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applicationCall

Class: numerixCrossAsset

Create and register Numerix CROSSASSET Call object

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Syntax

applicationCall(C,Headers,Name,Value)

Description

applicationCall(C,Headers,Name,Value) creates and registers the Numerix® CROSSASSET Call object with additional options specified by one or more Name,Value pair arguments. The name-value parameters conform to the Numerix Cross Asset Integration Layer interface and are defined by N1, N2, ..., NN to the values given in V1, V2, ..., VN.

Creating and registering the Call object calculates values in the Numerix Cross Asset Integration Layer and returns the data in MATLAB®.

Input Arguments

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Connection object to Numerix CROSSASSET, specified using the numerixCrossAsset constructor.

Output names of the returned values from numerixCrossAsset connection object, specified as a cell array of character vectors.

Data Types: cell

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Numerix parameters, specified as a Name,Value argument pair.

Example: applicationCall(c,Headers,'ID','RATESPEC','OBJECT','MARKET DATA','TYPE','YIELD','COMMENT','Comments here','SKIP',false,'INTERPMETHOD','LogLinear','INTERPVARIABLE','DF','CURRENCY','USD','DATA','USD_3MLIBOR_CURVE','BASIS','ACT/360');

Data Types: char | double | logical

Numerix parameter, specified as a Name,Value argument pair.

Example: applicationCall(c,Headers,'ID','RATESPEC','OBJECT','MARKET DATA','TYPE','YIELD','COMMENT','Comments here','SKIP',false,'INTERPMETHOD','LogLinear','INTERPVARIABLE','DF','CURRENCY','USD','DATA','USD_3MLIBOR_CURVE','BASIS','ACT/360');

Data Types: char | double | logical

Attributes

Accesspublic
Staticfalse
Hiddenfalse

To learn about attributes of methods, see Method Attributes.

Examples

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Create a datetime object.

dates = datetime({'18-Feb-2014';'20-May-2014';'18-Jun-2014';'16-Jul-2014';
                   '20-Aug-2014';'17-Sep-2014';'15-Oct-2014';'19-Nov-2014';
                  '17-Dec-2014';'18-Mar-2015';'17-Jun-2015';'16-Sep-2015';
                  '16-Dec-2015';'16-Mar-2016';'15-Jun-2016';'21-Sep-2016';
                  '21-Dec-2016';'15-Mar-2017';'20-Feb-2018';'20-Feb-2019';
                  '20-Feb-2020';'22-Feb-2021';'22-Feb-2022';'21-Feb-2023';
                  '20-Feb-2024';'20-Feb-2025';'20-Feb-2026';'20-Feb-2029';
                  '21-Feb-2034';'22-Feb-2039';'22-Feb-2044';'20-Feb-2054';
                  '20-Feb-2064'});

Create the corresponding vector of discount factors for a 3-month LIBOR curve.

 discountFactors = [1;0.99942;0.999231;0.999037;0.998797;0.998616;0.998385;...
                       0.998122;0.997941;0.997159;0.996157;0.994825;0.993065;...
                       0.99078;0.987889;0.984092;0.979913;0.975459;0.952707;...
                       0.922223;0.888128;0.852291;0.816462;0.781228;0.746677;...
                       0.712892;0.680462;0.592285;0.474003;0.383493;0.312617;...
                       0.213809;0.152345];

Create a Numerix CROSSASSET object.

c = numerixCrossAsset;

Add data to the Numerix Cross Asset Application Data object.

applicationData(c,'USD_3MLIBOR_CURVE','DATE',dates,'DISCOUNTFACTOR',discountFactors)

Define the Headers input and add the RateSpec Call object to the Numerix CROSSASSET Application object using name-value pairs, where USD_3MLIBOR_CURVE denotes the yield curve data object created previously. 

headers = {'ID','LOCAL ID','TIMER','TIMER CPU','UPDATED'};
applicationCall(c,headers,'ID','RATESPEC','OBJECT','MARKET DATA','TYPE','YIELD','COMMENT','Comments here',...
                 'SKIP',false,'INTERPMETHOD','LogLinear','INTERPVARIABLE','DF',...
                 'CURRENCY','USD','DATA','USD_3MLIBOR_CURVE','BASIS','ACT/360');

Version History

Introduced in R2016b

See Also

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