Overview

functions to construct and use Leg objects.

Function List

qlCmsCouponPricer ()
qlCmsLeg ()
qlCmsZeroLeg ()
qlConundrumPricerByNumericalIntegration ()
qlConundrumPricerByNumericalIntegrationUpperLimit ()
qlDigitalCmsLeg ()
qlDigitalIborLeg ()
qlDigitalReplication ()
qlFixedRateLeg ()
qlFixedRateLeg2 ()
qlIborCouponPricer ()
qlIborLeg ()
qlRangeAccrualLeg ()

Function Documentation

qlCmsCouponPricer

string returnValue
 
qlCmsCouponPricer(
        string ObjectId
        string Volatility
        string CmsCouponPricerType
        string YieldCurveModel
        string MeanReversion
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CmsCouponPricer and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Volatility	Swaption Volatility Structure object ID.
CmsCouponPricerType	Cms Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration, ClassicalAnaliticalFormula).
YieldCurveModel	model of the yield curve (e.g Standard, ExactYield, ParallelShifts, NonParallelShifts).
MeanReversion	mean reversion quote.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCmsLeg

string returnValue
 
qlCmsLeg(
        string ObjectId
        string PaymentBDC
        vector<double> Nominals
        string ScheduleID
        vector<long> FixingDays
        bool IsInArrears
        string DayCounter
        vector<double> Floors
        vector<double> Gearings
        string SwapIndex
        vector<double> Spreads
        vector<double> Caps
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CmsLeg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
PaymentBDC	payment business day convention. Default value = Following.
Nominals	Nominal amount vector.
ScheduleID	Schedule object ID.
FixingDays	fixing days (e.g. 2). Default value = std::vector<QuantLib::Natural>().
IsInArrears	TRUE if the fixing is in arrears. Default value = false.
DayCounter	Payment DayCounter ID.
Floors	floor strikes. Default value = std::vector<QuantLib::Rate>().
Gearings	floating rate gearings. Default value = 1.0.
SwapIndex	underlying SwapIndex object ID.
Spreads	floating rate spreads. Default value = 0.0.
Caps	cap strikes. Default value = std::vector<QuantLib::Rate>().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCmsZeroLeg

string returnValue
 
qlCmsZeroLeg(
        string ObjectId
        string PaymentBDC
        vector<double> Nominals
        string ScheduleID
        vector<long> FixingDays
        bool IsInArrears
        string DayCounter
        vector<double> Floors
        vector<double> Gearings
        string SwapIndex
        vector<double> Spreads
        vector<double> Caps
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CmsZeroLeg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
PaymentBDC	payment business day convention. Default value = Following.
Nominals	Nominal amount vector.
ScheduleID	Schedule object ID.
FixingDays	fixing days (e.g. 2). Default value = std::vector<QuantLib::Natural>().
IsInArrears	TRUE if the fixing is in arrears. Default value = false.
DayCounter	Payment DayCounter ID.
Floors	floor strikes. Default value = std::vector<QuantLib::Rate>().
Gearings	floating rate gearings. Default value = 1.0.
SwapIndex	underlying SwapIndex object ID.
Spreads	floating rate spreads. Default value = 0.0.
Caps	cap strikes. Default value = std::vector<QuantLib::Rate>().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlConundrumPricerByNumericalIntegration

string returnValue
 
qlConundrumPricerByNumericalIntegration(
        string ObjectId
        string SwaptionVol
        string YieldCurveModel
        string MeanReversion
        double LowerLimit
        double UpperLimit
        double Precision
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class NumericHaganPricer and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
SwaptionVol	Volatility Cube by Sabr.
YieldCurveModel	model of the yield curve (e.g Standard, ExactYield, ParallelShifts, NonParallelShifts).
MeanReversion	mean reversion.
LowerLimit	lower limit. Default value = 0.0.
UpperLimit	upper limit. Default value = 1.0.
Precision	precision. Default value = 1.0e-6.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlConundrumPricerByNumericalIntegrationUpperLimit

double returnValue
 
qlConundrumPricerByNumericalIntegrationUpperLimit(
        string ObjectId
        any Trigger)

Description:

Returns the upper limit of the integral.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::NumericHaganPricer object
Trigger	dependency tracking trigger

qlDigitalCmsLeg

string returnValue
 
qlDigitalCmsLeg(
        string ObjectId
        string PaymentBDC
        vector<double> Nominals
        string ScheduleID
        vector<long> FixingDays
        bool IsInArrears
        string DayCounter
        vector<double> Gearings
        string SwapIndex
        vector<double> Spreads
        vector<double> CallStrikes
        string CallSpecs
        vector<double> CallPayoff
        vector<double> PutStrikes
        string PutSpecs
        vector<double> PutPayoff
        string Replication
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DigitalCmsLeg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
PaymentBDC	payment business day convention. Default value = Following.
Nominals	nominal amount vector.
ScheduleID	schedule object ID.
FixingDays	fixing days. Default value = std::vector<QuantLib::Natural>().
IsInArrears	TRUE if the fixing is in arrears. Default value = false.
DayCounter	Payment DayCounter ID.
Gearings	floating rate gearings. Default value = 1.0.
SwapIndex	swap rate index.
Spreads	floating rate spreads. Default value = 0.0.
CallStrikes	option strikes. If omitted, no call is assumed. Default value = std::vector<QuantLib::Rate>().
CallSpecs	call position (Short, Long) and ATM inclusion.
CallPayoff	payoff if the call ends ITM. If omitted, asset-or-nothing option is assumed. Default value = std::vector<QuantLib::Rate>().
PutStrikes	option strikes. If omitted, no put is assumed. Default value = std::vector<QuantLib::Rate>().
PutSpecs	put position (Short, Long) and ATM inclusion.
PutPayoff	payoff if the put ends ITM. If omitted, asset-or-nothing option is assumed. Default value = std::vector<QuantLib::Rate>().
Replication	replication object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDigitalIborLeg

string returnValue
 
qlDigitalIborLeg(
        string ObjectId
        string PaymentBDC
        vector<double> Nominals
        string ScheduleID
        vector<long> FixingDays
        bool IsInArrears
        string DayCounter
        vector<double> Gearings
        string IborIndex
        vector<double> Spreads
        vector<double> CallStrikes
        string CallSpecs
        vector<double> CallPayoff
        vector<double> PutStrikes
        string PutSpecs
        vector<double> PutPayoff
        string Replication
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DigitalIborLeg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
PaymentBDC	payment business day convention. Default value = Following.
Nominals	nominal amount vector.
ScheduleID	schedule object ID.
FixingDays	fixing days. Default value = std::vector<QuantLib::Natural>().
IsInArrears	TRUE if the fixing is in arrears. Default value = false.
DayCounter	Payment DayCounter ID.
Gearings	floating rate gearings. Default value = 1.0.
IborIndex	floating rate index.
Spreads	floating rate spreads. Default value = 0.0.
CallStrikes	option strikes. If omitted, no call is assumed. Default value = std::vector<QuantLib::Rate>().
CallSpecs	call position (Short, Long) and ATM inclusion.
CallPayoff	payoff if the call ends ITM. If omitted, asset-or-nothing option is assumed. Default value = std::vector<QuantLib::Rate>().
PutStrikes	option strikes. If omitted, no put is assumed. Default value = std::vector<QuantLib::Rate>().
PutSpecs	put position (Short, Long) and ATM inclusion.
PutPayoff	payoff if the put ends ITM. If omitted, asset-or-nothing option is assumed. Default value = std::vector<QuantLib::Rate>().
Replication	replication object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDigitalReplication

string returnValue
 
qlDigitalReplication(
        string ObjectId
        string Replication
        double Gap
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DigitalReplication and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Replication	Replication type (Sub, Central or Super).
Gap	spread in strikes used in call/put replication. Default value = 0.0001.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFixedRateLeg

string returnValue
 
qlFixedRateLeg(
        string ObjectId
        string PaymentBDC
        vector<double> Nominals
        string ScheduleID
        vector<double> Coupons
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FixedRateLeg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
PaymentBDC	payment business day convention. Default value = Following.
Nominals	Nominal amount vector.
ScheduleID	Schedule object ID.
Coupons	coupon fixed rates.
DayCounter	Payment DayCounter ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFixedRateLeg2

string returnValue
 
qlFixedRateLeg2(
        string ObjectId
        string PaymentBDC
        vector<double> Nominals
        string ScheduleID
        vector<string> Coupons
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FixedRateLeg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
PaymentBDC	payment business day convention. Default value = Following.
Nominals	Nominal amount vector.
ScheduleID	Schedule object ID.
Coupons	coupon InterestRate IDs.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlIborCouponPricer

string returnValue
 
qlIborCouponPricer(
        string ObjectId
        string Volatility
        string IborCouponPricerType
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class IborCouponPricer and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Volatility	Caplet Volatility Structure object ID.
IborCouponPricerType	Ibor Coupon Pricer Type (e.g IborByBlack, ..).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlIborLeg

string returnValue
 
qlIborLeg(
        string ObjectId
        string PaymentBDC
        vector<double> Nominals
        string ScheduleID
        vector<long> FixingDays
        bool IsInArrears
        string DayCounter
        vector<double> Floors
        vector<double> Gearings
        string IborIndex
        vector<double> Spreads
        vector<double> Caps
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class IborLeg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
PaymentBDC	payment business day convention. Default value = Following.
Nominals	Nominal amount vector.
ScheduleID	Schedule object ID.
FixingDays	fixing days (e.g. 2). Default value = std::vector<QuantLib::Natural>().
IsInArrears	TRUE if the fixing is in arrears. Default value = false.
DayCounter	Payment DayCounter ID.
Floors	floor strikes. Default value = std::vector<QuantLib::Rate>().
Gearings	floating rate gearings. Default value = 1.0.
IborIndex	floating rate index.
Spreads	floating rate spreads. Default value = 0.0.
Caps	cap strikes. Default value = std::vector<QuantLib::Rate>().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRangeAccrualLeg

string returnValue
 
qlRangeAccrualLeg(
        string ObjectId
        string PaymentBDC
        vector<double> Nominals
        string ScheduleID
        vector<long> FixingDays
        string DayCounter
        vector<double> LowerStrikes
        vector<double> Gearings
        string IborIndex
        vector<double> Spreads
        vector<double> UpperStrikes
        string ObservationsTenor
        string ObservationsBDC
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RangeAccrualLeg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
PaymentBDC	payment business day convention. Default value = Following.
Nominals	Nominal amount vector.
ScheduleID	Schedule object ID.
FixingDays	fixing days (e.g. 2). Default value = std::vector<QuantLib::Natural>().
DayCounter	Payment DayCounter ID.
LowerStrikes	lower strikes. Default value = std::vector<QuantLib::Rate>().
Gearings	floating rate gearings. Default value = 1.0.
IborIndex	underlying IborIndex object ID.
Spreads	floating rate spreads. Default value = 0.0.
UpperStrikes	upper strikes. Default value = std::vector<QuantLib::Rate>().
ObservationsTenor	observations tenor period.
ObservationsBDC	observations business day convention. Default value = Modified Following.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag