'18Y'     | 19.08     | 19.08     | 19.09     | 19.1     | 19.11     | 19.11     | 19.12     | 19.13     | 19.13     | 19.14     | 19.15     | 19.16 ;")
        SABRVolCurve_ATMRange_builder.Append("'20Y'     | 19.16     | 19.17     | 19.18     | 19.18     | 19.19     | 19.2     | 19.21     | 19.21     | 19.22     | 19.22     | 19.23     | 19.24 ;")
        SABRVolCurve_ATMRange_builder.Append("'22Y'     | 19.25     | 19.26     | 19.26     | 19.27     | 19.28     | 19.29     | 19.29     | 19.3     | 19.31     | 19.32     | 19.32     | 19.33")
        SABRVolCurve_ATMRange_builder.Append("}")
        
         SABRVolCurve_ATMRange.RangeFromStr _
         ( _
             SABRVolCurve_ATMRange_builder.ToString() _
         )
        
        '  Create example range for parameter SABRVolCurve_ALPHARange


        Dim SABRVolCurve_ALPHARange _
            As CTQL.CTRangeData

        Dim SABRVolCurve_ALPHARange_builder _
            As New System.Text.StringBuilder(100)
        
        ' We could set the value for each cell individually, but for display
        ' purposes, this is quicker and more informative.
        SABRVolCurve_ALPHARange_builder.Append("{")
        SABRVolCurve_ALPHARange_builder.Append("'Opt\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;")
        SABRVolCurve_ALPHARange_builder.Append("'3M'     | 0.4     | 0.4     | 0.4     | 0.4     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.42 ;")
        SABRVolCurve_ALPHARange_builder.Append("'6M'     | 0.42     | 0.42     | 0.42     | 0.42     | 0.42     | 0.42     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43 ;")
        SABRVolCurve_ALPHARange_builder.Append("'9M'     | 0.43     | 0.44     | 0.44     | 0.44     | 0.44     | 0.44     | 0.44     | 0.45     | 0.45     | 0.45     | 0.45     | 0.45 ;")
        SABRVolCurve_ALPHARange_builder.Append("'12M'     | 0.45     | 0.45     | 0.46     | 0.46     | 0.46     | 0.46     | 0.46     | 0.46     | 0.46     | 0.47     | 0.47     | 0.47 ;")
        SABRVolCurve_ALPHARange_builder.Append("'2Y'     | 0.47     | 0.47     | 0.47     | 0.47     | 0.48     | 0.48     | 0.48     | 0.48     | 0.48     | 0.48     | 0.49     | 0.49 ;")
        SABRVolCurve_ALPHARange_builder.Append("'4Y'     | 0.49     | 0.49     | 0.49     | 0.49     | 0.49     | 0.49     | 0.5     | 0.5     | 0.5     | 0.5     | 0.5     | 0.5 ;")
        SABRVolCurve_ALPHARange_builder.Append("'6Y'     | 0.51     | 0.51     | 0.51     | 0.51     | 0.51     | 0.51     | 0.52     | 0.52     | 0.52     | 0.52     | 0.52     | 0.52 ;")
        SABRVolCurve_ALPHARange_builder.Append("'8Y'     | 0.52     | 0.53     | 0.53     | 0.53     | 0.53     | 0.53     | 0.53     | 0.53     | 0.54     | 0.54     | 0.54     | 0.54 ;")
        SABRVolCurve_ALPHARange_builder.Append("'10Y'     | 0.54     | 0.54     | 0.54     | 0.55     | 0.55     | 0.55     | 0.55     | 0.55     | 0.55     | 0.55     | 0.56     | 0.56 ;")
        SABRVolCurve_ALPHARange_builder.Append("'12Y'     | 0.56     | 0.56     | 0.56     | 0.56     | 0.56     | 0.57     | 0.57     | 0.57     | 0.57     | 0.57     | 0.57     | 0.57 ;")
        SABRVolCurve_ALPHARange_builder.Append("'14Y'     | 0.57     | 0.58     | 0.58     | 0.58     | 0.58     | 0.58     | 0.58     | 0.58     | 0.59     | 0.59     | 0.59     | 0.59 ;")
        SABRVolCurve_ALPHARange_builder.Append("'16Y'     | 0.59     | 0.59     | 0.59     | 0.6     | 0.6     | 0.6     | 0.6     | 0.6     | 0.6     | 0.6     | 0.61     | 0.61 ;")
        SABRVolCurve_ALPHARange_builder.Append("'18Y'     | 0.61     | 0.61     | 0.61     | 0.61     | 0.61     | 0.62     | 0.62     | 0.62     | 0.62     | 0.62     | 0.62     | 0.62 ;")
        SABRVolCurve_ALPHARange_builder.Append("'20Y'     | 0.63     | 0.63     | 0.63     | 0.63     | 0.63     | 0.63     | 0.64     | 0.64     | 0.64     | 0.64     | 0.64     | 0.64 ;")
        SABRVolCurve_ALPHARange_builder.Append("'22Y'     | 0.65     | 0.65     | 0.65     | 0.65     | 0.65     | 0.65     | 0.65     | 0.65     | 0.66     | 0.66     | 0.66     | 0.66")
        SABRVolCurve_ALPHARange_builder.Append("}")
        
         SABRVolCurve_ALPHARange.RangeFromStr _
         ( _
             SABRVolCurve_ALPHARange_builder.ToString() _
         )
        
        '  Create example range for parameter SABRVolCurve_BETARange


        Dim SABRVolCurve_BETARange _
            As CTQL.CTRangeData

        Dim SABRVolCurve_BETARange_builder _
            As New System.Text.StringBuilder(100)
        
        ' We could set the value for each cell individually, but for display
        ' purposes, this is quicker and more informative.
        SABRVolCurve_BETARange_builder.Append("{")
        SABRVolCurve_BETARange_builder.Append("'Opt\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;")
        SABRVolCurve_BETARange_builder.Append("'3M'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'6M'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'9M'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'12M'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'2Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'4Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'6Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'8Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'10Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'12Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'14Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'16Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'18Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'20Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7 ;")
        SABRVolCurve_BETARange_builder.Append("'22Y'     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7     | 0.7")
        SABRVolCurve_BETARange_builder.Append("}")
        
         SABRVolCurve_BETARange.RangeFromStr _
         ( _
             SABRVolCurve_BETARange_builder.ToString() _
         )
        
        '  Create example range for parameter SABRVolCurve_RHORange


        Dim SABRVolCurve_RHORange _
            As CTQL.CTRangeData

        Dim SABRVolCurve_RHORange_builder _
            As New System.Text.StringBuilder(100)
        
        ' We could set the value for each cell individually, but for display
        ' purposes, this is quicker and more informative.
        SABRVolCurve_RHORange_builder.Append("{")
        SABRVolCurve_RHORange_builder.Append("'Opt\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;")
        SABRVolCurve_RHORange_builder.Append("'3M'     | 0.3     | 0.3     | 0.3     | 0.31     | 0.31     | 0.31     | 0.31     | 0.31     | 0.31     | 0.31     | 0.31     | 0.32 ;")
        SABRVolCurve_RHORange_builder.Append("'6M'     | 0.32     | 0.32     | 0.32     | 0.32     | 0.32     | 0.32     | 0.33     | 0.32     | 0.32     | 0.33     | 0.33     | 0.33 ;")
        SABRVolCurve_RHORange_builder.Append("'9M'     | 0.33     | 0.33     | 0.32     | 0.33     | 0.32     | 0.33     | 0.33     | 0.33     | 0.33     | 0.33     | 0.33     | 0.33 ;")
        SABRVolCurve_RHORange_builder.Append("'12M'     | 0.33     | 0.34     | 0.33     | 0.33     | 0.33     | 0.33     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34 ;")
        SABRVolCurve_RHORange_builder.Append("'2Y'     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.34     | 0.35     | 0.35 ;")
        SABRVolCurve_RHORange_builder.Append("'4Y'     | 0.35     | 0.35     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36     | 0.36 ;")
        SABRVolCurve_RHORange_builder.Append("'6Y'     | 0.37     | 0.36     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37     | 0.37 ;")
        SABRVolCurve_RHORange_builder.Append("'8Y'     | 0.38     | 0.38     | 0.38     | 0.37     | 0.37     | 0.37     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38 ;")
        SABRVolCurve_RHORange_builder.Append("'10Y'     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.37     | 0.38     | 0.37     | 0.38     | 0.38     | 0.38 ;")
        SABRVolCurve_RHORange_builder.Append("'12Y'     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.38     | 0.39     | 0.39     | 0.39     | 0.39 ;")
        SABRVolCurve_RHORange_builder.Append("'14Y'     | 0.39     | 0.39     | 0.39     | 0.39     | 0.39     | 0.39     | 0.4     | 0.39     | 0.39     | 0.39     | 0.4     | 0.4 ;")
        SABRVolCurve_RHORange_builder.Append("'16Y'     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.4     | 0.41     | 0.41 ;")
        SABRVolCurve_RHORange_builder.Append("'18Y'     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.41     | 0.42     | 0.42     | 0.41     | 0.42     | 0.42     | 0.42 ;")
        SABRVolCurve_RHORange_builder.Append("'20Y'     | 0.42     | 0.42     | 0.42     | 0.43     | 0.43     | 0.43     | 0.42     | 0.43     | 0.42     | 0.43     | 0.43     | 0.43 ;")
        SABRVolCurve_RHORange_builder.Append("'22Y'     | 0.42     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43     | 0.43")
        SABRVolCurve_RHORange_builder.Append("}")
        
         SABRVolCurve_RHORange.RangeFromStr _
         ( _
             SABRVolCurve_RHORange_builder.ToString() _
         )
        



    '    Key value to use as a handle for the created object
        Dim MySABRVolCurve As String
        MySABRVolCurve = "MySABRVolCurve" + "_" + CStr(nCTVolatiltyCurvesGlobal)


    '    When creating this object for the first time, set this parameter 
    '    to a positive value.
        Dim Reload As Integer
        Reload = 1


    '    A tag used to identify this curve (case insensitive) if placed 
    '    within a Volatility curve collection ( via the GroupedVolCurves() 
    '    function ).
        Dim CurveName As String
        CurveName = "MySABRVolCurve"


    '    Number of days between the Exercise date of the options and 
    '    the STARTDATE of the instrument.
        Dim SettleDays As Integer
        SettleDays = 2


    '    Is the input volatility entered as a percentage value (true), 
    '    or the raw volatility value (false).
        Dim DivideVolBy100 As Boolean
        DivideVolBy100 = True


    '    DayCounter for converting dates into year fractions.
        Dim DayCount As CTIEnums.DayCountEnum
        DayCount = CTIEnums.DayCountEnum.DayCount_30360


    '    Interpolation method to use when interpolating the curve for 
    '    vols, - LINEAR, LOGLINEAR, CUBIC.
        Dim InterpType As CTIEnums.InterpEnum
        InterpType = CTIEnums.InterpEnum.Interp_LINEAR

                    
    '  Excel function call is : "CT.CRV.SABRVolCurve()"

    '    Creates a SABR curve to model the dynamics of the volatility 
    '    curve (smile).
        Dim rSABRVolCurve As String 
        Dim oCTVolatiltyCurves As New CTQL.CTVolatiltyCurves
    
        rSABRVolCurve = CTQL.CTVolatiltyCurvesSA.SABRVolCurve( _
                MySABRVolCurve, _
                Reload, _
                CurveName, _
                MyValuationDate, _
                SettleDays, _
                SABRVolCurve_ATMRange, _
                SABRVolCurve_ALPHARange, _
                SABRVolCurve_BETARange, _
                SABRVolCurve_RHORange, _
                DivideVolBy100, _
                MyDepoTPL, _
                MySwapTPL, _
                DayCount, _
                InterpType)


    SABRVolCurvePart = rSABRVolCurve
    
End Function                        







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