Products

Overview

functions to construct and use Market Models Products objects.

Function List

qlMarketModelMultiProductComposite ()
qlMarketModelMultiProductCompositeAdd ()
qlMarketModelMultiProductCompositeFinalize ()
qlMarketModelMultiProductMaxNumberOfCashFlowsPerProductPerStep ()
qlMarketModelMultiProductNumberOfProducts ()
qlMarketModelMultiProductPossibleCashFlowTimes ()
qlMarketModelMultiProductSuggestedNumeraires ()
qlMarketModelMultiStepRatchet ()
qlMarketModelOneStepForwards ()
qlMarketModelOneStepOptionlets ()

Function Documentation

qlMarketModelMultiProductComposite

string returnValue
 
qlMarketModelMultiProductComposite(
        string ObjectId
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class MultiProductComposite and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMarketModelMultiProductCompositeAdd

void returnValue
 
qlMarketModelMultiProductCompositeAdd(
        string ObjectId
        string Product
        any Trigger)

Description:

Add new product to MarketModelComposite object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::MultiProductComposite object
Product	ID of product object.
Trigger	dependency tracking trigger

qlMarketModelMultiProductCompositeFinalize

void returnValue
 
qlMarketModelMultiProductCompositeFinalize(
        string ObjectId
        any Trigger)

Description:

finalize the MarketModelComposite object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelMultiProductMaxNumberOfCashFlowsPerProductPerStep

long returnValue
 
qlMarketModelMultiProductMaxNumberOfCashFlowsPerProductPerStep(
        string ObjectId
        any Trigger)

Description:

Max number of cashflows per product per step for the MarketModelMultiProduct object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelMultiProductNumberOfProducts

long returnValue
 
qlMarketModelMultiProductNumberOfProducts(
        string ObjectId
        any Trigger)

Description:

number of products in the MarketModelMultiProduct object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelMultiProductPossibleCashFlowTimes

vector<double> returnValue
 
qlMarketModelMultiProductPossibleCashFlowTimes(
        string ObjectId
        any Trigger)

Description:

possible cash flow times for the MarketModelMultiProduct object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelMultiProductSuggestedNumeraires

vector<long> returnValue
 
qlMarketModelMultiProductSuggestedNumeraires(
        string ObjectId
        any Trigger)

Description:

suggested Numeraires for the MarketModelMultiProduct object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelMultiStepRatchet

string returnValue
 
qlMarketModelMultiStepRatchet(
        string ObjectId
        vector<double> RateTimes
        vector<double> Accruals
        vector<double> PaymentTimes
        double GearingOfFloor
        double GearingOfFixing
        double SpreadOfFloor
        double SpreadOfFixing
        double InitialFloor
        bool Payer
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class MultiStepRatchet and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
RateTimes	rate fixing times.
Accruals	accrual factors between rate fixing times.
PaymentTimes	payment times of the product.
GearingOfFloor	gearing of floor.
GearingOfFixing	gearing of fixing.
SpreadOfFloor	spread of floor.
SpreadOfFixing	spread of fixing.
InitialFloor	initial floor.
Payer	payer if true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMarketModelOneStepForwards

string returnValue
 
qlMarketModelOneStepForwards(
        string ObjectId
        vector<double> RateTimes
        vector<double> Accruals
        vector<double> PaymentTimes
        vector<double> Strikes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OneStepForwards and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
RateTimes	rate fixing times.
Accruals	accrual factors.
PaymentTimes	payment times of the product.
Strikes	forward strikes.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMarketModelOneStepOptionlets

string returnValue
 
qlMarketModelOneStepOptionlets(
        string ObjectId
        vector<double> RateTimes
        vector<double> Accruals
        vector<double> PaymentTimes
        vector<string> Payoffs
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OneStepOptionlets and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
RateTimes	rate fixing times.
Accruals	accrual factors.
PaymentTimes	payment times of the product.
Payoffs	striked type payoff object IDs.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag