Payoffs

Overview

functions to construct and use StrikedTypePayoff and DoubleStickyRatchetPayoff objects.

Function List

qlDoubleStickyRatchetPayoff ()
qlPayoffDescription ()
qlPayoffName ()
qlPayoffOptionType ()
qlPayoffStrike ()
qlPayoffThirdParameter ()
qlPayoffValue ()
qlRatchetMaxPayoff ()
qlRatchetMinPayoff ()
qlRatchetPayoff ()
qlStickyMaxPayoff ()
qlStickyMinPayoff ()
qlStickyPayoff ()
qlStrikedTypePayoff ()

Function Documentation

qlDoubleStickyRatchetPayoff

string returnValue
 
qlDoubleStickyRatchetPayoff(
        string ObjectId
        double Type1
        double Type2
        double Gearing1
        double Gearing2
        double Gearing3
        double Spread1
        double Spread2
        double Spread3
        double InitialValue1
        double InitialValue2
        double AccrualFactor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DoubleStickyRatchetPayoff and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Type1	Sticky (type1=1) or Ratchet (type1=-1) payoff .
Type2	Strike type (type2=1 for Min, type2=-1 for Max, type2=0 for single sticky/ratchet) .
Gearing1	gearing 1 (for strike 1).
Gearing2	gearing 2 (for strike 2).
Gearing3	gearing 3 (for forward rate 3).
Spread1	spread 1 (for strike 1).
Spread2	spread 2 (for strike 2).
Spread3	spread 3 (for forward rate 3).
InitialValue1	initial value for strike 1 (forward rate or coupon/accrualFactor).
InitialValue2	initial value for strike 2 (forward rate or coupon/accrualFactor).
AccrualFactor	accrual factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPayoffDescription

string returnValue
 
qlPayoffDescription(
        string ObjectId
        any Trigger)

Description:

returns the description (e.g. CashOrNothing, strike 32.2, cash payoff 2.5) for the given Payoff object.

Supported Platforms:

Excel

Parameters

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

qlPayoffName

string returnValue
 
qlPayoffName(
        string ObjectId
        any Trigger)

Description:

returns the type (e.g. Vanilla, CashOrNothing, etc.) for the given Payoff object.

Supported Platforms:

Excel

Parameters

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

qlPayoffOptionType

string returnValue
 
qlPayoffOptionType(
        string ObjectId
        any Trigger)

Description:

returns the option-type (e.g. Call, Put) for the given Payoff object.

Supported Platforms:

Excel

Parameters

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

qlPayoffStrike

double returnValue
 
qlPayoffStrike(
        string ObjectId
        any Trigger)

Description:

returns the strike for the given Payoff object.

Supported Platforms:

Excel

Parameters

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

qlPayoffThirdParameter

double returnValue
 
qlPayoffThirdParameter(
        string ObjectId
        any Trigger)

Description:

returns the third parameter of a StrikedType payoff.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::StrikedTypePayoff object
Trigger	dependency tracking trigger

qlPayoffValue

double returnValue
 
qlPayoffValue(
        string ObjectId
        double Underlying
        any Trigger)

Description:

returns the payoff value given an underlying reference level for the given Payoff object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Payoff object
Underlying	underlying reference level.
Trigger	dependency tracking trigger

qlRatchetMaxPayoff

string returnValue
 
qlRatchetMaxPayoff(
        string ObjectId
        double Gearing1
        double Gearing2
        double Gearing3
        double Spread1
        double Spread2
        double Spread3
        double InitialValue1
        double InitialValue2
        double AccrualFactor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RatchetMaxPayoff and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Gearing1	gearing 1 (for strike 1).
Gearing2	gearing 2 (for strike 2).
Gearing3	gearing 3 (for forward rate 3).
Spread1	spread 1 (for strike 1).
Spread2	spread 2 (for strike 2).
Spread3	spread 3 (for forward rate 3).
InitialValue1	initial value for strike 1 (forward rate or coupon/accrualFactor).
InitialValue2	initial value for strike 2 (forward rate or coupon/accrualFactor).
AccrualFactor	accrual factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRatchetMinPayoff

string returnValue
 
qlRatchetMinPayoff(
        string ObjectId
        double Gearing1
        double Gearing2
        double Gearing3
        double Spread1
        double Spread2
        double Spread3
        double InitialValue1
        double InitialValue2
        double AccrualFactor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RatchetMinPayoff and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Gearing1	gearing 1 (for strike 1).
Gearing2	gearing 2 (for strike 2).
Gearing3	gearing 3 (for forward rate 3).
Spread1	spread 1 (for strike 1).
Spread2	spread 2 (for strike 2).
Spread3	spread 3 (for forward rate 3).
InitialValue1	initial value for strike 1 (forward rate or coupon/accrualFactor).
InitialValue2	initial value for strike 2 (forward rate or coupon/accrualFactor).
AccrualFactor	accrual factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRatchetPayoff

string returnValue
 
qlRatchetPayoff(
        string ObjectId
        double Gearing1
        double Gearing2
        double Spread1
        double Spread2
        double InitialValue
        double AccrualFactor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RatchetPayoff and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Gearing1	gearing 1 (for strike 1).
Gearing2	gearing 2 (for strike 2).
Spread1	spread 1 (for strike 1).
Spread2	spread 2 (for strike 2).
InitialValue	initial value for strike (forward rate or coupon/accrualFactor).
AccrualFactor	accrual factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlStickyMaxPayoff

string returnValue
 
qlStickyMaxPayoff(
        string ObjectId
        double Gearing1
        double Gearing2
        double Gearing3
        double Spread1
        double Spread2
        double Spread3
        double InitialValue1
        double InitialValue2
        double AccrualFactor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class StickyMaxPayoff and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Gearing1	gearing 1 (for strike 1).
Gearing2	gearing 2 (for strike 2).
Gearing3	gearing 3 (for forward rate 3).
Spread1	spread 1 (for strike 1).
Spread2	spread 2 (for strike 2).
Spread3	spread 3 (for forward rate 3).
InitialValue1	initial value for strike 1 (forward rate or coupon/accrualFactor).
InitialValue2	initial value for strike 2 (forward rate or coupon/accrualFactor).
AccrualFactor	accrual factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlStickyMinPayoff

string returnValue
 
qlStickyMinPayoff(
        string ObjectId
        double Gearing1
        double Gearing2
        double Gearing3
        double Spread1
        double Spread2
        double Spread3
        double InitialValue1
        double InitialValue2
        double AccrualFactor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class StickyMinPayoff and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Gearing1	gearing 1 (for strike 1).
Gearing2	gearing 2 (for strike 2).
Gearing3	gearing 3 (for forward rate 3).
Spread1	spread 1 (for strike 1).
Spread2	spread 2 (for strike 2).
Spread3	spread 3 (for forward rate 3).
InitialValue1	initial value for strike 1 (forward rate or coupon/accrualFactor).
InitialValue2	initial value for strike 2 (forward rate or coupon/accrualFactor).
AccrualFactor	accrual factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlStickyPayoff

string returnValue
 
qlStickyPayoff(
        string ObjectId
        double Gearing1
        double Gearing2
        double Spread1
        double Spread2
        double InitialValue
        double AccrualFactor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class StickyPayoff and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Gearing1	gearing 1 (for strike 1).
Gearing2	gearing 2 (for strike 2).
Spread1	spread 1 (for strike 1).
Spread2	spread 2 (for strike 2).
InitialValue	initial value for strike (forward rate or coupon/accrualFactor).
AccrualFactor	accrual factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlStrikedTypePayoff

string returnValue
 
qlStrikedTypePayoff(
        string ObjectId
        string PayoffID
        string OptionType
        double Strike
        double ThirdParameter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class StrikedTypePayoff and return its id

Supported Platforms:

Excel, C, Calc, Guile, C++

Parameters

ObjectId	id of object to be created
PayoffID	payoff ID (e.g. Vanilla, PercentageStrike, AssetOrNothing, CashOrNothing, Gap, SuperShare).
OptionType	option type.
Strike	strike.
ThirdParameter	the 3rd paramenter for the payoff definition of CashOrNothing (cash), Gap (determines the size of the payoff), SuperFund (second strike). Default value = QuantLib::Null<QuantLib::Real>().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag