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applicationCall

Class: numerixCrossAsset

Create and register Numerix CROSSASSET Call object

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 comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

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');
Introduced in R2016b