SABRVolCurve Example CPP




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SABRVolCurve function

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Example C++ 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 :



C++ 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. 
    //     ##################################################################################
    

#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_SABRVolCurve()
{
    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 SABR curve to model the dynamics of the volatility 
    //    curve (smile).
    
    std::string MySABRVolCurve;
    MySABRVolCurve = 
        SABRVolCurvePart(
        MyValuationDate,
        MyDepoTPL,
        MySwapTPL);
    
    // This is the result we are looking for.
    return MySABRVolCurve;
    

    }
    catch(std::exception e)
    {
        szErrorMsg = e.what();
        throw;
    }
    catch(...)
    {
        throw;
    }
                        
}                
        


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

std::string SABRVolCurvePart(
        std::string MyValuationDate,
        std::string MyDepoTPL,
        std::string MySwapTPL)
{

        //  Create example range for parameter SABRVolCurve_ATMRange
        CTRangeDataCPP SABRVolCurve_ATMRange;
            
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        SABRVolCurve_ATMRange.RangeFromStr
         (    
        "{"
        "'Opt\\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;"
        "'3M'     | 18     | 18.01     | 18.02     | 18.02     | 18.03     | 18.04     | 18.05     | 18.06     | 18.07     | 18.07     | 18.08     | 18.09 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'16Y'     | 18.99     | 18.99     | 19     | 19.01     | 19.02     | 19.03     | 19.04     | 19.05     | 19.05     | 19.06     | 19.07     | 19.07 ;"
        "'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 ;"
        "'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 ;"
        "'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"
        "}"
         );
                
        //  Create example range for parameter SABRVolCurve_ALPHARange
        CTRangeDataCPP SABRVolCurve_ALPHARange;
            
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        SABRVolCurve_ALPHARange.RangeFromStr
         (    
        "{"
        "'Opt\\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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"
        "}"
         );
                
        //  Create example range for parameter SABRVolCurve_BETARange
        CTRangeDataCPP SABRVolCurve_BETARange;
            
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        SABRVolCurve_BETARange.RangeFromStr
         (    
        "{"
        "'Opt\\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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"
        "}"
         );
                
        //  Create example range for parameter SABRVolCurve_RHORange
        CTRangeDataCPP SABRVolCurve_RHORange;
            
        // We could set the value for each cell individually, but for display
        // purposes, this is quicker and more informative.
        SABRVolCurve_RHORange.RangeFromStr
         (    
        "{"
        "'Opt\\Und'     | '3M'     | '6M'     | '9M'     | '12M'     | '2Y'     | '4Y'     | '6Y'     | '8Y'     | '10Y'     | '12Y'     | '14Y'     | '16Y' ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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 ;"
        "'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"
        "}"
         );
                


        std::ostringstream szTemp; szTemp.str("");
        szTemp << std::setw(0) << nCTVolatiltyCurvesGlobal;


    //    Key value to use as a handle for the created object
        std::string MySABRVolCurve = std::string("MySABRVolCurve") + 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 = "MySABRVolCurve";
             

    //    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;
             

    //    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.SABRVolCurve()"

    //    Creates a SABR curve to model the dynamics of the volatility 
    //    curve (smile).
        std::string rSABRVolCurve;
                                                                                                                        
        rSABRVolCurve = CTVolatiltyCurvesSA::SABRVolCurve(
                MySABRVolCurve,
                Reload,
                CurveName,
                MyValuationDate,
                SettleDays,
                SABRVolCurve_ATMRange,
                SABRVolCurve_ALPHARange,
                SABRVolCurve_BETARange,
                SABRVolCurve_RHORange,
                DivideVolBy100,
                MyDepoTPL,
                MySwapTPL,
                DayCount,
                InterpType);


    return rSABRVolCurve;
}        







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