adfinx_analytics_fun..

AdfinX Analytics 1.0 Function Library
User Guide

AdfinX Analytics 1.0 Function Library – User Guide
AdfinX Analytics 1.0 Function Library – User Guide
Last Revised 03 April 03
Copyright © 2003 Reuters. All rights reserved.
Except as permitted by law, no part of this document may be reproduced or transmitted by any process or means without the
prior consent of Reuters. Reuters, by publishing this document, does not guarantee that any information contained herein is and
will remain accurate or that use of the information will ensure correct and faultless operation of the relevant service or
equipment. Reuters, its agents, and employees shall not be held liable to or through any user for any loss or damage
whatsoever resulting from reliance on the information contained herein.
Reuters and the Reuters sphere logo are registered trademarks and trademarks of the Reuters group of companies around the
world.
ADFIN, KOBRA, and KONDOR are registered trademarks, and Reuters Analytic Data System (ADS), Reuters CashFlow (RCF),
Reuters Data Contribution Servers (DCS), Reuters Data Transformation System (DTS), Reuters Dealing 2000-2, Reuters
Dealing 3000, Reuters Enterprise Licensing System (ELS), Reuters Integrated Data Network (IDN), Reuters KreditNet, Reuters
KVAR+, Reuters Market Data System (RMDS), Reuters Network Management System (NMS), Reuters News 2000, Reuters
Optimizing Contribution Server (OCS), Reuters Risk@ccess, Reuters Trade@ccess, Reuters Trade Processing (RTP), Reuters
Triarch are trademarks of the Reuters group of companies around the world.
Adobe, Acrobat, FrameMaker, and PostScript are trademarks of Adobe Systems Inc. BEA WebLogic Server is a trademark of
BEA Systems. Clearing21 is a registered trademark of CLEARNET S.A. Hewlett-Packard is a registered trademark of Hewlett-
Packard Company. IBM is a registered trademark, and IBM AIX, RISC System/6000 (RS6000), and Power PC are trademarks
of International Business Machines Corporation. Intel is a registered trademark of Intel Corp. Java, Solaris, Sun, and SunOS are
trademarks or registered trademarks of Sun Microsystems Inc. in the U.S.A. and other countries. libwww: Copyright © 1994-
2000 World Wide Web Consortium, (Massachusetts Institute of Technology, Institut National de Recherche en Informatique et
en Automatique, Keio University). All Rights Reserved. See W3C License http://www.w3.org/Consortium/Legal/ for more details.
Copyright © 1995 CERN.Reuters ADS includes computer software created and made available by CERN. This acknowledgment
shall be mentioned in full in any product which includes the CERN computer software included herein or parts thereof. Microsoft,
MS-DOS, Visual Basic, Windows, Windows NT, Windows XP, and Windows 2000 are registered trademarks, and ActiveX,
Microsoft Excel, Microsoft Internet Explorer, and Microsoft Word are products of Microsoft Corp. in the U.S.A. and other
countries. MOTIF is a trademark of the Open Software Foundation in the U.S.A. and other countries. Netscape is a registered
trademark of Netscape Communications Corporation in the U.S.A. and other countries. NuTCRACKER is a registered trademark
of MKS. Olectra and Olectra Chart are trademarks of KL Group Inc. OPEN LOOK is a registered trademark of Novell Inc. Oracle
is a trademark of Oracle Corporation. PASSOLO is a registered trademark of PASS Engineering GmbH in Germany.PowerTier
is a trademark of Persistence Software Inc. in the U.S.A. and other countries. RiskMetrics is a trademark of J.P. Morgan.
SYBASE is a registered trademark, SYBASE SQL is a trademark, SYBASE Adaptive Server, SYBASE Open Client, SYBASE
Open Server, SYBASE Replication Server, and SYBASE RSSD, are products of SYBASE Inc. SPARC trademarks are
trademarks or registered trademarks of SPARC International Inc. licensed exclusively to Sun Microsystems Inc. UNIX is a
registered trademark in the U.S.A. and other countries, licensed exclusively through X/Open Company Limited. TIB and TIBCO
are registered trademarks, and TIBCO Information Cache, TIBCO Hawk, and TIBCO Rendezvous are trademarks of TIBCO
Software Inc. Visigenic and VisiBroker are trademarks of Visigenic Software Inc. X Window System is a trademark of
Massachusetts Institute of Technology.
Acknowledgement is made to all other brand or product names referred to in the text that are registered trademarks,
trademarks, or trade names of their respective owners.
Your comments are welcome
Please provide feedback on the Reuters guides and on-line help by sending your comments by e-mail to: rfs-doc@reuters.com.
Published by Reuters, 85 Fleet Street, London, EC4P 4AJ, UK.
2

AdfinX Analytics 1.0 Function Library – User Guide
TABLE OF CONTENTS
1. ADFINX ADXMODULE CONTROL .............................................................................10
1.1. ADXMODULE PROPERTIES..................................................................................................... 10
1.1.1. ErrorCode................................................................................................................................ 10
1.1.2. ErrorMode ............................................................................................................................... 10
1.1.3. ErrorString............................................................................................................................... 10
1.2. ADXMODULE METHODS.......................................................................................................... 11
1.2.1. AdDepToFra............................................................................................................................ 11
1.2.2. AdDepToFraBA....................................................................................................................... 12
1.2.3. AdFormat................................................................................................................................. 12
1.2.4. AdHistoryUpdate ..................................................................................................................... 13
1.2.5. AdHistoryValue ....................................................................................................................... 13
1.2.6. AdInterp................................................................................................................................... 13
1.2.7. AdParse................................................................................................................................... 14
1.2.8. AdRateConv............................................................................................................................ 14
1.2.9. AdRound ................................................................................................................................. 15
1.2.10. AdZcToFraBA...................................................................................................................... 15
1.2.11. DfAddMonths....................................................................................................................... 16
1.2.12. DfAddPeriod ........................................................................................................................ 16
1.2.13. DfAddYears ......................................................................................................................... 17
1.2.14. DfAddWD............................................................................................................................. 17
1.2.15. DfAdjustToWD..................................................................................................................... 18
1.2.16. DfCountDays ....................................................................................................................... 18
1.2.17. DfCountNonWD................................................................................................................... 19
1.2.18. DfCountWD.......................................................................................................................... 19
1.2.19. DfCountYears ...................................................................................................................... 19
1.2.20. DfFindDateD........................................................................................................................ 20
1.2.21. DfFindDateM ....................................................................................................................... 20
1.2.22. DfFormatDate ...................................................................................................................... 21
1.2.23. DfIDNDate ........................................................................................................................... 21
1.2.24. DfIsWD ................................................................................................................................ 21
1.2.25. DfLastWD ............................................................................................................................ 22
1.2.26. DfListHolidays...................................................................................................................... 22
1.2.27. AdDefAttribute ..................................................................................................................... 22
1.2.28. AdDefSet ............................................................................................................................. 23
1.2.29. AdDefStructure .................................................................................................................... 23
1.2.30. AdReadParam .....................................................................................................................23
3

AdfinX Analytics 1.0 Function Library – User Guide
1.2.31. AdStyleAttribute................................................................................................................... 24
1.2.32. AdStyleDelete...................................................................................................................... 24
1.2.33. AdStyleName....................................................................................................................... 24
1.2.34. AdStyleSet........................................................................................................................... 25
1.2.35. AdStyleStructure.................................................................................................................. 25
1.2.36. AdWriteParam ..................................................................................................................... 26
1.2.37. DisplayDefaults.................................................................................................................... 26
1.2.38. DisplayStyles ....................................................................................................................... 26
1.2.39. MaxDate .............................................................................................................................. 27
1.2.40. MinDate ............................................................................................................................... 27
1.2.41. NormalC............................................................................................................................... 27
1.2.42. NormalS............................................................................................................................... 28
1.2.43. SetReferenceDates ............................................................................................................. 28
2. ADFINX ADXBONDMODULE CONTROL...................................................................29
2.1. ADXBONDMODULE PROPERTIES .......................................................................................... 29
2.1.1. ErrorCode................................................................................................................................ 29
2.1.2. ErrorMode ............................................................................................................................... 29
2.1.3. ErrorString............................................................................................................................... 29
2.2. ADXBONDMODULE METHODS................................................................................................ 30
2.2.1. Accrued ................................................................................................................................... 30
2.2.2. AdBondDeriv ........................................................................................................................... 30
2.2.3. AdBondPrice ........................................................................................................................... 31
2.2.4. AdBondSpread........................................................................................................................ 32
2.2.5. AdBondYield ........................................................................................................................... 33
2.2.6. BdCalcCpn .............................................................................................................................. 34
2.2.7. BdCashFlows .......................................................................................................................... 34
2.2.8. BdConvFactor ......................................................................................................................... 35
2.2.9. BdCpnCrv................................................................................................................................ 35
2.2.10. BdCpnValue ........................................................................................................................ 36
2.2.11. BdIrsStructure...................................................................................................................... 36
2.2.12. BdPvbpCrv........................................................................................................................... 37
2.2.13. BdRepo................................................................................................................................ 37
2.2.14. BdSettle ............................................................................................................................... 38
2.2.15. BdSettleLock ....................................................................................................................... 39
2.2.16. CfAvgLife ............................................................................................................................. 39
2.2.17. CfConv................................................................................................................................. 39
2.2.18. CfDur ................................................................................................................................... 40
2.2.19. CfPvbp................................................................................................................................. 40
4

AdfinX Analytics 1.0 Function Library – User Guide
2.2.20. CfPx ..................................................................................................................................... 41
2.2.21. CfPxCrv ............................................................................................................................... 41
2.2.22. CfRepo................................................................................................................................. 41
2.2.23. CfVol .................................................................................................................................... 42
2.2.24. CfYld .................................................................................................................................... 43
2.2.25. CpnNext............................................................................................................................... 43
2.2.26. CpnNumber ......................................................................................................................... 44
2.2.27. CpnPrev............................................................................................................................... 44
2.2.28. IlbCalcCpn ........................................................................................................................... 44
2.2.29. IlbCashFlows ....................................................................................................................... 45
2.2.30. IlbPx..................................................................................................................................... 46
2.2.31. IlbYld.................................................................................................................................... 47
3. ADFINX ADXCONVBONDMODULE CONTROL ........................................................48
3.1. ADXCONVBONDMODULE PROPERTIES................................................................................ 48
3.1.1. ErrorCode................................................................................................................................ 48
3.1.2. ErrorMode ............................................................................................................................... 48
3.1.3. ErrorString............................................................................................................................... 49
3.2. ADXCONVBONDMODULE METHODS ..................................................................................... 49
3.2.1. AdConvBdDeriv....................................................................................................................... 49
3.2.2. AdConvCalcCpn...................................................................................................................... 50
3.2.3. AdConvCashFlows.................................................................................................................. 50
3.2.4. AdConvImpliedVol................................................................................................................... 51
3.2.5. AdConvOpDeriv ...................................................................................................................... 51
3.2.6. AdConvPrice ........................................................................................................................... 52
3.2.7. AdConvRatios ......................................................................................................................... 53
3.2.8. AdConvYield ........................................................................................................................... 53
4. ADFINX ADXCREDITMODULE CONTROL ................................................................54
4.1. ADXCREDITMODULE PROPERTIES ....................................................................................... 54
4.1.1. ErrorCode................................................................................................................................ 54
4.1.2. ErrorMode ............................................................................................................................... 54
4.1.3. ErrorString............................................................................................................................... 54
4.2. ADXCREDITMODULE METHODS............................................................................................. 55
4.2.1. AdCdsNpv ............................................................................................................................... 55
4.2.2. AdCdsSpread.......................................................................................................................... 56
4.2.3. AdFxCdsNpv ........................................................................................................................... 57
4.2.4. AdFxCdsSpread...................................................................................................................... 57
4.2.5. AdCreditStructure.................................................................................................................... 58
5

AdfinX Analytics 1.0 Function Library – User Guide
4.2.6. AdCreditZcCurve..................................................................................................................... 59
4.2.7. AdDefaultProba....................................................................................................................... 60
4.2.8. AdJLTCreditStructure.............................................................................................................. 61
5. ADFINX ADXEXOTICMODULE CONTROL ................................................................62
5.1. ADXEXOTICMODULE PROPERTIES ....................................................................................... 62
5.1.1. ErrorCode................................................................................................................................ 62
5.1.2. ErrorMode ............................................................................................................................... 62
5.1.3. ErrorString............................................................................................................................... 63
5.2. ADXEXOTICMODULE METHODS............................................................................................. 63
5.2.1. OpAsianDeriv .......................................................................................................................... 63
5.2.2. OpAsianImpliedVol.................................................................................................................. 64
5.2.3. OpAsianPremium .................................................................................................................... 65
5.2.4. OpBarrierDeriv ........................................................................................................................ 66
5.2.5. OpBarrierImpliedVol................................................................................................................ 67
5.2.6. OpBarrierPremium .................................................................................................................. 67
5.2.7. OpBasketDeriv ........................................................................................................................ 68
5.2.8. OpBasketPremium .................................................................................................................. 69
5.2.9. OpBinaryDeriv......................................................................................................................... 69
5.2.10. OpBinaryImpliedVol............................................................................................................. 70
5.2.11. OpBinaryPremium ............................................................................................................... 71
5.2.12. OpChooserDeriv..................................................................................................................72
5.2.13. OpChooserImpliedVol ......................................................................................................... 73
5.2.14. OpChooserPremium............................................................................................................ 73
5.2.15. OpCliquetDeriv .................................................................................................................... 74
5.2.16. OpCliquetImpliedVol............................................................................................................ 75
5.2.17. OpCliquetPremium .............................................................................................................. 76
5.2.18. OpCompoundDeriv.............................................................................................................. 76
5.2.19. OpCompoundImpliedVol ..................................................................................................... 77
5.2.20. OpCompoundPremium........................................................................................................ 78
5.2.21. OpDoubleBarrierDeriv ......................................................................................................... 79
5.2.22. OpDoubleBarrierImpliedVol................................................................................................. 80
5.2.23. OpDoubleBarrierPremium ................................................................................................... 80
5.2.24. OpExLookbackDeriv............................................................................................................ 81
5.2.25. OpExLookbackImpliedVol ................................................................................................... 82
5.2.26. OpExLookbackPremium...................................................................................................... 83
5.2.27. OpFxLinkedDeriv.................................................................................................................83
5.2.28. OpFxLinkedImpliedVol ........................................................................................................ 85
5.2.29. OpFxLinkedPremium........................................................................................................... 86
6

AdfinX Analytics 1.0 Function Library – User Guide
5.2.30. OpPowerDeriv ..................................................................................................................... 86
5.2.31. OpPowerImpliedVol............................................................................................................. 87
5.2.32. OpPowerPremium ............................................................................................................... 88
5.2.33. OpRainbowDeriv ................................................................................................................. 89
5.2.34. OpRainbowPremium ........................................................................................................... 90
6. ADFINX ADXFOREXMODULE CONTROL .................................................................92
6.1. ADXFOREXMODULE PROPERTIES ........................................................................................ 92
6.1.1. ErrorCode................................................................................................................................ 92
6.1.2. ErrorMode ............................................................................................................................... 92
6.1.3. ErrorString............................................................................................................................... 92
6.2. ADXFOREXMODULE METHODS.............................................................................................. 93
6.2.1. FxCalcPeriod........................................................................................................................... 93
6.2.2. FxCross................................................................................................................................... 94
6.2.3. FxCrossA................................................................................................................................. 94
6.2.4. FxCrossD ................................................................................................................................ 95
6.2.5. FxDepToSwpD........................................................................................................................ 95
6.2.6. FxDepToSwpP ........................................................................................................................ 96
6.2.7. FxGenCalc .............................................................................................................................. 97
6.2.8. FxGenParse ............................................................................................................................ 98
6.2.9. FxSwpToDepD........................................................................................................................ 98
6.2.10. FxSwpToDepP .................................................................................................................... 99
6.2.11. FxSwpToOut...................................................................................................................... 100
6.2.12. FxSwpToSwp .................................................................................................................... 101
6.2.13. FxSwpToSwpD.................................................................................................................. 101
6.2.14. FxSwpToSwpP .................................................................................................................. 102
7. ADFINX ADXOPTIONMODULE CONTROL..............................................................103
7.1. ADXOPTIONMODULE PROPERTIES..................................................................................... 103
7.1.1. ErrorCode.............................................................................................................................. 103
7.1.2. ErrorMode ............................................................................................................................. 103
7.1.3. ErrorString............................................................................................................................. 103
7.2. ADXOPTIONMODULE METHODS .......................................................................................... 104
7.2.1. AdBarrierCapFloorCaplets.................................................................................................... 104
7.2.2. AdBarrierCapFloorDeriv........................................................................................................ 105
7.2.3. AdBarrierCapFloorImpliedVol ............................................................................................... 106
7.2.4. AdBarrierCapFloorPremium.................................................................................................. 107
7.2.5. AdBondOptionDeriv .............................................................................................................. 108
7.2.6. AdBondOptionPremium ........................................................................................................ 109
7

AdfinX Analytics 1.0 Function Library – User Guide
7.2.7. AdCapFloorCaplets............................................................................................................... 109
7.2.8. AdCapFloorDeriv................................................................................................................... 110
7.2.9. AdCapFloorImpliedVol .......................................................................................................... 111
7.2.10. AdCapFloorPremium ......................................................................................................... 112
7.2.11. AdDigitalCapFloorCaplets ................................................................................................. 113
7.2.12. AdDigitalCapFloorDeriv..................................................................................................... 114
7.2.13. AdDigitalCapFloorImpliedVol............................................................................................. 115
7.2.14. AdDigitalCapFloorPremium............................................................................................... 116
7.2.15. AdSwaptionDeriv ............................................................................................................... 116
7.2.16. AdSwaptionPremium ......................................................................................................... 117
7.2.17. OpCalcDeriv ...................................................................................................................... 118
7.2.18. OpHistVol........................................................................................................................... 119
7.2.19. OpImpliedVol ..................................................................................................................... 120
7.2.20. OpPremium........................................................................................................................ 120
8. ADFINX ADXSWAPMODULE CONTROL.................................................................122
8.1. ADXSWAPMODULE PROPERTIES ........................................................................................ 122
8.1.1. ErrorCode.............................................................................................................................. 122
8.1.2. ErrorMode ............................................................................................................................. 122
8.1.3. ErrorString............................................................................................................................. 122
8.2. ADXSWAPMODULE METHODS ............................................................................................. 123
8.2.1. FrnCalcCpn ........................................................................................................................... 123
8.2.2. FrnCashFlows ....................................................................................................................... 124
8.2.3. FrnMargin.............................................................................................................................. 125
8.2.4. FrnPx..................................................................................................................................... 125
8.2.5. SwCsCashFlows ................................................................................................................... 126
8.2.6. SwCsPx................................................................................................................................. 127
8.2.7. SwCsSolve............................................................................................................................ 128
8.2.8. SwIrsCashFlows ................................................................................................................... 129
8.2.9. SwIrsCpnDates ..................................................................................................................... 130
8.2.10. SwIrsPvbpCrv.................................................................................................................... 131
8.2.11. SwIrsPx.............................................................................................................................. 132
8.2.12. SwIrsSolve......................................................................................................................... 132
8.2.13. SwSwpExtend ................................................................................................................... 133
9. ADFINX ADXYIELDCURVEMODULE CONTROL ....................................................135
9.1. ADXYIELDCURVEMODULE PROPERTIES............................................................................ 135
9.1.1. ErrorCode.............................................................................................................................. 135
9.1.2. ErrorMode ............................................................................................................................. 135
8

AdfinX Analytics 1.0 Function Library – User Guide
9.1.3. ErrorString............................................................................................................................. 136
9.2. ADXYIELDCURVEMODULE METHODS................................................................................. 136
9.2.1. AdCalibrate............................................................................................................................ 136
9.2.2. AdFutCodes .......................................................................................................................... 138
9.2.3. AdFutDates ........................................................................................................................... 138
9.2.4. AdRate .................................................................................................................................. 138
9.2.5. AdTermStructure................................................................................................................... 139
10. GENERAL IDENTIFIERS...........................................................................................142
10.1. ERRORMODE ...................................................................................................................... 142
10.1.1. AdxErrorMode ................................................................................................................... 142
11. BACKWARD COMPATIBILITY .................................................................................143
11.1. COMPATIBILITY................................................................................................................... 143
11.2. NAMING DIFFERENCES ..................................................................................................... 143
11.3. HOW TO MIGRATE YOUR CODE ..................................................................................... 144
12. TROUBLESHOOTING ...............................................................................................145
9

AdfinX Analytics 1.0 Function Library – User Guide
1. ADFINX ADXMODULE CONTROL
1.1. ADXMODULE PROPERTIES
1.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxModule control retrieves the last error code generated by the
object.
Arguments
This property takes no argument.
Example
Dim mo as AdxModule : Declares an object of v type AdxModule
Set mo = New AdxModule : Creates an AdxModule object
If mo.ErrorCode 0 Then : mo.ErrorCode contains the error
MsgBox (mo.ErrorCode) : Displays the error code in a message box
End If
1.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxModule component sets the error mode of the AdxModule.
Three modes are defined:
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the
error encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim mo as AdxModule : Declares an object of type AdxModule
Set mo = New AdxModule : Creates an AdxModule object
mo.ErrorMode = NO_EXCEPTION : mo.ErrorMode is set to NO_EXCEPTION
1.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxModule retrieves the last error code generated by the
object with the associated error string.
10

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
This property takes no argument.
Example
Dim mo as AdxModule : Declares an object of type AdxModule
Set mo = New AdxModule : Creates an AdxModule object
mo.ErrorMode = EXCEPTION : mo.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an error
occurs
RES = mo.DfIsWD("EUR", "05-MAR-01", "LAY:V")
: The calendar code is incorrect. The function DfIsWD returns
an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(mo.ErrorString) : Displays the ErrorString in a message box
mo.ErrorString contains the ErrorString (‘Error#f000 –
Calendars:Calendar(s) not found.’)
1.2. ADXMODULE METHODS
1.2.1. AdDepToFra
AdDepToFra(Date1 As Variant, Date2 As Variant, Date3 as Variant, RateMode As
String, Rate1 As Double, Rate3 As Double) As Double
Calculates a forward rate.
The type of rate used for Rate1, Rate3 and the returned rate must be specified in the RateMode
argument with the either the keyword RATES or all three keywords R1, R2 and R3.
Arguments
Date1 : First date
Date2 : Second date
Date3 : Third date
RateMode : Extended argument defining the type of rates used
Rate1 : Rate applicable for the period from Date1 to Date2
Rate3 : Rate applicable for the period from Date1 to Date3
Return Value
The rate applicable for the period from Date2 to Date3.
11

AdfinX Analytics 1.0 Function Library – User Guide
1.2.2. AdDepToFraBA
AdDepToFraBA(Date1 As Variant, Date2 As Variant, Date3 As Variant, RateMode As
String, Rate1BA As Variant, Rate3BA As Variant) As Variant
Calculates forward bid and ask rates.
The type of rate used for Rate1BA, Rate3BA and the returned rates must be specified in the
RateMode argument with either the keyword RATES or all three keywords R1, R2 and R3.
Arguments
Date1 : First date
Date2 : Second date
Date3 : Third date
RateMode : Extended argument defining the type of rates used
Rate1BA : Rates applicable for the period from Date1 to Date2 (array Bid/Ask)
Rate3BA : Rates applicable for the period from Date1 to Date3 (array Bid/Ask)
Return Value
The return value depends on the value of RateMode. The default value is a vertical 2-element array
containing:
Rate2B : Bid side of the rate applicable for the period from Date2 to Date3
Rate2A : Ask side of the rate applicable for the period from Date2 to Date3
1.2.3. AdFormat
AdFormat(Data As Variant, BidDecimals As Integer, AskDigits As Integer,
FormatMode As String) As String
Converts a decimal number to a fraction or displays a bid/ask array as a string using the bid/ask
format.
Arguments
Data : Decimal number or array of bid and ask values to format
BidDecimals :
Number of decimals of the fractional component (for fraction formatting) or of
the bid side (for bid/ask formatting)
AskDigits : Number of last digits of the ask side (applicable for bid/ask formatting only)
FormatMode : Extended argument customizing the return value
Return Value
The formatted string.
Note
To get a rate in the Ask/Bid format, switch the bid and ask array arguments and set the BACTRL
keyword as desired in FormatMode.
Examples
AdFormat(7.5,0,0,"FD:32") equals the string "7 * 16".
AdFormat(7.5,0,0,"FD:32 FSEP:^-^ FSHOW") equals the string "7 - 16/32".
12

AdfinX Analytics 1.0 Function Library – User Guide
AdFormat({1.235,1.264},3,2,"BASEP:-") equals the string "1.235-64".
1.2.4. AdHistoryUpdate
AdHistoryUpdate(IndexName As String, DateArray As Variant, ValueArray As
Variant) As Double
Adds new values to the index history database.
Arguments
IndexName : Index history style name
DateArray : Array of dates
ValueArray : Array of historical values
Return Value
1 if successful.
1.2.5. AdHistoryValue
AdHistoryValue(IndexName As String, StyleMode As String) As Variant
Retrieves the latest historical value available in the database for an index history style.
Arguments
IndexName :
StyleMode :
Index history style name
Extended argument customizing the return value
Return Value
The return value depends on the value of StyleMode. The default value is a 2-element array
containing:
LatestDate : Date corresponding to the latest historical value available
LatestValue : Value of the index for that date
1.2.6. AdInterp
AdInterp(X As Variant, XArray As Variant, YArray As Variant, InterpMode As
String) As Double
Interpolates a point from a curve according to a linear or cubic spline method.
To define the type of the interpolation, use the IM keyword in InterpMode.
If the calculation date s not within the range of the date array DateArray, the function may either
extrapolate or return an error message depending on value of the OBC keyword.
Arguments
X : Calculation date (x j
corresponding to the interpolated y j
)
13

AdfinX Analytics 1.0 Function Library – User Guide
XArray : Array of dates (x i
)
YArray : Array of values (y i
= f(x i
))
InterpMode : Extended argument defining the interpolation
Return Value
The value interpolated (y j
).
1.2.7. AdParse
AdParse(DataString As String, ParseMode As String) As Variant
Parses a data string formatted in fraction or bid/ask format.
To define the type of parsing, use the PDF and PDT keywords in ParseMode.
Arguments
DataString : BidAsk string
ParseMode : Extended argument defining the parsing mode
Return Value
The return value depends on the value of ParseMode. The default value is a 2-element array
containing:
Bid : Bid value
Ask : Ask value
1.2.8. AdRateConv
AdRateConv(StartDate As Variant, EndDate As Variant, RateMode As String, Rate
As Double) As Double
Converts a rate from one type to another.
The type of rate used for Rate and the returned rate must be specified in the RateMode argument
with the keywords FROM and TO.
Arguments
StartDate : Start date of the period
EndDate : End date of the period
RateMode : Extended argument defining the type of the conversion
Rate : Rate to be converted
Return Value
The converted rate.
14

AdfinX Analytics 1.0 Function Library – User Guide
1.2.9. AdRound
AdRound(Value As Double, Tick As Double, RoundMode As String) As Double
Rounds a number to the nearest tick.
Arguments
Value : Number to be rounded
Tick : Rounding tick
RoundMode : Extended argument defining the type of the rounding.
Return Value
The rounded number.
Note
By default the function rounds the number to the nearest possible value, but it is also possible to round
the number down or up using respectively the keyword DOWN or UP in RoundMode.
1.2.10. AdZcToFraBA
AdZcToFraBA(StirFutStructure As String, StartDate As Variant, Period As
String, ZcArray As Variant, YcMode As String) As Variant
Calculates a FRA bid and ask rates from a zero-coupon yield curve.
To indicate the zero-coupon yield curve type (rates or discount factors), use the ZCTYPE keyword in
YcMode.
Arguments
StirFutStructure : Extended argument defining the STIR futures contract
StartDate : FRA starting date
Period : FRA maturity date (expressed as a date or a code such as "1Y")
ZcArray : Array of zero-coupon dates and rates or discount factors
YcMode : Extended argument customizing the return value
Return Value
The return value depends on the value of YcMode. The default value is a vertical 3-element array
containing:
FraBid : FRA bid rate
FraAsk : FRA ask rate
NbDays : Number of days covered by the FRA
Notes
The StirFutStructure argument is included in this function to define the calendar and the
year basis used for FRA calculations.
The BWB keyword in YcMode can be used to monitor the spread of the calculated FRA.
"BWB:NO" calculates synthetic prices with a larger spread whereas "BWB:YES" retrieves market
prices which is needed for instance for IMM FRAs.
15

AdfinX Analytics 1.0 Function Library – User Guide
The NFVP and PFVP keywords in YcMode can be used to customize how broken FRAs are
calculated. The standard method consists in interpolating the FRA rate from the 2 bounding fixing
rates but it is possible to apply the previous fixing for some days after the fixing date (PFVP) and/or
the next fixing for some days before the fixing date (NFVP).
1.2.11. DfAddMonths
DfAddMonths(Calendars As String, CalcDate As Variant, NbMonths As Integer,
DfMode As String) As Variant
Adds a number of months to a date.
Arguments
Calendars : String of calendar codes (example: "FRA,UKG")
CalcDate : Calculation date
NbMonths : Number of months
DfMode : Extended argument customizing the return value
Return Value
Returns the date computed by adding NbMonths to CalcDate.
Note
If the computed date falls on a non-working day, the date moving convention specified in DfMode
with the keyword DMC (or the default value if not specified) applies. If CalcDate falls on the last
working day of the month, the return date may also vary depending on the end-of-month convention
defined as default or specified in DfMode with the keyword EMC.
1.2.12. DfAddPeriod
DfAddPeriod(Calendars As String, CalcDate As Variant, Period As String, DfMode
As String) As Variant
Adds a period (number of calendar days, working days, weeks, months or years) to a date.
Arguments
Calendars : String of calendar codes (example: "FRA,UKG")
CalcDate : Calculation date
Period : Period code {iD, iM, iW, iWD, iY, with i as integer}
iD i calendar days
iM i months
iW i weeks
iWD i working days (from -366 to 366)
iY i years
DfMode : Extended argument customizing the return value
Return Value
The return value depends on the value of DfMode. The default value is a vertical 2-cell array
containing:
ComputedDate : Date computed by adding Period to CalcDate.
16

AdfinX Analytics 1.0 Function Library – User Guide
If this date falls on a non-working day, the date moving convention
specified in DfMode with the keyword DMC (or the default value if
not specified) applies.
If CalcDate falls on the last working day of the month, the computed
date may also vary depending on the end-of-month convention defined
as default or specified in DfMode with the keyword EMC.
Adjustement : String indicated why CalcDate was adjusted if applicable.
Notes
It is possible to combine two period calculations within the same Period argument (e.g. iYjM
for adding i years and j months to CalcDate).
When Period stands for a given number of working days (iWD), DfAddPeriod is equivalent to
DfAddWD.
When Period stands for a given number of months (iM), DfAddPeriod is equivalent to
DfAddMonths.
When Period stands for a given number of years (iY), DfAddPeriod is equivalent to
DfAddYears.
1.2.13. DfAddYears
DfAddYears(Calendars As String, CalcDate As Variant, NbYears As Integer, DfMode
As String) As Variant
Adds a number of years to a date.
Arguments
Calendars : String of calendar codes (example : "FRA,UKG")
CalcDate : Calculation date
NbYears : Number of years
DfMode : Extended argument customizing the return value
Return Value
The date computed by adding NbYears to CalcDate.
Note
If the computed date falls on a non-working day, the date moving convention specified in DfMode
with the keyword DMC (or the default value if not specified) applies. If CalcDate falls on the last
working day of the month, the return date may also vary depending on the end-of-month convention
defined as default or specified in DfMode with the keyword EMC.
1.2.14. DfAddWD
DfAddWD(Calendars As String, CalcDate As Variant, NbDays As Integer, DfMode As
String) As Long
Adds a number of working days to a date.
Arguments
Calendars : String of calendar codes (example : "FRA,UKG")
CalcDate : Calculation date
NbDays : Number of working days (from -366 to 366)
17

AdfinX Analytics 1.0 Function Library – User Guide
DfMode : Extended argument customizing the return value
Return Value
The NbDays-th working day following CalcDate is first calculated independently for all listed
calendars. The greatest of the computed dates is returned if it is a working day for all calendars.
Otherwise, the next working day common to all listed calendars is returned.
Note
When NbDays equals 0, DfAddWD is equivalent to DfAdjustToWD with the argument Direction
= 1.
1.2.15. DfAdjustToWD
DfAdjustToWD(Calendars As String, CalcDate As Variant, AdjMode As Integer,
DfMode as String) As Long
Adjusts a holiday date to the previous or next working day.
Arguments
Calendars : String of calendar codes (example : "FRA,UKG")
CalcDate : Calculation date
AdjMode : Adjustment mode {0, 1, -1}
0 for adjusting the date according to the date moving convention specified in DfMode
with the keyword DMC
1 for adjusting the date to the next day
-1 for adjusting the date to the previous day
DfMode : Extended argument customizing the return value
Return Value
The same date if it is a working day, otherwise the previous ("DMC:P") or the next ("DMC:F") working
day common to all listed calendars.
1.2.16. DfCountDays
DfCountDays(StartDate As Variant, EndDate as Variant, DfMode As String) As
Long
Calculates the number of days between two dates according to the day count basis specified in
DfMode with the keyword DCB.
Arguments
StartDate : Period start date
EndDate : Period end date
DfMode : Extended argument customizing the return value
Return Value
The number of days calculated according to the chosen basis.
18

AdfinX Analytics 1.0 Function Library – User Guide
Note
This function will return the same number of days as in a normal year (365,366) except for "DCB:00"
and "DCB:E0".
1.2.17. DfCountNonWD
DfCountNonWD(Calendars As String, StartDate As Variant, EndDate As Variant,
DfMode As String) As Long
Calculates the number of non-working days between two dates.
Arguments
Calendars : String of calendar codes (example : "FRA,UKG")
StartDate : Period start date
EndDate : Period end date
DfMode : # not currently used - leave blank #
Return Value
The number of non-working days in any of the listed calendars between StartDate and EndDate.
Only the end date is counted if it is a non-working day. The start date is not taken into account.
1.2.18. DfCountWD
DfCountWD(Calendars As String, StartDate As Variant, EndDate As Variant,
DfMode As String)As Long
Calculates the number of working days between two dates.
Arguments
Calendars : String of calendar codes (example : "FRA,UKG")
StartDate : Period start date
EndDate : Period end date
DfMode : # not currently used - leave blank #
Return Value
The number of working days common to all listed calendars between StartDate and EndDate.
Only the end date is counted if it is a working day. The start date is not taken into account.
1.2.19. DfCountYears
DfCountYears(StartDate As Variant, EndDate As Variant, DfMode As String) As
Double
Calculates the number of years between two dates according to the day count basis specified in
DfMode with the keyword DCB.
Arguments
StartDate : Period start date
EndDate : Period end date
DfMode : Extended argument customizing the return value
19

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The number of years calculated according to the chosen basis.
1.2.20. DfFindDateD
DfFindDateD(Number As Integer, Day As String, Direction As String, RefDate As
Variant) As Long
Finds a date from a rule based on a reference date.
Arguments
Number : Integer representing the number of days or given day of the week
Day : String representing the day {Day, Monday, Tuesday, Wednesday, Thursday,
Friday, Saturday, Sunday}
Direction : String representing the direction {Of, Before, After}
RefDate : Reference date
Return Value
The calculated date.
Note
The string arguments (Day and Direction) are not case sensitive and can be limited to the first
three characters when applicable.
1.2.21. DfFindDateM
DfFindDateM(Number As Integer, Day As String, Direction As String, Month As
String, Year As Integer) As Long
Finds a date from a rule based on a reference month.
Arguments
Number : Integer representing the number of days or given day of the week
Day : String representing the day {Day, Monday, Tuesday, Wednesday, Thursday,
Friday, Saturday, Sunday}
Direction : String representing the direction {Of, Before, After}
Month : String representing the month {January, February, March, April, May, June,
July, August, September, October, November, December, Easter}
Year : Year
Return Value
The calculated date.
Note
The string arguments (Day, Direction and RefMonth) are not case sensitive and can be limited to
the first three characters when applicable.
20

AdfinX Analytics 1.0 Function Library – User Guide
1.2.22. DfFormatDate
DfFormatDate(CalcDate As Variant) As String
Converts a date specified as a serial number to the string format "DDMMMYY".
Arguments
CalcDate :
Calculation date
Return Value
The corresponding string.
Note
This function may be useful to convert dates that have to be included as strings in AdfinX extended
arguments.
1.2.23. DfIDNDate
DfIDNDate(DateStr As String) As Long
Converts a date specified in the string format "DD MMM YY" or "DD MMM YYYY" to a serial
number, whatever the date settings of both the operating system and the client application are.
Arguments
DateStr : Date-formatted string ("DD MMM YY" or "DD MMM YYYY")
Return Value
The corresponding serial number.
Note
This function may be useful to avoid that a date retrieved from a real-time data feed is misinterpreted
by the client application.
1.2.24. DfIsWD
DfIsWD(Calendars As String, CalcDate As Variant, DfMode As String) As Variant
Indicates whether a date is a working day or not.
Arguments
Calendars : String of calendar codes (example : "FRA,UKG")
CalcDate : Calculation date
DfMode : Extended argument customizing the return value
Return Value
The return value depends on the value of DfMode. The default value is a 2-cell vertical array
containing:
21

AdfinX Analytics 1.0 Function Library – User Guide
Status : A Boolean (TRUE | FALSE) set to FALSE if CalcDate is found in any of the listed
calendars
Calendar : String of calendar codes for which CalcDate is a non-working day.
When this array function is used as a standard function, just the first element is returned. To get the
second element use "RET:2" as DfMode.
1.2.25. DfLastWD
DfLastWD(Calendars As String, CalcDate As Variant, DfMode As String) As Long
Calculates the last working day of a month.
Arguments
Calendars : String of calendar codes (example : "FRA,UKG")
CalcDate : Calculation date
DfMode : # not currently used - leave blank #
Return Value
The last working day in the month of CalcDate common to all listed calendars.
1.2.26. DfListHolidays
DfListHolidays(Calendars As String, StartDate As Variant, EndDate As Variant,
DfMode As String) As Variant
Lists one or several calendar holidays between two dates.
Arguments
Calendars : String of calendar codes (example : "FRA,UKG")
StartDate : Period start date
EndDate : Period end date
DfMode : Extended argument customizing the return value
Return Value
The return value depends on the value of DfMode. The default value is a vertical array containing
holidays between StartDate and EndDate for all listed calendars.
When this array function is used as a standard function, just the first element is returned. To get the
second element use "RET:2" as DfMode.
It is also possible to get both holiday names and dates using for instance "RET:B10" as DfMode.
1.2.27. AdDefAttribute
AdDefAttribute(DefCategory As String, DefAttribute As String) As String
Returns the value of a default setting.
22

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
DefCategory : String argument defining the default settings category
DefAttribute : Keyword of DefStructure corresponding to the default setting
Return Value
The value of the default setting.
1.2.28. AdDefSet
AdDefSet(DefCategory As String, DefStructure As String)
Sets one or several default settings belonging to a same default setting category.
The default settings category or nature is defined in the argument DefCategory. Hence, all settings
grouped together in the DefStructure argument must belong to the same category.
Arguments
DefCategory : String argument defining the default settings category
DefStructure : Extended argument defining the default settings
1.2.29. AdDefStructure
AdDefStructure(DefCategory As String) As String
Returns all default settings for a default setting category.
Arguments
DefCategory : String argument defining the default settings category
Return Value
The DefStructure string corresponding to the default settings of the category.
1.2.30. AdReadParam
AdReadParam(Section As String, Entry As String) As String
Reads information from the Adfin data file m_excel.dat.
Arguments
Section : Section name
Entry : Entry name
Return Value
The value assigned to Entry from the section [Section] of the file m_excel.dat.
Note
This function may be useful to initialize a parameter with a value previously saved with the function
AdWriteParam.
23

AdfinX Analytics 1.0 Function Library – User Guide
1.2.31. AdStyleAttribute
AdStyleAttribute(StyleTable As String, StyleCode As String, StyleAttribute As
String) As Variant
The AdStyleAttribute method of the AdxModule control returns the value of a style attribute.
Arguments
StyleTable : String argument defining the style table
StyleCode : Style Code
StyleAttribute : Keyword corresponding to the style Attribute
Return value
The value of the style attribute.
Example
Dim dlg as AdxModule : Declare an object variable of type AdxModule
Set dlg = New AdxModule : Create an AdxModule object
MsgBox dlg.AdStyleAttribute(“BOND”,”GILT”,”ACC”) :
Returns the value for the accrued interest attribute
1.2.32. AdStyleDelete
AdStyleDelete(StyleTable As String, StyleCode As String) As Boolean
The AdStyleDelete method of the AdxModule deletes an existing style from a style table.
Arguments
StyleTable : String argument defining the style table
StyleCode : Style Code
Return value
True or False depending on the success of the operation.
Example
Dim dlg as AdxModule : Declare an object variable of type AdxModule
Set dlg = New AdxModule : Create an AdxModule object
MsgBox dlg.AdStyleDelete(“BOND”,”OAT”) :
Delete the style “OAT” from the style table bond
1.2.33. AdStyleName
AdStyleName(StyleTable As String, StyleCode As String) As String
Returns the name of a style.
24

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
StyleTable : String argument defining the style table
StyleCode : Style code
Return Value
The name of the style.
1.2.34. AdStyleSet
AdStyleSet(StyleTable As String, StyleCode As String, StyleName As String,
StyleStructure As String, StyleMode As String) As Boolean
The AdStyleSet method of the AdxModule creates or modifies a style in a style table.
Arguments
StyleTable : String argument defining the style table
StyleCode : Style Code
StyleName : Style Name
StyleStructure : Style Structure
StyleMode : Extended argument defining the operation
Return value
True if successful otherwise False.
Note
You can use the IndexHistoryStructure as StyleStructure argument.
Example
Dim dlg as AdxModule : Declare an object variable of type AdxModule
Set dlg = New AdxModule : Create an AdxModule object
MsgBox dlg.AdStyleSet(“BOND”,”GILT”,” UK Treasury Bonds”,“ACC:AA CM:AA
RND:5 FRQ:2 XD:6WD EY:2 SETTLE:1WD CLDR:UKG”,”PUBLIC”) :
Sets the style GILT in the style table BOND
1.2.35. AdStyleStructure
AdStyleStructure(StyleTable As String, StyleCode As String) As String
The AdStyleStructure method of the AdxModule returns the structure of a style.
Arguments
StyleTable : String argument defining the style table
StyleCode : Style Name
Return value
The structure of the style.
25

AdfinX Analytics 1.0 Function Library – User Guide
Example
Dim dlg as AdxModule : Declare an object variable of type AdxModule
Set dlg = New AdxModule : Create an AdxModule object
MsgBox dlg.AdStyleStructure(“BOND”,”OAT”) :
Returns the structure of the OAT
1.2.36. AdWriteParam
AdWriteParam(Section As String, Entry As String, Value As String)
Writes information into the Adfin data file m_excel.dat.
Arguments
Section : Section name
Entry : Entry name
Value : Value of entry as a string
Note
This function may be useful to save the value of a parameter. The entry in the m_excel.dat can be
retrieved using the AdReadParam function.
1.2.37. DisplayDefaults
DisplayDefaults()
The DisplayDefaults method of the AdxModule control displays the default dialog box.
Arguments
This method takes no argument.
Example
Dim dlgDefault as AdxModule : Declare an object variable of type AdxModule
Set dlgDefault = New AdxModule : Create an AdxModule object
dlgDefault.DisplayDefaults : Display the default dialog box
1.2.38. DisplayStyles
DisplayStyles()
The DisplayStyles method of the AdxModule control displays the style dialog box.
Arguments
This method takes no argument.
Example
Dim dlg as AdxModule : Declare an object variable of type AdxModule
Set dlg = New AdxModule : Create an AdxModule object
26

AdfinX Analytics 1.0 Function Library – User Guide
dlg.DisplayStyles : Display the styles dialog box
1.2.39. MaxDate
MaxDate() As Long
The MaxDate method of the AdxModule control returns the maximum date value set.
Arguments
This method takes no argument.
Return Value
A Long value, containing the maximum date.
Example
Dim dlg as AdxModule : Declare an object variable of type AdxModule
Set dlg = New AdxModule : Create an AdxModule object
MsgBox dlg.MaxDate : Get the Max date
1.2.40. MinDate
MinDate() As Long
The MinDate method of the AdxModule control returns the minimum date value set.
Arguments
This method takes no argument.
Return Value
A Long value, containing the minimum date.
Example
Dim dlg as AdxModule : Declare an object variable of type AdxModule
Set dlg = New AdxModule : Create an AdxModule object
MsgBox dlg.MinDate : Get the Min date
1.2.41. NormalC
NormalC(Number As Double) As Double
Calculates y=f(x) using a cumulative normal distribution.
Arguments
Number : x value
27

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
N ( x) = N( t)
dt
c
x
∫
−∞
1.2.42. NormalS
NormalS(Number As Double) As Double
Calculates y=f(x) using a normal distribution.
Arguments
Number : x value
Return Value
1 ( x−
m)
N( x) = exp[ −
2
2Πν
2ν
2
]
1.2.43. SetReferenceDates
SetReferenceDates(DateOffset As Long, MinDate As Long, MaxDate As Long)
The SetReferenceDates method of the AdxModule control sets the offset (base day), the
minimum date and the maximum date. The default values are 0, 1, 65380, since AdfinX valid dates
must be between 31 st December 1899 (1) and 31 st December 2078 (65380). The date minimum limit
is 1 st January 100 and the maximum limit is 31 st December 3999. The offset is used to increase the
lower range for the dates that can be handled. If an error is incurred whilst calling the function then the
reference dates will be reset to the default values. The function can be used with MaxDate and
MinDate as shown in the following coding example to obtain the maximum and minimum dates set:
Arguments
DateOffset : New offset (base day)
MinDate : New minimum date
MaxDate : New maximum date
Example
Dim dlg as AdxModule : Declare an object variable of type AdxModule
Set dlg = New AdxModule : Create an AdxModule object
dlg.SetReferenceDates 0, 1, 65380 : Set the reference dates
MsgBox dlg.MinDate : Get the Min date set
MsgBox dlg.MaxDate : Get the Max date
28

AdfinX Analytics 1.0 Function Library – User Guide
2. ADFINX ADXBONDMODULE CONTROL
2.1. ADXBONDMODULE PROPERTIES
2.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxBondModule control retrieves the last error code generated by
the object.
Arguments
This property takes no argument.
Example
Dim bd as AdxBondModule : Declares an object of type AdxBondModule
Set bd = New AdxBondModule : Creates an AdxBondModule object
If bd.ErrorCode 0 Then : bd.ErrorCode contains the error
MsgBox (bd.ErrorCode) : Displays the error code in a message box
End If
2.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxBondModule component sets the error mode. Three modes
are defined:
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim bd as AdxBondModule : Declares an object of type AdxBondModule
Set bd = New AdxBondModule : Creates an AdxBondModule object
bd.ErrorMode = NO_EXCEPTION : bd.ErrorMode is set to NO_EXCEPTION
2.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxBondModule retrieves the last error code generated by the
object with the associated error string.
29

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
This property takes no argument.
Example
Dim bd as AdxBondModule : Declares an object of variable type AdxBondModule
Set bd = New AdxBondModule : Creates an AdxBondModule object
bd.ErrorMode = EXCEPTION : bd.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an error
occurs
RES = bd.BdSettle("24-JAN-00", "GLT")
: The style ‘GLT’ does not exist. The function BdSettle returns
an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(bd.ErrorString) : Displays the ErrorString in a message box
Bd.ErrorString contains the ErrorString (‘Error#7008 –
SetStructure with an unrecognized keyword.’)
2.2. ADXBONDMODULE METHODS
2.2.1. Accrued
Accrued(CalcDate As Variant, Maturity As Variant, Coupon As Double,
BondStructure As String) As Double
Calculates the accrued interest using a bond structure.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate of the bond, expressed as a percentage
BondStructure : Extended argument defining the bond structure
Return Value
The accrued interest expressed as a percentage.
2.2.2. AdBondDeriv
AdBondDeriv(SettlementDate As Variant, RateArray as Variant, Maturity As
Variant, Coupon As Double, Spread As Double, BondStructure As String,
RateStructure As String, CalcStructure As String, AdMode As String) As
Variant
Calculates the derivatives of the bond using a bond structure.
30

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
Depending on the model, this array has several forms:
• a single value if the Yield To Maturity is used
• a 1 dimensional array containing the Vasicek-Fong coefficients if
VF is specified
• a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), and the values for the rates if a ZCCurve is used
• a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), the values for the rates, and the volatilities if BDT is
used
The model used is specified by the keyword RM (Rate Model) in the
RateStructure argument.
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate, expressed as a percentage
Spread : Spread value expressed in basis points
Depending on the rate model, the spread will be added either to a yield
(RM:YTM), to a yield curve (RM:YC, RM:VF), or will be an option
adjusted spread (RM:BDT).
BondStructure : Extended argument defining the bond structure
RateStructure : Extended argument defining the rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return value
The return value depends on the value of AdMode. The default value is a vertical 8-cell array
containing:
Price : Price of the bond
Option Free Price : Option Free Price of the bond
Volatility : Volatility
PVBP : Price variation per basis point
Duration : Duration
Average Life : Average life
Convexity : Convexity
Yield To Worst/Yield To best date : Yield to worst/yield to best date
The value is the clean or the gross price of the bond depending on the value of the keyword PX in the
BOND default settings. By default, the return value is the clean price.
2.2.3. AdBondPrice
AdBondPrice(SettlementDate As Variant, RateArray As Variant, Maturity As
Variant, Coupon As Double, Spread As Double, BondStructure As String,
RateStructure As String, CalcStructure As String, AdMode As String) As
Variant
Calculates the price of a bond using a bond structure.
31

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
Depending on the model, this array has several forms:
• a single value if the Yield To Maturity is used
• a 1 dimensional array containing the Vasicek-Fongs coefficient if
VF is specified
• a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), and the values for the rates if a ZCCurve is used
• a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), the values for the rates, and the volatilities if BDT is used
The model used is specified by the keyword RM (Rate Model) in the
RateStructure argument.
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate, expressed as a percentage
Spread : Spread value expressed in basis points
Depending on the rate model, the spread will be added either to a yield
(RM:YTM), to a yield curve (RM:YC, RM:VF), or will be an option
adjusted spread (RM:BDT).
BondStructure : Extended argument defining the bond structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical array containing:
Price : Price of the bond
Option Free Price : Option Free Price of the bond
The value is the clean or the gross price of the bond depending on the value of the keyword PX in the
BOND default settings. By default, the return value is the gross price.
2.2.4. AdBondSpread
AdBondSpread(SettlementDate As Variant, RateArray As Variant, Price As
Double, Maturity As Variant, Coupon As Double, BondStructure As String,
RateStructure As String, CalcStructure As String, AdMode As String) As
Double
Calculates the spread of the bond using a bond structure.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
Depending on the model, this array has several forms:
• a single value if the Yield To Maturity is used
• a 1 dimensional array containing Vasicek-Fong coefficient if VF is
specified
32

AdfinX Analytics 1.0 Function Library – User Guide
• a 2-dimensional array containing the dates (row or column
depending on the orientation of the array specified by the LAY
keyword) and the values for the rates if a ZCCurve is used
• a 2-dimensional array containing the dates (row or column
depending on the orientation of the array specified by the LAY
keyword), the values for the rates, and the volatilities if BDT is
used
The model used is specified by the keyword RM (Rate Model) in the
RateStructure argument.
Price : Clean or gross price expressed as a percentage of the nominal
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate, expressed as a percentage
BondStructure : Extended argument defining the bond structure
RateStructure : Extended argument defining the rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The spread in basis point.
The return value depends on the value of the RM keyword in the RateStructure.
If the model is YTM and the RateArray is zero, the return value is the yield to maturity or
the yield to worst/yield to best.
If the model is static (i.e. constant yield curve, yield curve, Vasicek-Fong), the return value is the yield
spread incremental return or the yield curve spread depending on the model used. It measures the
spread between the yield of the bond and the benchmark yield calculated from the inputs.
If the model is dynamic (i.e. BDT), the return value is the OAS.
2.2.5. AdBondYield
AdBondYield(SettlementDate As Variant, Price As Double, Maturity As Variant,
Coupon As Double, BondStructure As String, RateStructure As String, AdMode
As String) As Variant
Calculates the Yield To Maturity of non optionable bonds. Calculates the yields at call/put dates of
optionable bonds.
Arguments
SettlementDate : Settlement date
Price : (Market) Price of the bond
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate, expressed as a number or a percentage
BondStructure : Extended argument defining the bond structure
RateStructure : Extended argument defining the rate model
AdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 4-cell array
containing:
Yield
Option date
33

AdfinX Analytics 1.0 Function Library – User Guide
Strike price
Yield type
2.2.6. BdCalcCpn
BdCalcCpn(CalcDate As Variant, Maturity As Variant, Coupon As Double,
BondStructure As String, BdMode As String) As Variant
Returns all coupon features in an array using a bond structure.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate expressed as a number or a percentage
BondStructure : Extended argument defining the bond structure
BdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of BdMode. The default value is a vertical 6-cell array
containing:
PrevCpnDate : Previous coupon date
NextCpnDate : Next coupon date
ExDivDate : Ex-dividend date
AccruedDays : Number of accrued days calculated according to the accrued basis
AccruedInt : Accrued interest
NextCpnValue : Next coupon value
When this array function is used as a standard function, only the first element is returned. To return for
instance the second element use "RET:2" as BdMode.
Notes
The ex-dividend date is equal to the next coupon date unless the BondStructure argument
includes an ex-dividend attribute (XD) other than 0.
Most elements calculated with this function are calculated separately using other functions. The
same conventions apply.
2.2.7. BdCashFlows
BdCashFlows(CalcDate As Variant, Maturity As Variant, Coupon As Double,
BondStructure As String, BdMode As String) As Variant
Generates an array of the remaining cash flows using a bond structure.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate of the bond, expressed as a number or a percentage
BondStructure : Extended argument defining the bond structure
BdMode : Extended argument customizing the return value
34

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The return value depends on the value of BdMode. The default value is a vertical 2-column array
containing all remaining cash flow dates and values (interest + principal). To return a 3-dimension
array containing the dates, the interest cash flows and the principal cash flows, use "IAC" as
BdMode.
Note
When the RET keyword is not specified in BdMode, the maximum number of cash flows returned by
the function is limited to 24. To return, for example, 30 cash flows for a long term bond, use
"RET:A30".
2.2.8. BdConvFactor
BdConvFactor(BondFutStructure As String, MaturityCode As String, Maturity As
Variant, Coupon As Double, ConvMode As String, BdMode As String) As Variant
Calculates the conversion factor of a bond.
Arguments
BondFutStructure : Extended argument defining the bond futures structure
MaturityCode : String defining the maturity of a 3-month futures contract
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate expressed as a number or a percentage
ConvMode : Extended argument defining deliverable bond oddities
BdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of BdMode. The default value is a vertical 3-cell array
containing:
ConvFactor : Conversion factor of the bond
DelivStartDate : Start date of the delivery period
DelivEndDate : End date of the delivery period
Note
You can use more than one character to define the year in the MaturityCode argument. For
example, if the calculation date is February 27 th , 1994, you can differentiate between a June 94
contract ("M4") and a June 2004 contract ("M04" or "M2004") using multiple characters.
2.2.9. BdCpnCrv
BdCpnCrv(CalcDate As Variant, Price As Double, DateArray As Variant, RateArray
As Variant, Maturity As Variant, BondStructure As String, CalcMethod As String)
As Double
Calculates the nominal coupon rate from the bond price and a zero-coupon yield curve.
35

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
Price : Gross price expressed as a percentage of the nominal
DateArray : Array of zero-coupon dates
RateArray : Array of zero-coupon rates or discount factors
Maturity : Maturity date of the bond
BondStructure : Extended argument defining the bond structure
CalcMethod : Extended argument defining the calculation method
Return Value
The nominal coupon rate of the bond.
2.2.10. BdCpnValue
BdCpnValue(CalcDate As Variant, Maturity As Variant, Coupon As Double,
BondStructure As String) As Double
Calculates the value of the next coupon using a bond structure.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate expressed as a number or a percentage
BondStructure : Extended argument defining the bond structure
Return Value
The next coupon value of the bond.
This value is equal to the nominal coupon rate Coupon unless the next coupon is the first one and
the BondStructure argument includes an irregular coupon attribute (ISSUE).
Ex-dividend situations (the purchaser of the bond is not entitled to receive the next coupon during a
period defined by XD) and coupon date offset situations (the purchaser of the bond is entitled to
receive the previous coupon during a period defined by CDO) are ignored for this function.
2.2.11. BdIrsStructure
BdIrsStructure(BondStructure As String) As String
Returns the interest rate swap structure corresponding to a swap in which fixed cash flows match the
bond ones.
Arguments
BondStructure :
Extended argument defining the bond structure
Return Value
The equivalent interest rate swap structure for the fixed leg.
Note
36

AdfinX Analytics 1.0 Function Library – User Guide
This function is dedicated to asset swaps pricing and assumes that the start date of the interest rate
swap is equal to the settlement date of the bond.
2.2.12. BdPvbpCrv
BdPvbpCrv(CalcDate As Variant, Price As Double, DateArray As Variant, RateArray
As Variant, Maturity As Variant, Coupon As Double, BondStructure As String,
CalcMethod As String, BdMode As String) As Variant
Calculates the price variation per basis point (PVBP) for each point of a zero-coupon yield curve.
Arguments
CalcDate : Calculation date
Price : Clean or gross price expressed as a percentage of the nominal
DateArray : Array of zero-coupon dates
RateArray : Array of zero-coupon rates or discount factors
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate expressed as a number or a percentage
BondStructure : Extended argument defining the bond structure
CalcMethod : Extended argument defining the calculation method
BdMode : Extended argument customizing the return value
Return Value
The function returns a 2-dimensional array containing the curve dates and the corresponding
sensitivity values.
Notes
The credit spread, i.e. the difference between the yield to maturity and the yield calculated from the
price derived from the yield curve, is by default ignored, but it can be taken into account using the
"SPREAD" keyword in CalcMethod.
The calculation is performed by default with a yield change epsilon equal to 1 basis point (0.01%), but
this value can be changed using the "SHIFT" keyword in CalcMethod.
If the curve is specified with discount factors, the calculated discount factors are converted into rates,
then shifted applying the yield change, and finally converted back to discount factors.
2.2.13. BdRepo
BdRepo(CalcDate As Variant, HorizonDate As Variant, Npv As Double, Fv As
Double, RepoRate As Double, Maturity As Variant, Coupon As Double,
BondStructure As String, RepoMode As String) As Double
Calculates the implied repo rate, the future value, or the present value of a repo using a bond
structure.
The expected result must be specified in RepoMode using the RES keyword.
To define how the present value and/or the future value of the bond are expressed (clean price, gross
price, or yield), use the NPV and FV keywords in RepoMode. To define the repo rate type (usually
MMBA0 or MMBA5), use the RR keyword.
37

AdfinX Analytics 1.0 Function Library – User Guide
Arguments for implied repo rate calculation
CalcDate : Calculation date
HorizonDate : Horizon date of the repo
Npv : Clean price (as a percentage of the nominal), or gross price (as a percentage
of the nominal), or yield to maturity of the bond at CalcDate (present value)
Fv : Clean price (as a percentage of the nominal), or gross price (as a percentage
of the nominal), or yield to maturity of the bond at HorizonDate (future
value)
RepoRate : # not used - enter 0 #
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate of the bond, expressed as a number or a percentage
BondStructure : Extended argument defining the bond structure
RepoMode : Extended argument defining the calculation
If calculating the implied repo rate, RepoMode should include the argument "RES:IMPRATE".
Arguments for future value calculation
CalcDate : Calculation date
HorizonDate : Horizon date of the repo
Npv : Clean price (as a percentage of the nominal), or gross price (as a percentage
of the nominal), or yield to maturity of the bond at CalcDate (present value)
Fv : # not used - enter 0 #
RepoRate : Repo rate
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate of the bond, expressed as a number or a percentage
BondStructure : Extended argument defining the bond structure
RepoMode : Extended argument defining the calculation
If calculating the future value, RepoMode should include the argument "RES:FV".
Arguments for present value calculation
CalcDate : Calculation date
HorizonDate : Horizon date of the repo
Npv : # not used - enter 0 #
Fv : Clean price (as a percentage of the nominal), or gross price (as a percentage
of the nominal), or yield to maturity of the bond at HorizonDate (future
value)
RepoRate : Repo rate
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate of the bond, expressed as a number or a percentage
BondStructure : Extended argument defining the bond structure
RepoMode : Extended argument defining the calculation
If calculating the present value, RepoMode should include the argument "RES:NPV".
Return Value
The implied repo rate, the future value, or the present value depending on the value of the RES
keyword.
2.2.14. BdSettle
BdSettle(CalcDate As Variant, BondStructure As String) As Long
38

AdfinX Analytics 1.0 Function Library – User Guide
Calculates the settlement date using a bond structure.
Arguments
CalcDate : Calculation date
BondStructure : Extended argument defining the bond structure
Return Value
The bond settlement date.
2.2.15. BdSettleLock
BdSettleLock(CalcDate As Variant, Maturity As Variant, BondStructure As String)
As Long
Calculates the settlement date for bonds with lock-out periods using a bond structure.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
BondStructure : Extended argument defining the bond structure
Return Value
The return value is the settlement date. If the settlement date, calculated from the SETTLE keyword
in BondStructure, falls within the lock-out period preceding the coupon date (defined by the LOCK
keyword) then the settlement occurs on the next coupon date, adjusted to the next working day if
necessary.
2.2.16. CfAvgLife
CfAvgLife(CalcDate As Variant, CfDates As Variant, Cf As Variant, CalcMethod As
String) As Double
Calculates the average life using cash flows.
Arguments
CalcDate : Calculation date
CfDates : Array of cash flow dates corresponding to the bond principal reimbursement
Cf : Array of cash flow values corresponding to the bond principal reimbursement
CalcMethod : Extended argument defining the calculation method
Return Value
The average life of the bond.
2.2.17. CfConv
CfConv(CalcDate As Variant, Yield As Double, CfDates As Variant, Cf As Variant,
CalcMethod As String) As Double
Calculates the convexity using cash flows.
39

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
Yield : Yield to maturity
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
CalcMethod : Extended argument defining the calculation method
Return Value
The convexity of the bond.
2.2.18. CfDur
CfDur(CalcDate As Variant, Yield As Double, CfDates As Variant, Cf As Variant,
CalcMethod As String) As Double
Calculates the duration using cash flows.
Arguments
CalcDate : Calculation date
Yield : Yield to maturity
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
CalcMethod : Extended argument defining the calculation method
Return Value
The duration of the bond.
2.2.19. CfPvbp
CfPvbp(CalcDate As Variant, Yield As Double, CfDates As Variant, Cf As Variant,
CalcMethod As String) As Double
Calculates the price variation per basis point using cash flows.
Arguments
CalcDate : Calculation date
Yield : Yield to maturity
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
CalcMethod : Extended argument defining the calculation method
Return Value
The PVBP of the bond.
40

AdfinX Analytics 1.0 Function Library – User Guide
2.2.20. CfPx
CfPx(CalcDate As Variant, Yield As Double, CfDates As Variant, Cf As Variant,
CalcMethod As String) As Double
Calculates the price from yield using cash flows.
Arguments
CalcDate : Calculation date
Yield : Yield to maturity
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
CalcMethod : Extended argument defining the calculation method
Return Value
The price of the bond in % of the nominal.
2.2.21. CfPxCrv
CfPxCrv(CalcDate As Variant, DateArray As Variant, RateArray As Variant,
CfDates As Variant, Cf As Variant, CalcMethod As String) As Double
Calculates the price from a yield curve using cash flows.
Arguments
CalcDate : Calculation date
DateArray : Array of zero-coupon dates
RateArray : Array of zero-coupon rates or discount factors
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
CalcMethod : Extended argument defining the calculation method
Return Value
The price of the bond expressed as a percentage of the nominal.
2.2.22. CfRepo
CfRepo(CalcDate As Variant, HorizonDate As Variant, Npv As Double, Fv As
Double, RepoRate As Double, CfDates As Variant, Cf As Variant, RepoMode As
String) As Double
Calculates the implied repo rate, the future value, or the present value of a repo using cash flows.
The expected result must be specified in RepoMode using the RES keyword.
To define how the present value and/or the future value of the bond are expressed (clean price, gross
price, or yield), use the NPV and FV keywords in RepoMode. To define the repo rate type (usually
MMBA0 or MMBA5), use the RR keyword.
Arguments for implied repo rate calculation
CalcDate : Calculation date
41

AdfinX Analytics 1.0 Function Library – User Guide
HorizonDate : Horizon date of the repo
Npv : Clean price (as a percentage of the nominal), or gross price (as a percentage
the nominal), or yield to maturity of the bond at CalcDate (present value)
Fv : Clean price (as a percentage of the nominal), or gross price (as a percentage
of the nominal), or yield to maturity of the bond at HorizonDate (future
value)
RepoRate : # not used - enter 0 #
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
RepoMode : Extended argument defining the calculation
If calculating the implied repo rate, RepoMode should include the argument "RES:IMPRATE".
Arguments for future value calculation
CalcDate : Calculation date
HorizonDate : Horizon date of the repo
Npv : Clean price (as a percentage of the nominal), or gross price (as a percentage
of the nominal), or yield to maturity of the bond at CalcDate (present value)
Fv : # not used - enter 0 #
RepoRate : Repo rate
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
RepoMode : Extended argument defining the calculation
If calculating the future value, RepoMode should include the argument "RES:FV".
Arguments for present value calculation
CalcDate : Calculation date
HorizonDate : Horizon date of the repo
Npv : # not used - enter 0 #
Fv : Clean price (as a percentage of the nominal), or gross price (as a percentage
of the nominal), or yield to maturity of the bond at HorizonDate (future
value)
RepoRate : Repo rate
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
RepoMode : Extended argument defining the calculation
If calculating the present value, RepoMode should include the argument "RES:NPV".
Return Value
The implied repo rate, the future value, or the present value depending on the value of the RES
keyword.
2.2.23. CfVol
CfVol(CalcDate As Variant, Yield As Double, CfDates As Variant, Cf As Variant,
CalcMethod As String) As Double
Calculates the volatility or modified duration using cash flows.
42

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
Yield : Yield to maturity
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
CalcMethod : Extended argument defining the calculation method
Return Value
The volatility of the bond.
2.2.24. CfYld
CfYld(CalcDate As Variant, GrossPrice As Double, CfDates As Variant, Cf As
Variant, CalcMethod As String) As Double
Calculates the yield from price using cash flows.
Arguments
CalcDate : Calculation date
GrossPrice : Clean price plus accrued interest expressed in the same unit as cash flows
CfDates : Array of cash flow dates corresponding to the bond reimbursement
Cf : Array of cash flow values corresponding to the bond reimbursement
CalcMethod : Extended argument defining the calculation method
Return Value
The yield to maturity of the bond.
Note
The function only takes the cash flows into account that still have to occur.
2.2.25. CpnNext
CpnNext(CalcDate As Variant, Maturity As Variant, BondStructure As String) As
Long
Calculates the date of the next coupon using a bond structure.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
BondStructure : Extended argument defining the bond structure
Return Value
The next coupon date of the bond.
If there is a first long coupon (expressed by ISSUE and IC:L1 or IC:L1R), the null-value coupon
is ignored.
Similarly, in ex-dividend situations (the purchaser of the bond is not entitled to receive the next coupon
during a period defined by XD) and situations where there is a coupon date offset (the purchaser of
43

AdfinX Analytics 1.0 Function Library – User Guide
the bond is entitled to receive the previous coupon during a period defined by CDO) the arguments are
ignored for this function.
2.2.26. CpnNumber
CpnNumber(CalcDate As Variant, Maturity As Variant, BondStructure As String)
As Integer
Calculates the number of coupons until maturity using a bond structure.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
BondStructure : Extended argument defining the bond structure
Return Value
The number of coupons until maturity.
If there is a first long coupon (expressed by ISSUE and IC:L1 or IC:L1R), the null-value coupon
is ignored.
Similarly, in ex-dividend situations (the purchaser of the bond is not entitled to receive the next coupon
during a period defined by XD) and situations where there is a coupon date offset (the purchaser of
the bond is entitled to receive the previous coupon during a period defined by CDO) these arguments
are ignored for this function.
2.2.27. CpnPrev
CpnPrev(CalcDate As Variant, Maturity As Variant, BondStructure As String) As
Long
Calculates the date of the previous coupon using a bond structure.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
BondStructure : Extended argument defining the bond structure
Return Value
The previous coupon date of the bond.
If there is no previous coupon, this function returns the issue date of the bond.
2.2.28. IlbCalcCpn
IlbCalcCpn(CalcDate As Variant, Maturity As Variant, Coupon As Double,
InflationRateArray As Variant, IlbStructure As String, IlbMode As String) As
Variant
Returns all coupon features of an index-linked bond in an array.
44

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate expressed as a number or a percentage
InflationRateArray : Array of anticipated inflation rates
IlbStructure : Extended argument defining the index-linked bond structure
IlbMode : Extended argument customizing the return value
Return Value
The return value depends on the value of IlbMode. The default value is a vertical 7-cell array
containing:
PrevCpnDate : Previous coupon date
NextCpnDate : Next coupon date
ExDivDate : Ex-dividend date
AccruedDays : Number of accrued days calculated according to the accrued basis
AccruedInt : Accrued interest
NextCpnValue : Next coupon value
IndexRatio : Index ratio
Notes
The InflationRateArray argument simulates three kinds of index scenarios:
A single value defines a constant inflation rate during the remaining life of the bond.
A one-dimensional array of inflation rates defines the values of the subsequent inflation rates (if
there are more coupons than rates in the aray, the last rate will be applied to all remaining
coupons).
A two-dimensional array of dates and inflation rates is used to calculate the inflation rate curve.
Linear interpolation is applied to this result to calculate the inflation rates.
All the rates available in the index history style database are used, including future rates. In other
words, it is also possible to simulate an index scenario by adding projected index values to the
database.
2.2.29. IlbCashFlows
IlbCashFlows(CalcDate As Variant, Maturity As Variant, Coupon As Double,
InflationRateArray As Variant, IlbStructure As String, IlbMode As String) As
Variant
Generates an array with the remaining cash flows of an index-linked bond.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate expressed as a number or a percentage
InflationRateArray : Array of anticipated inflation rates
IlbStructure : Extended argument defining the index-linked bond structure
IlbMode : Extended argument customizing the return value
45

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The return value depends on the value of IlbMode. The default value is a vertical 2-column array
containing all remaining cash flows dates and values (interest + principal).
If the RET keyword is not specified in IlbMode, the maximum number of cash flows returned by the
function is limited to 24. To return, for example, 30 cash flows for a long term bond, use "RET:A30".
Note
The InflationRateArray argument simulates three kinds of index scenarios:
A single value defines a constant inflation rate during the remaining life of the bond.
A one-dimensional array of inflation rates defines the values of the subsequent inflation rates (if
there are more coupons than rates in the aray, the last rate will be applied to all remaining
coupons).
A two-dimensional array of dates and inflation rates is used to calculate the inflation rate curve.
Linear interpolation is applied to this result to calculate the inflation rates.
All the rates available in the index history style database are used, including future rates. In other
words, it is also possible to simulate an index scenario by adding projected index values to the
database.
2.2.30. IlbPx
IlbPx(CalcDate As Variant, Maturity As Variant, Coupon As Double, Yield As
Double, InflationRateArray As Variant, IlbStructure As String, IlbMode As
String) As Double
Calculates the price on an index-linked bond.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate expressed as a number or a percentage
Yield : Yield to maturity
InflationRateArray : Array of anticipated inflation rates
IlbStructure : Extended argument defining the index-linked bond structure
IlbMode : Extended argument customizing the return value
Return Value
The price of the bond expressed as a percentage of the nominal.
Note
The InflationRateArray argument simulates three kinds of index scenarios:
A single value defines a constant inflation rate during the remaining life of the bond.
A one-dimensional array of inflation rates defines the values of the subsequent inflation rates (if
there are more coupons than rates in the aray, the last rate will be applied to all remaining
coupons).
A two-dimensional array of dates and inflation rates is used to calculate the inflation rate curve.
Linear interpolation is applied to this result to calculate the inflation rates.
46

AdfinX Analytics 1.0 Function Library – User Guide
All the rates available in the index history style database are used, including future rates. In other
words, it is also possible to simulate an index scenario by adding projected index values to the
database.
2.2.31. IlbYld
IlbYld(CalcDate As Variant, Maturity As Variant, Coupon As Double, Price As
Double, InflationRateArray As Variant, IlbStructure As String, IlbMode As
String) As Double
Calculates the yield of an index-linked bond.
Arguments
CalcDate : Calculation date
Maturity : Maturity date of the bond
Coupon : Nominal coupon rate expressed as a number or a percentage
Price : Clean or gross price expressed as a percentage of the nominal
InflationRateArray : Array of anticipated inflation rates
IlbStructure : Extended argument defining the index-linked bond structure
IlbMode : Extended argument customizing the return value
Return Value
The yield to maturity of the bond.
Note
The InflationRateArray argument simulates three kinds of index scenarios:
A single value defines a constant inflation rate during the remaining life of the bond.
A one-dimensional array of inflation rates defines the values of the subsequent inflation rates (if
there are more coupons than rates in the aray, the last rate will be applied to all remaining
coupons).
A two-dimensional array of dates and inflation rates is used to calculate the inflation rate curve.
Linear interpolation is applied to this result to calculate the inflation rates.
All the rates available in the index history style database are used, including future rates. In other
words, it is also possible to simulate an index scenario by adding projected index values to the
database.
47

AdfinX Analytics 1.0 Function Library – User Guide
3. ADFINX ADXCONVBONDMODULE CONTROL
3.1. ADXCONVBONDMODULE PROPERTIES
3.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxConvBondModule control retrieves the last error code
generated by the object.
Arguments
This property takes no argument.
Example
Dim cd as AdxConvBondModule : Declares an object of type AdxConvBondModule
Set cd = New AdxConvBondModule : Creates an AdxConvBondModule object
If cd.ErrorCode 0 Then : cd.ErrorCode contains the error
MsgBox(cd.ErrorCode) : Displays the error code in a message box
End If
3.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxConvBondModule component sets the error mode. Three
modes are defined:
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim cd as AdxConvBondModule : Declares an object of type
AdxConvBondModule
Set cd = New AdxConvBondModule : Creates an AdxConvBondModule object
cd.ErrorMode = NO_EXCEPTION : cd.ErrorMode is set to NO_EXCEPTION
48

AdfinX Analytics 1.0 Function Library – User Guide
3.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxConvBondModule retrieves the last error code generated
by the object with the associated error string.
Arguments
This property takes no argument.
Example
Dim cd as AdxConvBondModule : Declares an object of type AdxConvBondModule
Set cd = New AdxConvBondModule : Creates an AdxConvBondModule object
cd.ErrorMode = EXCEPTION : cd.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an
error occurs
RES = cd.AdConvCalcCpn("24-APR-01", "25-FEB-01", "0.08",
"CONVSRATIO:05OCT00:01JAN04:1.12", "LAY:V")
: The keyword CONVSRATIO does not exist. The function
AdConvCalcCpn returns an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(cd.ErrorString) : Displays the ErrorString in a message box
cd.ErrorString contains the ErrorString (‘Error#7008 –
SetStructure with an unrecognized keyword.’)
3.2. ADXCONVBONDMODULE METHODS
3.2.1. AdConvBdDeriv
=AdConvBdDeriv (SettlementDate As Variant, Maturity As Variant, Coupon As
Double, RateArray As Variant, Spread As Double, ConvStructure As String,
RateStructure As String, CalcStructure As String, AdMode As String) As
Variant
Returns all derivatives of the underlying bond in an array from the price of the convertible, using a
conversion structure.
Arguments
SettlementDate : Settlement date
Maturity : Maturity date of the convertible bond
Coupon : Coupon rate, expressed as a percentage
RateArray : Argument defining the interest rate model in the bond currency:
• single-factor models: single interest rate or zero-coupon array
• two-factor model: a [dates/rates/rate volatilities/mean reversions]
array
Spread : Credit spread of the issuer expressed in basis points
49

AdfinX Analytics 1.0 Function Library – User Guide
ConvStructure : Extended argument defining the conversion structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-cell array
containing:
Price : Price
Volatility : Volatility
PVBP : Price variation per basis point
Duration : Duration
Convexity : Convexity
3.2.2. AdConvCalcCpn
=AdConvCalcCpn (SettlementDate As Variant, Maturity As Variant, Coupon As
Double, ConvStructure As String, AdMode As String) As Variant
Returns all coupon features of a convertible bond in an array using a conversion structure.
Arguments
SettlementDate : Settlement date
Maturity : Maturity date of the convertible bond
Coupon : Coupon rate, expressed as a percentage
ConvStructure : Extended argument defining the conversion structure
AdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 6-cell array
containing:
PrevCpnDate : Previous coupon date
NextCpnDate : Next coupon date
ExDivDate : Ex-dividend date
AccruedDays : Number of accrued days calculated according to the accrued basis
AccruedInt : Accrued interest
NextCpnValue : Next coupon value
3.2.3. AdConvCashFlows
=AdConvCashFlows (SettlementDate As Variant, Maturity As Variant, Coupon As
Double, ConvStructure As String, AdMode As String) As Variant
Generates an array with the remaining cash flows of a convertible bond.
Arguments
SettlementDate : Settlement date
Maturity : Maturity date of the convertible bond
50

AdfinX Analytics 1.0 Function Library – User Guide
Coupon : Coupon rate, expressed as a percentage
ConvStructure : Extended argument defining the conversion structure
AdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 2-column array
containing all remaining cash flow dates and values (interest + principal).
3.2.4. AdConvImpliedVol
=AdConvImpliedVol (SettlementDate As Variant, Maturity As Variant, Price As
Double, Coupon As Double, RateArray As Variant, EquityPrice As Double,
EquityDivArray As Variant, SpotFX As Double, Spread As Double,
ConvStructure As String, RateStructure As String, CalcStructure As String)
As Double
Calculates the volatility implied by the price of a convertible bond.
Arguments
SettlementDate : Settlement date
Maturity : Maturity date of the convertible bond
Price : Clean or gross price of the convertible bond expressed in the current currency.
Coupon : Coupon rate, expressed as a percentage
RateArray : Argument defining the interest rate model in the bond currency:
• single-factor models: single interest rate or zero-coupon array
• two-factor model: a [dates/rates/rate volatilities/mean reversions]
array
EquityPrice : Spot price of the underlying instrument
EquityDivArray : Annual dividend rate or array of dividend dates and dividend amounts
SpotFX : Spot rate ofor the cross currency
Spread : Credit spread of the issuer expressed in basis points
ConvStructure : Extended argument defining the conversion structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
Implied Volatility of the convertible bond.
3.2.5. AdConvOpDeriv
=AdConvOpDeriv (SettlementDate As Variant, Maturity As Variant, Coupon As
Double, RateArray As Variant, EquityPrice As Double, EquityVolatility As
Double, EquityDivArray As Variant, SpotFX As Double, Spread As Double,
ConvStucture, RateStructure, CalcStructure, AdMode) As Variant
Returns an array of all derivatives (Delta, Gamma, Rho, Theta, Vega) of the optional part of the bond.
Arguments
SettlementDate : Settlement date
Maturity : Maturity date of the convertible bond
51

AdfinX Analytics 1.0 Function Library – User Guide
Coupon : Coupon rate, expressed as a percentage
RateArray : Argument defining the interest rate model in the bond currency:
• single-factor models: single interest rate or zero-coupon array
• two-factor model: a [dates/rates/rate volatilities/mean reversions]
array
EquityPrice : Spot price of the underlying instrument
EquityVolatility : Volatility of the underlying instrument
EquityDivArray : Annual dividend rate or array of dividend dates and dividend amounts
SpotFX : Spot rate for the cross currency
Spread : Credit spread of the issuer expressed in basis points
ConvStructure : Extended argument defining the conversion structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The greeks Delta, Gamma, Rho, Theta, and Vega.
3.2.6. AdConvPrice
=AdConvPrice (SettlementDate As Variant, Maturity As Variant, Coupon As
Double, RateArray As Variant, EquityPrice As Double, EquityVolatility As
Double, EquityDivArray As Variant, SpotFX As Double, Spread As Double,
ConvStructure As String, RateStructure As String, CalcStructure As String,
AdMode As String) As Variant
Calculates the price of a convertible bond using a conversion structure.
Arguments
SettlementDate : Settlement date
Maturity : Maturity date of the convertible bond
Coupon : Coupon rate, expressed as a percentage
RateArray : Argument defining the interest rate model in the bond currency:
• single-factor models: single interest rate or zero-coupon array
• two-factor model: a [dates/rates/rate volatilities/mean reversions]
array
EquityPrice : Spot price of the underlying instrument
EquityVolatility : Volatility of the underlying instrument
EquityDivArray : Annual dividend rate or array of dividend dates and dividend amounts
SpotFX : Spot rate for the cross currency
Spread : Credit spread of the issuer expressed in basis points
ConvStructure : Extended argument defining the conversion structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Values
Theoretical price: the convertible bond price calculated by the model
Equity Premium
Option Premium
Total Premium (Equity Premium + Option Premium)
Break-even period
Straight value
52

AdfinX Analytics 1.0 Function Library – User Guide
3.2.7. AdConvRatios
=AdConvRatios (SettlementDate As Variant, Maturity As Variant, Price As
Double, EquityPrice As Double, SpotFX As Double, ConvStructure As String,
AdMode As String) As Variant
Calculates the main characteristics of a convertible bond using a conversion structure.
Arguments
SettlementDate : Settlement date
Maturity : Maturity date of the convertible bond
Price : Clean or gross price of the convertible bond expressed as a percentage of
the nominal
EquityPrice : Spot price of the underlying instrument
SpotFX : Spot rate for the cross currency
ConvStructure : Extended argument defining the conversion structure
AdMode : Extended argument customizing the return value
Return Value
Conversion value
Market conversion premium
Conversion price
Parity
3.2.8. AdConvYield
=AdConvYield (SettlementDate As Variant, Price As Double, Maturity As
Variant, Coupon As Double, ConvStructure As String, RateStructure As String)
As Double
Calculates the yield of the underlying bond from the price of the convertible, using a conversion
structure.
Arguments
SettlementDate : Settlement date
Price : Clean or gross price of the convertible bond in current currency
Maturity : Maturity date of the convertible bond
Coupon : Coupon rate expressed as a percentage
ConvStructure : Extended argument defining the conversion structure
RateStructure : Extended argument defining the structure of the interest rate model
Return Value
The yield of the underlying bond.
53

AdfinX Analytics 1.0 Function Library – User Guide
4. ADFINX ADXCREDITMODULE CONTROL
4.1. ADXCREDITMODULE PROPERTIES
4.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxCreditModule control retrieves the last error code generated
by the object.
Arguments
This property takes no argument.
Example
Dim ct as AdxCreditModule : Declares an object of type AdxCreditModule
Set ct = New AdxCreditModule : Creates an AdxCreditModule object
If ct.ErrorCode 0 Then : ct.ErrorCode contains the error
MsgBox (ct.ErrorCode) : Displays the error code in a message box
End If
4.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxCreditModule component sets the error mode. Three modes
are defined:
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim ct as AdxCreditModule : Declares an object of type AdxCreditModule
Set ct = New AdxCreditModule : Creates an AdxCreditModule object
ct.ErrorMode = NO_EXCEPTION : ct.ErrorMode is set to NO_EXCEPTION
4.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxCreditModule retrieves the last error code generated by
the object with the associated error string.
54

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
This property takes no argument.
Example
Dim ct as AdxCreditModule : Declares an object of type AdxCreditModule
Set ct = New AdxCreditModule : Creates an AdxCreditModule object
ct.ErrorMode = EXCEPTION : ct.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an error
occurs
Res = ct.AdCdsNpv("19SEP02", "15SEP02", "5Y", 200, 0.3, [ratea].Value,
[credita].Value, "RATETYPE:CMP CDSTYPE:AMERCDS CLDR:EMU_FI LFLOAT AOD:YES
LFIXED FRQ:4 CCM:MMA0", "RISKMODEL:CURVE RECOVERY:0.3 NBDAYS:5 ND:DIS",
"RM:YC ZCTYPE:DF IMCUBD")
: The RateStructure is incorrect. The function
AdCdsNpv returns an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(ct.ErrorString) : Displays the ErrorString in a message box
ct.ErrorString contains the ErrorString (‘Error#7601 –
RateStructure: invalid keyword.’)
4.2. ADXCREDITMODULE METHODS
4.2.1. AdCdsNpv
AdCdsNpv(SettlementDate As Variant, StartDate As Variant, Maturity As
Variant, Spread As Double, RateArray As Variant, CreditArray As Variant,
CdsStructure As String, CreditStructure As String, RateStructure As String)
As Double
Depending on the model specified by the RISKMODEL keyword, the function calculates the net present
value of a credit default swap, using:
the Cox, Ingersoll, and Ross model
a credit event probability curve
Arguments
SettlementDate : Settlement date
StartDate : Start date of the credit default swap
Maturity : Maturity of the credit default swap, expressed as a date or code
Spread : Spread of the credit default swap, expressed as basis points
RateArray : Interest rate model
CreditArray : Credit model
CdsStructure : Extended argument defining the structure of the credit default swap
CreditStructure : Extended argument defining the credit model
RateStructure : Extended argument defining the interest rate model
55

AdfinX Analytics 1.0 Function Library – User Guide
Return value
The return value is the net present value of the credit default swap.
Notes
You can specify CDSTYPE:AMERCDS or CDSTYPE:EURCDS in CdsStructure, to calculate the net
present value of an American or European credit default swap.
CreditArray defines the credit model, using either the Cox, Ingersoll, and Ross model or a credit
event probability curve:
If you specify in CreditStructure
RISKMODEL:CIR
RISKMODEL:CURVE
Then CreditArray is
a 1-dimension array containing (Initial default intensity,
Long-term default intensity, Convergence speed)
a 2-dimension array containing (Maturity, Credit event
probability)
4.2.2. AdCdsSpread
AdCdsSpread(SettlementDate As Variant, StartDate As Variant, Maturity As
Variant, Npv As Double, RateArray As Variant, CreditArray As Variant,
CdsStructure As String, CreditStructure As String, RateStructure As String)
As Double
Depending on the model specified by the RISKMODEL keyword, the function calculates the spread of a
credit default swap from the net present value, using:
the Cox, Ingersoll, and Ross model
a credit event probability curve
Arguments
SettlementDate : Settlement date
StartDate : Start date of the credit default swap
Maturity : Maturity of the credit default swap, expressed as a date or code
Npv : Net present value of the credit default swap
RateArray : Interest rate model
CreditArray : Credit model
CdsStructure : Extended argument defining the structure of the credit default swap
CreditStructure : Extended argument defining the credit model
RateStructure : Extended argument defining the interest rate model
Return Value
The spread of the credit default swap, expressed as basis points.
Notes
You can specify CDSTYPE:AMERCDS or CDSTYPE:EURCDS in CdsStructure, to calculate the
spread of an American or European credit default swap.
CreditArray defines the credit model, using either the Cox, Ingersoll, and Ross model or a credit
event probability curve:
If you specify in CreditStructure
RISKMODEL:CIR
Then CreditArray is
a 1-dimension array containing (Initial default intensity,
Long-term default intensity, Convergence speed)
56

AdfinX Analytics 1.0 Function Library – User Guide
RISKMODEL:CURVE
a 2-dimension array containing (Maturity, Credit event
probability)
4.2.3. AdFxCdsNpv
AdFxCdsNpv(SettlementDate As Variant, StartDate As Variant, Maturity As
Variant, Spread As Double, PaidRate As Double, ReceivedRate As Double,
FxArray As Variant, CreditArray As Variant, CdsStructure As String,
CreditStructure As String, RateStructure As String) As Double
Depending on the model specified by the RISKMODEL keyword, the function calculates the net present
value of a Quanto credit default swap, using:
the Cox, Ingersoll, and Ross model
a credit event probability curve
Arguments
SettlementDate : Settlement date
StartDate : Start date of the credit default swap
Maturity : Maturity of the credit default swap, expressed as a date or code
Spread : Spread of the credit default swap, expressed as basis points
PaidRate : Interest rate model of the paid leg
ReceivedRate : Interest rate model of the received leg
FxArray : Array of dates and swap points
CreditArray : Credit model
CdsStructure : Extended argument defining the structure of the credit default swap
CreditStructure : Extended argument defining the credit model
RateStructure : Extended argument defining the interest rate model
Return value
The return value is the net present value of the Quanto credit default swap.
Notes
You can specify CDSTYPE:AMERCDS or CDSTYPE:EURCDS in CdsStructure, to calculate the net
present value of an American or European Quanto credit default swap.
FxArray is a 2-column array of N+1 swap points and dates, where N is the number of periods.
CreditArray defines the credit model, using either the Cox, Ingersoll, and Ross model or a credit
event probability curve:
If you specify in CreditStructure
RISKMODEL:CIR
RISKMODEL:CURVE
Then CreditArray is
a 1-dimension array containing (Initial default intensity,
Long-term default intensity, Convergence speed)
a 2-dimension array containing (Maturity, Credit event
probability)
4.2.4. AdFxCdsSpread
AdFxCdsSpread(SettlementDate As Variant, StartDate As Variant, Maturity As
Variant, Npv As Double, PaidRate As Double, ReceivedRate As Double, FxArray
As Variant, CreditArray As Variant, CdsStructure As String, CreditStructure
As String, RateStructure As String) As Double
57

AdfinX Analytics 1.0 Function Library – User Guide
Depending on the model specified by the RISKMODEL keyword, the function calculates the spread of a
Quanto credit default swap from the net present value, using:
the Cox, Ingersoll, and Ross model
a credit event probability curve
Arguments
SettlementDate : Settlement date
StartDate : Start date of the credit default swap
Maturity : Maturity of the credit default swap, expressed as a date or code
Npv : Net present value of the credit default swap
PaidRate : Interest rate model of the paid leg
ReceivedRate : Interest rate model of the received leg
FxArray : Array of dates and swap points
CreditArray : Credit model
CdsStructure : Extended argument defining the structure of the credit default swap
CreditStructure : Extended argument defining the credit model
RateStructure : Extended argument defining the interest rate model
Return Value
The spread of the Quanto credit default swap, expressed as basis points.
Notes
You can specify CDSTYPE:AMERCDS or CDSTYPE:EURCDS in CdsStructure, to calculate the
spread of an American or European Quanto credit default swap.
FxArray is a 2-column array of N+1 swap points and dates, where N is the number of periods.
CreditArray defines the credit model, using either the Cox, Ingersoll, and Ross model or a credit
event probability curve:
If you specify in CreditStructure
RISKMODEL:CIR
RISKMODEL:CURVE
Then CreditArray is
a 1-dimension array containing (Initial default intensity,
Long-term default intensity, Convergence speed)
a 2-dimension array containing (Maturity, Credit event
probability)
4.2.5. AdCreditStructure
AdCreditStructure(RateArray As Variant, InstrumentArray As Double,
CreditStructure As String, RateStructure As String, AdMode As String) As
Variant
Depending on the model specified by the RISKMODEL keyword, the function calibrates the Cox,
Ingersoll, and Ross model or the credit event probability curve, either from an array of credit default
swaps, or from a credit zero-coupon curve.
Arguments
RateArray : Interest rate model
InstrumentArray : Array of instruments
CreditStructure : Extended argument defining the credit model
RateStructure : Extended argument defining the interest rate model
AdMode : Extended argument customizing the return value
58

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The return value depends on the credit model you want to calibrate and the AdMode structure.
Cox, Ingersoll, and Ross model:
The return value is an array containing the:
• initial default intensity
• long-term default intensity
• convergence speed of the default intensity
Probability curve:
The return value depends on AdMode. The default value is a 2-column array containing:
the maturity of each credit default swap
the probability for each swap to default before maturity
The array represents the credit event probability curve.
Notes
You must specify either RISKMODEL:CIR keyword in CreditStructure to calibrate the Cox,
Ingersoll, and Ross model, or RISKMODEL:CURVE to calibrate the probability curve.
RateArray is not taken into account if you calibrate the Cox, Ingersoll, and Ross model using the
approximated formula from an array of instruments.
InstrumentArray specifies either the set of instruments or the credit zero-coupon curve used to
calibrate the credit model:
If you specify in CreditStructure
INSTTYPE:CDS
INSTTYPE:DF
Then InstrumentArray must contain
the columns (Cds Start Date, Maturity, Spread,
CdsStructure)
the columns (Maturity, Rate)
Adfin Analytics does not limit the size of InstrumentArray.
4.2.6. AdCreditZcCurve
AdCreditZcCurve(SettlementDate As Variant, RateArray As Variant, CreditArray
As Variant, CreditStructure As String, RateStructure As String, AdMode As
String) As Variant
Depending on the model specified by the RISKMODEL keyword, the function builds a credit zerocoupon
curve, using:
the Cox, Ingersoll, and Ross model
the credit event probability curve
Arguments
SettlementDate : Settlement date
RateArray : Interest rate model
CreditArray : Credit model
CreditStructure : Extended argument defining the credit model
RateStructure : Extended argument defining the interest rate model
59

AdfinX Analytics 1.0 Function Library – User Guide
AdMode : Extended argument customizing the return value
Return Value
The return value is a 2-column array containing the credit discount factor at each date of RateArray.
The return value depends on the AdMode structure.
Notes
CreditArray specifies the credit model:
If you specify in CreditStructure
RISKMODEL:CIR
RISKMODEL:CURVE
Then CreditArray is
a 1-dimension array containing (Initial default intensity,
Long-term default intensity, Convergence speed)
a 2-dimension array containing (Maturity, Credit event
probability)
You must specify either RISKMODEL:CIR keyword in CreditStructure to use the Cox,
Ingersoll, and Ross model, or RISKMODEL:CURVE to use the credit event probability curve.
You must specify RM:YC ZCTYPE:DF in RateStructure to use AdCreditZcCurve.
4.2.7. AdDefaultProba
AdDefaultProba(SettlementDate As Variant, DateArray As Variant, CreditArray
As Variant, CreditStructure As String, AdMode As String) As Variant
Depending on the model specified by the RISKMODEL keyword, the function calculates the
probabilities of default for an array of dates, using the Cox, Ingersoll, and Ross model or a curve credit
model.
Arguments
SettlementDate : Settlement date
DateArray : Array of dates
CreditArray : Credit model
CreditStructure : Extended argument defining the credit model
AdMode : Extended argument customizing the return value
Return Value
The return value depends on AdMode. The return value is a 2-column array containing for each date in
DateArray the credit event probability computed either with the Cox, Ingersoll, and Ross parameters
or by interpolation of the credit event probability curve.
Notes
DateArray is generally the maturities of the credit default swaps.
CreditArray defines the credit model, using either the Cox, Ingersoll, and Ross model or a credit
event probability curve:
If you specify in CreditStructure
RISKMODEL:CIR
RISKMODEL:CURVE
Then CreditArray is
a 1-dimension array containing (Initial default intensity,
Long-term default intensity, Convergence speed)
a 2-dimension array containing (Maturity, Credit event
probability)
60

AdfinX Analytics 1.0 Function Library – User Guide
4.2.8. AdJLTCreditStructure
AdJLTCreditStructure(RateArray As Variant, RiskyZcArray As Variant,
TransitionArray As Variant, CreditStructure As String, RateStructure As
String, AdMode As String) As Variant
Calibrates a credit event probability curve from a rating transition matrix, using the Jarrow, Lando, and
Turnbull model.
Arguments
RateArray : Array of risk-free zero-coupon prices
RiskyZcArray : Array of credit zero-coupon curves
TransitionArray : Ratings transition matrix
CreditStructure : Extended argument defining the credit model
RateStructure : Extended argument defining the interest rate model
AdMode : Extended argument customizing the return value
Return Value
The return value is a 2-column array, containing the credit event probabilities for the maturities defined
in RiskyZcArray.
Notes
RiskyZcArray must specify as many credit zero-coupon curves as the transition matrix specifies
credit ratings, the default state excepted. It is represented by an array containing the zero-coupon
dates and rates of each curve.
TransitionArray defines a square transition matrix, which describes the ratings for instruments
maturing in one year. The last line and column represent the default state.
You must specify RISKMODEL:CURVE keyword in CreditStructure.
You must specify RATING:i and CREDITEVENT:j in CreditStructure to indicate the issuing
firm rating i and the credit event rating j.
61

AdfinX Analytics 1.0 Function Library – User Guide
5. ADFINX ADXEXOTICMODULE CONTROL
5.1. ADXEXOTICMODULE PROPERTIES
5.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxExoticModule control retrieves the last error code generated
by the object.
Arguments
This property takes no argument.
Example
Dim ex as AdxExoticModule : Declares an object of type AdxExoticModule
Set ex = New AdxExoticModule : Creates an AdxExoticModule object
If ex.ErrorCode 0 Then : ex.ErrorCode contains the error
MsgBox (ex.ErrorCode) : Displays the error code in a message box
End If
5.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxExoticModule component sets the error mode. Three modes
are defined:
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim ex as AdxExoticModule : Declares an object of type AdxExoticModule
Set ex = New AdxExoticModule : Creates an AdxExoticModule object
ex.ErrorMode = NO_EXCEPTION : ex.ErrorMode is set to NO_EXCEPTION
62

AdfinX Analytics 1.0 Function Library – User Guide
5.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxExoticModule retrieves the last error code generated by
the object with the associated error string.
Arguments
This property takes no argument.
Example
Dim ex as AdxExoticModule : Declares an object of type AdxExoticModule
Set ex = New AdxExoticModule : Creates an AdxExoticModule object
ex.ErrorMode = EXCEPTION : ex.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an error
occurs
Res = ex.OpBasketPremium("1-MAR-04", "31Aug04", [pricea].Value, "70",
[corra].Value, "0.064", [returnar].Value, _[weighta].Value, "EXM:EURO",
"RM:YTM", "CMTFORM")
: The CalcStructure is incorrect. The function
OpBasketPremium returns an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(ex.ErrorString) : Displays the ErrorString in a message box.
ex.ErrorString contains the ErrorString (‘Error#7601 –
CalcStructure: invalid keyword.’)
5.2. ADXEXOTICMODULE METHODS
5.2.1. OpAsianDeriv
OpAsianDeriv(CalcDate As Variant, FirstFixingDate As Variant, ExpiryDate As
Variant, SpotPrice As Double, StrikePrice As Double, AveragePrice As Double,
NbFixing As Long, Volatility As Double, RiskFreeRateArray As Variant,
ReturnArray As Variant, ExoticStructure As String, RateStructure As String,
CalcStructure As String, AdMode As String) As Variant
Returns all derivatives (delta, gamma, rho, theta, and vega) of an Asian option in an array. At maturity,
this type of option pays either the difference between the average of the underlying prices and the
strike price, or the difference between the underlying price at maturity and the average of the
underlying prices.
Arguments
CalcDate : Calculation date
FirstFixingDate : Date of the first fixing for the average calculation
ExpiryDate : Expiry date of the option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option, ignored for average strike options
63

AdfinX Analytics 1.0 Function Library – User Guide
AveragePrice : Average of the underlying prices from the first fixing date to the
calculation date
NbFixing : Number of fixings used to calculate the average
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The function assumes that the fixings are performed at regular dates between FirstFixingDate
and ExpiryDate. If the average calculation period has not started yet, the argument
AveragePrice is ignored.
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Asian type using the ASIAN keyword.
You can define the type of average using the AVE keyword in ExoticStructure.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
5.2.2. OpAsianImpliedVol
OpAsianImpliedVol(CalcDate As Variant, FirstFixingDate As Variant, ExpiryDate As
Variant, SpotPrice As Double, StrikePrice As Double, AveragePrice As Double,
NbFixing As Long, Premium As Double, RiskFreeRateArray As Variant, ReturnArray
As Variant, ExoticStructure As String, RateStructure As String,
CalcStructure As String) As Double
Calculates the implied volatility of an Asian option. At maturity, this type of option pays either the
difference between the average of the underlying prices and the strike price, or the difference between
the underlying price at maturity and the average of the underlying prices.
Arguments
CalcDate : Calculation date
FirstFixingDate : Date of the first fixing for the average calculation
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option, ignored for average strike options
AveragePrice : Average of the underlying prices from the first fixing date to the
calculation date
64

AdfinX Analytics 1.0 Function Library – User Guide
NbFixing : Number of fixings used to calculate the average
Premium : Premium of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
The function assumes that the fixings are performed at regular dates between FirstFixingDate
and ExpiryDate. If the average calculation period has not started yet, the argument
AveragePrice is ignored.
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Asian type using the ASIAN keyword.
You can define the type of average using the AVE keyword in ExoticStructure.
5.2.3. OpAsianPremium
OpAsianPremium(CalcDate As Variant, FirstFixingDate As Variant, ExpiryDate As
Variant, SpotPrice As Double, StrikePrice As Double, AveragePrice As Double,
NbFixing As Long, Volatility As Double, RiskFreeRateArray As Variant,
ReturnArray As Variant, ExoticStructure As String, RatesStructure As String,
CalcStructure As String) As Double
Calculates the premium of an Asian option. At maturity, this type of option pays either the difference
between the average of the underlying prices and the strike price, or the difference between the
underlying price at maturity and the average of the underlying prices.
Arguments
CalcDate : Calculation date
FirstFixingDate : Date of the first fixing for the calculation of the averages
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option, ignored for average strike options
AveragePrice : Average of the underlying prices from the first fixing date to the
calculation date
NbFixing : Number of fixings used to calculate the average
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
65

AdfinX Analytics 1.0 Function Library – User Guide
Notes
The function assumes that the fixings are performed at regular dates between FirstFixingDate
and ExpiryDate. If the average calculation period has not started yet, the argument
AveragePrice is ignored.
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Asian type using the ASIAN keyword.
You can define the type of average using the AVE keyword in ExoticStructure.
5.2.4. OpBarrierDeriv
OpBarrierDeriv(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As Double,
StrikePrice As Double, BarrierPrice As Double, Volatility As Double,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String, AdMode As String)
As Variant
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Barrier option in an array. At maturity,
this type of option pays either the difference between the strike price and the underlying price if
activated, or an agreed rebate if the option is knocked out or if it fails to knock-in.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
BarrierPrice : Price of the barrier of the option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Barrier type using the KI, KO or WIN keywords.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
66

AdfinX Analytics 1.0 Function Library – User Guide
keyword.
5.2.5. OpBarrierImpliedVol
OpBarrierImpliedVol(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, BarrierPrice As Double, Premium As Double,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String) As Double
Calculates the implied volatility of a Barrier option. At maturity, this option pays either the difference
between the strike price and the underlying price if activated, or an agreed rebate if the option is
knocked out or if it fails to knock-in.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
BarrierPrice : Price of the barrier of the option
Premium : Premium of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Barrier type using the KI, KO or WIN keywords.
5.2.6. OpBarrierPremium
OpBarrierPremium(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, BarrierPrice As Double, Volatility As Double,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String) As Double
Calculates the premium of a Barrier option. At maturity, this type of option pays either the difference
between the strike price and the underlying price if activated, or an agreed rebate if the option is
knocked out or if it fails to knock-in.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
67

AdfinX Analytics 1.0 Function Library – User Guide
BarrierPrice : Price of the barrier of the option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Barrier type using the KI, KO or WIN keywords.
5.2.7. OpBasketDeriv
OpBasketDeriv(CalcDate As Variant, ExpiryDate As Variant, SpotPriceArray As
Variant, StrikePrice As Double, CorrelationArray As Variant,
RiskFreeRateArray As Variant, ReturnArray As Variant, NbSharesArray As
Variant, ExoticStucture As String, RateStructure As String, CalcStructure
As String, AdMode As String) As Variant
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Basket option in an array. Basket
options, also called portfolio options, are a variation of Rainbow options. Their payoff is the weighted
average of the prices within the basket of underlying assets.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
SpotPriceArray : Array containing the spot prices of the underlying instruments
StrikePrice : Strike price of the option
CorrelationArray : Array containing the volatilities of the assets on the diagonal and the
correlation coefficients
RiskFreeRateArray
: Array of data depending on the rate model chosen:
• constant risk free rate
• zero-coupon curve
ReturnArray : Array containing the annualized dividend rates of the underlying
instruments
NbSharesArray : To specify the number of shares for each asset
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 9-cell array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
68

AdfinX Analytics 1.0 Function Library – User Guide
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Delta:i : Delta ratio of the i th asset of the Basket option
Gamma:i : Gamma ratio of the i th asset of the Basket option
Gamma:i:j : Cross Gamma ratio of the i th and j th assets of the Basket option
Vega:i : Vega of the i th asset of the Basket option
Note
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
5.2.8. OpBasketPremium
OpBasketPremium(CalcDate As Variant, ExpiryDate As Variant, SpotPriceArray
As Variant, StrikePrice As Double, CorrelationArray As Variant,
RiskFreeRateArray As Variant, ReturnArray As Variant, NbSharesArray As
Variant, ExoticStucture As String, RateStructure As String, CalcStructure
As String) As Double
Calculates the premium of a Basket option. Basket options, also called portfolio options, are a variation
of Rainbow options. Their payoff is the weighted average of the prices within the basket of underlying
assets.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
SpotPriceArray : Array containing the spot prices of the underlying instruments
StrikePrice : Strike price of the option
CorrelationArray : Array containing the volatilities of the assets on the diagonal and the
correlation coefficients
RiskFreeRateArray : Array of data depending on the rate model chosen:
• constant risk free rate
• zero-coupon curve
ReturnArray : Array containing the annualized dividend rates of the underlying
instruments
NbSharesArray : Specifies the number of shares for each asset
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Note
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
5.2.9. OpBinaryDeriv
OpBinaryDeriv(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As Double,
BarrierPrice As Double, StrikePrice As Double, CashAmount As Double,
69

AdfinX Analytics 1.0 Function Library – User Guide
Volatility As Double, RiskFreeRateArray As Variant, ReturnArray As Variant,
ExoticStructure As String, RateStructure As String, CalcStructure As String,
AdMode As String) As Variant
Returns all derivatives (delta, gamma, rho, theta, and vega) of an All-or-Nothing Binary option or One-
Touch/No-Touch Binary option in an array. At maturity or when the barrier is reached, this type of
option pays a fixed amount of cash or the asset.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
BarrierPrice : Price of the barrier of the option
StrikePrice : Exercise or strike price of the option
CashAmount : Fixed amount of cash paid if applicable
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The argument BarrierPrice is ignored for Binary options without barriers.
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Binary type using the BINARY and/or TOUCH keywords.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
5.2.10. OpBinaryImpliedVol
OpBinaryImpliedVol(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, BarrierPrice As Double, StrikePrice As Double, CashAmount As Double,
Premium As Double, RiskFreeRateArray As Variant, ReturnArray As Variant,
ExoticStructure As String, RateStructure As String, CalcStructure As String)
As Double
Calculates the implied volatility of an All-or-Nothing Binary option or One-Touch/No-Touch Binary
option. At maturity or when the barrier is reached, this type of option pays a fixed amount of cash or
the asset.
70

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
BarrierPrice : Price of the barrier of the option
StrikePrice : Exercise or strike price of the option
CashAmount : Fixed amount of cash paid if applicable
Premium : Market or spot price of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
The argument BarrierPrice is ignored for Binary options without barriers.
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Binary type using the BINARY and/or TOUCH keywords.
5.2.11. OpBinaryPremium
OpBinaryPremium(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, BarrierPrice As Double, StrikePrice As Double, CashAmount As Double,
Volatility As Double, RiskFreeRateArray As Variant, ReturnArray As Variant,
ExoticStructure As String, RateStructure As String, CalcStructure As String)
As Double
Calculates the premium of an All-or-Nothing Binary option or One-Touch/No-Touch Binary option. At
maturity or when the barrier is reached, this type of option pays a fixed amount of cash or the asset.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
BarrierPrice : Price of the barrier of the option
StrikePrice : Exercise or strike price of the option
CashAmount : Fixed amount of cash paid if applicable
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
71

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The premium of the option.
Notes
The argument BarrierPrice is ignored for Binary options without barriers.
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Binary type using the BINARY and/or TOUCH keywords.
5.2.12. OpChooserDeriv
OpChooserDeriv(CalcDate As Variant, ExpiryDate As Variant, PutExpiryDate As
Variant, CallExpiryDate As Variant, SpotPrice As Double, PutStrikePrice As
Double, CallStrikePrice As Double, Volatility As Double, RiskFreeRateArray As
Variant, ReturnArray As Variant, ExoticStructure As String, RateStructure As
String, CalcStructure As String, AdMode As String) As Variant
Returns all derivatives (delta, gamma, rho theta, vega) of a Chooser option in an array. Chooser
options allow the holder to choose at some pre-determined future date whether the option is a call or a
put, with the same predefined strike price and expiry date.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
PutExpiryDate : Expiry date of the underlying put option
CallExpiryDate : Expiry date of the underlying call option
SpotPrice : Market or spot price of the underlying instrument
PutStrikePrice : Exercise or strike price of the underlying put option
CallStrikePrice : Exercise or strike price of the underlying call option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords.
72

AdfinX Analytics 1.0 Function Library – User Guide
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
5.2.13. OpChooserImpliedVol
OpChooserImpliedVol(CalcDate As Variant, ExpiryDate As Variant, PutExpiryDate
As Variant, CallExpiryDate As Variant, SpotPrice As Double, PutStrikePrice As
Double, CallStrikePrice As Double, Premium As Double, RiskFreeRateArray As
Variant, ReturnArray As Variant, ExoticStructure As String, RateStructure As
String, CalcStructure As String) As Double
Calculates the implied volatility of a Chooser option. Chooser options allow the holder to choose at
some pre-determined future date whether the option is a call or a put, with the same predefined strike
price and expiry date.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
PutExpiryDate : Expiry date of the underlying put option
CallExpiryDate : Expiry date of the underlying call option
SpotPrice : Market or spot price of the underlying instrument
PutStrikePrice : Exercise or strike price of the underlying put option
CallStrikePrice : Exercise or strike price of the underlying call option
Premium : Premium of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords.
5.2.14. OpChooserPremium
OpChooserPremium(CalcDate As Variant, ExpiryDate As Variant, PutExpiryDate As
Variant, CallExpiryDate As Variant, SpotPrice As Double, PutStrikePrice As
Double, CallStrikePrice As Double, Volatility As Double, RiskFreeRateArray As
Variant, ReturnArray As Variant, ExoticStructure As String, RateStructure As
String, CalcStructure As String) As Double
Calculates the premium of a Chooser option. Chooser options allow the holder to choose at some predetermined
future date whether the option is a call or a put, with the same predefined strike price and
expiry date.
73

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
PutExpiryDate : Expiry date of the underlying put option
CallExpiryDate : Expiry date of the underlying call option
SpotPrice : Market or spot price of the underlying instrument
PutStrikePrice : Exercise or strike price of the underlying put option
CallStrikePrice : Exercise or strike price of the underlying call option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords.
5.2.15. OpCliquetDeriv
OpCliquetDeriv(CalcDate As Variant, StartDateArray As Variant, ExpiryDateArray
As Variant, SpotPrice As Double, StrikePrice As Double, Volatility As Double,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String, AdMode As String)
As Variant
Returns in an array all derivatives (delta, gamma, rho, theta, vega) of a Cliquet option or a Forward-
Start option. A Cliquet or Ratchet option is essentially a series of Forward-Start options with increasing
maturities and strike prices set at the maturity date of the previous option.
Arguments
CalcDate : Calculation date
StartDateArray : Array of start dates of each Forward-Start option
ExpiryDateArray : Array of expiry dates of each Forward-Start option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
74

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
5.2.16. OpCliquetImpliedVol
OpCliquetImpliedVol(CalcDate As Variant, StartDateArray As Variant,
ExpiryDateArray As Variant, SpotPrice As Double, StrikePrice As Double,
Premium As Double, RiskFreeRateArray As Variant, ReturnArray As Variant,
ExoticStructure As String, RateStructure As String, CalcStructure As String)
As Double
Calculates the implied volatility of a Cliquet option or a Forward-Start optionA Cliquet or Ratchet option
is essentially a series of Forward-Start options with increasing maturities and strike prices set at the
maturity date of the previous option.
Arguments
CalcDate : Calculation date
StartDateArray : Array of start dates of each Forward-Start option
ExpiryDateArray : Array of expiry dates of each Forward-Start option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
Premium : Market or spot price of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords.
75

AdfinX Analytics 1.0 Function Library – User Guide
5.2.17. OpCliquetPremium
OpCliquetPremium(CalcDate As Variant, StartDateArray As Variant,
ExpiryDateArray As Variant, SpotPrice As Double, StrikePrice As Double,
Volatility As Double, RiskFreeRateArray As Variant, ReturnArray As Variant,
ExoticStructure As String, RateStructure As String, CalcStructure As String)
As Double
Calculates the premium of a Cliquet option or a Forward-Start option. A Cliquet or Ratchet option is
essentially a series of Forward-Start options with increasing maturities and strike prices set at the
maturity date of the previous option.
Arguments
CalcDate : Calculation date
StartDateArray : Array of start dates of each Forward-Start option
ExpiryDateArray : Array of expiry dates of each Forward-Start option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords.
5.2.18. OpCompoundDeriv
OpCompoundDeriv(CalcDate As Variant, ExpiryDate As Variant, CmpExpiryDate As
Variant, SpotPrice As Double, StrikePrice As Double, CmpStrikePrice As Double,
Volatility As Double, RiskFreeRateArray As Variant, ReturnArray As Variant,
ExoticStructure As String, RateStructure As String, CalcStructure As String,
AdMode As String) As Variant
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Compound option in an arrray. This
function calculates the derivatives of European Compound options also known as options on options.
An option on option gives the option holder the right to sell or buy an option.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
CmpExpiryDate : Expiry date of the Compound option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
CmpStrikePrice : Exercise or strike price of the Compound option
76

AdfinX Analytics 1.0 Function Library – User Guide
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Compound type using the UO keyword.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
5.2.19. OpCompoundImpliedVol
OpCompoundImpliedVol(CalcDate As Variant, ExpiryDate As Variant, CmpExpiryDate
As Variant, SpotPrice As Double, StrikePrice As Double, CmpStrikePrice As
Double, Premium As Double, RiskFreeRateArray As Variant, ReturnArray As
Variant, ExoticStructure As String, RateStructure As String, CalcStructure
As String) As Double
Calculates the implied volatility of a Compound option. This function calculates the implied volatility of
European Compound options also known as options on options. An option on option gives the option
holder the right to sell or buy an option.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
CmpExpiryDate : Expiry date of the Compound option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
CmpStrikePrice : Exercise or strike price of the Compound option
Premium : Premium of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
77

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The implied volatility of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Compound type using the UO keyword.
5.2.20. OpCompoundPremium
OpCompoundPremium(CalcDate As Variant, ExpiryDate As Variant, CmpdExpiryDate
As Variant, SpotPrice As Double, StrikePrice As Double, CmpStrikePrice As
Double, Volatility As Double, RiskFreeRateArray As Variant, ReturnArray As
Variant, ExoticStructure As String, RateStructure As String, CalcStructure
As String) As Double
Calculates the premium of a Compound option. This function calculates the premium of European
Compound options also known as options on options. An option on option gives the option holder the
right to sell or buy an option.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
CmpExpiryDate : Expiry date of the Compound option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
CmpStrikePrice : Exercise or strike price of the Compound option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Compound type using the UO keyword.
78

AdfinX Analytics 1.0 Function Library – User Guide
5.2.21. OpDoubleBarrierDeriv
OpDoubleBarrierDeriv(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, LowerBarrierPrice As Double, UpperBarrierPrice
As Double, Volatility As Double, RiskFreeRateArray As Variant, ReturnArray As
Variant, ExoticStructure As String, RateStructure As String, CalcStructure As
String, AdMode As String) As Variant
Returns in an array all derivatives (delta, gamma, rho, theta, vega) of a Double Barrier option. Barrier
options are options where the right to exercise depends on whether the underlying asset price reaches
a predefined barrier level during the lifetime of the option. Double Barrier options have two barrier
levels, one above and one below the current price of the underlying asset.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
LowerBarrierPrice : Price of the lower barrier of the option
UpperBarrierPrice : Price of the upper barrier of the option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Barrier type using the KI, KIKO, or KOKI keywords.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
79

AdfinX Analytics 1.0 Function Library – User Guide
5.2.22. OpDoubleBarrierImpliedVol
OpDoubleBarrierImpliedVol(CalcDate As Variant, ExpiryDate As Variant, SpotPrice
As Double, StrikePrice As Double, LowerBarrierPrice As Double,
UpperBarrierPrice As Double, Premium As Double, RiskFreeRateArray As Variant,
ReturnArray As Variant, ExoticStructure As String, RateStructure As String,
CalcStructure As String) As Double
Calculates the implied volatility of a Double Barrier option. Barrier options are options where the right
to exercise depends on whether the underlying asset price reaches a predefined barrier level during
the lifetime of the option. Double Barrier options have two barrier levels, one above and one below the
current price of the underlying asset.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
LowerBarrierPrice : Price of the lower barrier of the option
UpperBarrierPrice : Price of the upper barrier of the option
Premium : Premium of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Barrier type using the KI, KIKO, or KOKI keywords.
5.2.23. OpDoubleBarrierPremium
OpDoubleBarrierPremium(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, LowerBarrierPrice As Double, UpperBarrierPrice
As Double, Volatility As Double, RiskFreeRateArray As Variant, ReturnArray As
Variant, ExoticStructure As String, RateStructure As String, CalcStructure
As String) As Double
Calculates the premium of a double barrier option. Barrier options are options where the right to
exercise depends on whether the underlying asset price reaches a predefined barrier level during the
lifetime of the option. Double Barrier options have two barrier levels, one above and one below the
current price of the underlying asset.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
80

AdfinX Analytics 1.0 Function Library – User Guide
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
LowerBarrierPrice : Price of the lower barrier of the option
UpperBarrierPrice : Price of the upper barrier of the option
Volatility : Anticipated volatility of the underlying
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL and PUT
keywords, and the Barrier type using the KI, KIKO, or KOKI keywords.
5.2.24. OpExLookbackDeriv
OpExLookbackDeriv(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, Min/Max As Double, VolatilityArray As Variant,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String, AdMode As String)
As Variant
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Lookback Strike option or Lookback
Spot option in an array. At maturity, this type of option pays either the difference between the
underlying spot price and the lowest (highest) price achieved during the life of the call (put), or the
difference between the highest (lowest) price achieved during the life of the call (put) and the strike
price.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Strike price of the option, ignored for Lookback Strike options
Min/Max : Lowest price for a call or highest price for a put achieved so far for
Lookback Strike options
Highest price for a call or lowest price for a put achieved so far for
Lookback Spot options
VolatilityArray : Array of anticipated volatilities of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
81

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords.
You can calculate the price of ladder options using the LADDER keyword.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
5.2.25. OpExLookbackImpliedVol
OpExLookbackImpliedVol(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, Min/Max As Double, Premium As Double,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String) As Double
Calculates the implied volatility of a Lookback Strike option or Lookback Spot option. At maturity, this
type of option pays either the difference between the underlying spot price and the lowest (highest)
price achieved during the life of the call (put), or the difference between the highest (lowest) price
achieved during the life of the call (put) and the strike price.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike of the option, ignored for Lookback Strike options
Min/Max : Lowest price for a call or highest price for a put achieved so far for
Lookback Strike options
Highest price for a call or lowest price for a put achieved so far for
Lookback Spot options
Premium : Market or spot price of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
82

AdfinX Analytics 1.0 Function Library – User Guide
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords.
You can calculate the price of Ladder options using the LADDER keyword.
5.2.26. OpExLookbackPremium
OpExLookbackPremium(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, Min/Max As Double, VolatilityArray As Variant,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String) As Double
Calculates the premium of a Lookback Strike option or Lookback Spot option. At maturity, this type of
option pays either the difference between the underlying spot price and the lowest (highest) price
achieved during the life of the call (put), or the difference between the highest (lowest) price achieved
during the life of the call (put) and the strike price.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option (also date of the last fixing)
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option, ignored for Lookback Strike
options
Min/Max : Lowest price for a call or highest price for a put achieved so far for
Lookback Strike options
Highest price for a call or lowest price for a put achieved so far for
Lookback Spot options
VolatilityArray : Array of anticipated volatilities of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords.
You can calculate the price of Ladder options using the LADDER keyword.
5.2.27. OpFxLinkedDeriv
OpFxLinkedDeriv(CalcDate As Variant, ExpiryDate As Variant, ExchangeRate As
Double, SpotPrice As Double, StrikePrice As Double, ERVolatility As Double,
Volatility As Double, Correlation As Double, RiskFreeRateArray As Variant,
ForeignRateArray As Variant, ReturnArray As Variant, ExoticStructure As
83

AdfinX Analytics 1.0 Function Library – User Guide
String, RateStructure As String, CalcStructure As String, AdMode As String)
As Variant
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Quanto, Composite, or Equity Linked
Foreign Exchange option in an array. Quanto (quantity-adjusting) options are mainly used to eliminate
the foreign exchange risk when the underlying asset is denominated in a currency other than the
currency of the option, exchange rate being fixed to the calculation date. A Composite option is an
option on a foreign equity where the strike is denominated in domestic currency. A Composite option
has an exposure on the exchange risk. In an Equity Linked Foreign Exchange option, the face value is
linked to the forward price of a stock or equity index. This is an ideal option for an investor who wants
to speculate directly in a foreign equity market but wishes to place a floor on the currency exposure.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
ExchangeRate : Exercise or spot exchange rate specified in units of the domestic
currency per unit of the foreign currency
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
ERVolatility : Anticipated volatility of the exchange rate
Volatility : Anticipated volatility of the underlying instrument
Correlation : Correlation between asset and domestic exchange rate
RiskFreeRateArray : Array of data depending on the rate model chosen
ForeignRateArray : Yearly rate of the foreign market for an equivalent risk-free investment
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 9-element array
containing:
Delta : Delta ratio
ForeignDelta : Delta ratio in the foreign currency
Gamma : Gamma ratio
ForeignGamma : Delta ratio in the foreign currency
Rho : Rho ratio
ForeignRho : Rho ratio in the foreign currency
Theta : Theta ratio
Vega : Vega ratio
ForeignVega : Vega ratio in the foreign currency
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords, and the foreign exchange link type using the FXLINK keyword.
You can now calculate the derivatives of a Quanto or Composite option with an American or
Bermudan exercise mode, using the EXM keyword in ExoticStructure. EXM is incompatible with
FXLINK:ELFX. In these cases, you must use CMT:TREE in CalcStructure.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
84

AdfinX Analytics 1.0 Function Library – User Guide
5.2.28. OpFxLinkedImpliedVol
=OpFxLinkedImpliedVol(CalcDate As Variant, ExpiryDate As Variant, ExchangeRate
As Variant, SpotPrice As Double, StrikePrice As Double, Premium As Double,
ERVolatility As Double, Correlation As Double, RiskFreeRateArray As Variant,
ForeignRateArray As Variant, ReturnArray As Variant, ExoticStucture As String,
RateStructure As String, CalcStructure As String) As Double
Returns:
the relative implied volatility of a Composite option
the underlying volatility of a Quanto or Equity Linked Foreign Exchange option in an array
Quanto (quantity-adjusting) options are mainly used to eliminate the foreign exchange risk when the
underlying asset is denominated in a currency other than the currency of the option, exchange rate
being fixed to the calculation date. A Composite option is an option on a foreign equity where the strike
is denominated in domestic currency. A Composite option has an exposure on the exchange risk. In
an Equity Linked Foreign Exchange option, the face value is linked to the forward price of a stock or
equity index. This is an ideal option for an investor who wants to speculate directly in a foreign equity
market but wishes to place a floor on the currency exposure.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
ExchangeRate : Spot exchange rate specified in units of the domestic currency per unit of
the foreign currency
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option
Premium : Premium of the option
ERVolatility : Anticipated volatility of the exchange rate if applicable
Correlation : Correlation between asset and domestic exchange rate if applicable
RiskFreeRateArray : Array of data depending on the rate model chosen
ForeignRateArray : Yearly rate of the foreign market for an equivalent risk-free investment
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords, and the foreign exchange link type using the FXLINK keyword. You can also specify the
SOLVER keyword in CalcStructure to calculate the implied volatility with a specific method
(Newton-Raphson, Ridder, or dichotomy).
You can now calculate the implied volatility of a Quanto or Composite option with an American or
Bermudan exercise mode, using the EXM keyword in ExoticStructure.
You cannot calculate the implied volatility of a Quanto or Composite option using FXLINK:ELFX in
ExoticStructure.
You must use CMT:TREE NBBRANCH:3 in CalcStructure to calculate the implied volatility of a
Quanto or Composite option.
85

AdfinX Analytics 1.0 Function Library – User Guide
For more information on the relative implied volatility, see the Trinomial model section of the Adfin
Options Theory Guide.
5.2.29. OpFxLinkedPremium
OpFxLinkedPremium(CalcDate As Variant, ExpiryDate As Variant, ExchangeRate As
Double, SpotPrice As Double, StrikePrice As Double, ERVolatility As Double,
Volatility As Double, Correlation As Double, RiskFreeRateArray As Variant,
ForeignRiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure
As String, RateStructure As String, CalcStructure As String) As Double
Calculates the premium of a Quanto, Composite or Equity Linked Foreign Exchange option. Quanto
(quantity-adjusting) options are mainly used to eliminate the foreign exchange risk when the underlying
asset is denominated in a currency other than the currency of the option, exchange rate being fixed to
the calculation date. A Composite option is an option on a foreign equity where the strike is
denominated in domestic currency. A Composite option has an exposure on the exchange risk. In an
Equity Linked Foreign Exchange option, the face value is linked to the forward price of a stock or
equity index. This is an ideal option for an investor who wants to speculate directly in a foreign equity
market but wishes to place a floor on the currency exposure.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
ExchangeRate : Spot exchange rate specified in units of the domestic currency per unit
of the foreign currency
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Exercise or strike price of the option.
ERVolatility : Anticipated volatility of the exchange rate
Volatility : Anticipated volatility of the underlying instrument
Correlation : Correlation between asset and domestic exchange rate
RiskFreeRateArray : Array of data depending on the rate model chosen
ForeignRateArray : Yearly rate of the foreign market for an equivalent risk-free investment
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords, and the Foreign Exchange Link type using the FXLINK keyword.
You can now calculate the premium of a Quanto or Composite option with an American or
Bermudan exercise mode, using the EXM keyword in ExoticStructure. EXM is incompatible with
FXLINK:ELFX. In these cases, you must use CMT:TREE in CalcStructure.
5.2.30. OpPowerDeriv
OpPowerDeriv(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As Double,
StrikePrice As Double, Alpha As Double, Power As Double, Volatility As Double,
86

AdfinX Analytics 1.0 Function Library – User Guide
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String, AdMode As String)
As Variant
Returns in an array all derivatives (delta, gamma, rho, theta, and vega) of an asymmetric Power option
where the payoff is expressed as:
Arguments
max( α S
ν − X , 0 )
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
SpotPrice : Spot price of the underlying stock (S)
StrikePrice : Strike price of the option (X)
Alpha : Polynomial coefficient (α)
Power : Power coefficient (v)
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-element array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords.
You can calculate only one derivative if this derivative is specified in AdMode, using the RES
keyword.
5.2.31. OpPowerImpliedVol
OpPowerImpliedVol(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, Alpha As Double, Power As Double, Premium As
Double, RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure
As String, RateStructure As String, CalcStructure As String) As Double
Calculates the implied volatility of an asymmetric Power option where the payoff is expressed as:
max( α S
ν − X , 0 ) .
87

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
SpotPrice : Spot price of the underlying stock (S)
StrikePrice : Strike price of the option (X)
Alpha : Polynomial coefficient (α)
Power : Power coefficient (v)
Premium : Market or spot price of the option
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray : Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords.
5.2.32. OpPowerPremium
OpPowerPremium(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, Alpha As Double, Power As Double, Volatility As
Double, RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure
As String, RateStructure As String, CalcStructure As String) As Double
Calculates the premium of an asymmetric Power option where the payoff is expressed as:
Arguments
max( α S
ν − X , 0 ) .
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
SpotPrice : Spot price of the underlying stock (S)
StrikePrice : Strike price of the option (X)
Alpha : Polynomial coefficient (α)
Power : Power coefficient (v)
Volatility : Anticipated volatility of the underlying
RiskFreeRateArray : Array of data depending on the rate model chosen
ReturnArray
: Array of annualized dividend rates
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
88

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords.
5.2.33. OpRainbowDeriv
OpRainbowDeriv(CalcDate As Variant, ExpiryDate As Variant, SpotPriceArray As
Variant, StrikePriceArray As Variant, CorrelationArray As Variant,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String, AdMode As String)
As Variant
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Spread or a Two-Color Rainbow
option in an array. Rainbow options are options for which final payoff is determined by the highest
performance achieved at the expiration date by two or more underlying assets. Rainbow options can
be either American or European options.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
SpotPriceArray : Market or spot price of the underlying instruments
StrikePriceArray : Strike price, and second strike price of a Dual-Strike option
CorrelationArray : Array containing the volatilities of the assets on the diagonal and the
correlation coefficient
RiskFreeRateArray : Array of data depending on the rate model chosen:
• constant risk free rate
• zero-coupon curve
ReturnArray : Array containing the annualized dividend rates of the underlying
instruments
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value.
Return Value
The return value depends on the value of AdMode. The default value is a vertical 8-element array
containing:
Delta1 : Delta ratio of the first asset
Delta2 : Delta ratio of the second asset
Gamma1 : Gamma ratio of the first asset
Gamma2 : Gamma ratio of the second asset
Rho : Rho ratio
Theta : Theta ratio
Vega1 : Vega ratio of the first asset
Vega2 : Vega ratio of the second asset
89

AdfinX Analytics 1.0 Function Library – User Guide
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords, and the Rainbow type using the RAIN keyword.
The Rainbow option must not have more than two assets when using CMT:TREE in
CalcStructure.
You must use CMT:TREE in CalcStructure to calculate the derivatives of an American Rainbow
option.
You must use the keywords NBBRANCH:2 and NBFACTOR:2 in CalcStructure when the
calculation method is specified by CMT:TREE.
You can calculate only one derivative when this derivative is specified in AdMode, using the RES
keyword.
5.2.34. OpRainbowPremium
OpRainbowPremium(CalcDate As Variant, ExpiryDate As Variant, SpotPriceArray
As Variant, StrikePriceArray As Variant, CorrelationArray As Variant,
RiskFreeRateArray As Variant, ReturnArray As Variant, ExoticStructure As
String, RateStructure As String, CalcStructure As String) As Double
Calculates the premium of a Spread or a Two-Color Rainbow option. Rainbow options are options for
which final payoff is determined by the highest performance achieved at the expiration date by two or
more underlying assets. Rainbow options can be either American or European options.
Arguments
CalcDate : Calculation date
ExpiryDate : Expiry date of the option
SpotPriceArray : Market or spot price of the underlying instruments
StrikePriceArray : Exercise or strike price of the option. Can be a table in the case of a
Dual-Strike option
CorrelationArray
: Array containing the volatilities of the assets on the diagonal and the
correlation coefficient
RiskFreeRateArray : Array of data depending on the rate model chosen:
• constant risk free rate
• zero-coupon curve
ReturnArray : Array containing the annualized dividend rates of the underlying
instruments
ExoticStructure : Extended argument defining the exotic option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
ExoticStructure and RateStructure through the keywords RATETYPE, RATEFRQ, RM or DCB.
You must include at least the option type in the ExoticStructure, using the CALL or PUT
keywords, and the Rainbow type using the RAIN keyword.
The Rainbow option must not have more than two assets when using CMT:TREE in
CalcStructure.
90

AdfinX Analytics 1.0 Function Library – User Guide
You must use CMT:TREE in CalcStructure to price an American Rainbow option.
You must use the keywords NBBRANCH:2 and NBFACTOR:2 in CalcStructure when the
calculation method is specified by CMT:TREE.
91

AdfinX Analytics 1.0 Function Library – User Guide
6. ADFINX ADXFOREXMODULE CONTROL
6.1. ADXFOREXMODULE PROPERTIES
6.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxForexModule control retrieves the last error code generated
by the object.
Arguments
This property takes no argument.
Example
Dim fx as AdxForexModule : Declares an object of type AdxForexModule
Set fx = New AdxForexModule : Creates an AdxForexModule object
If fx.ErrorCode 0 Then : fx.ErrorCode contains the error
MsgBox (fx.ErrorCode) : Displays the error code in a message box
End If
6.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxForexModule component sets the error mode of the
AdxForexModule. Three modes are defined:
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim fx as AdxForexModule : Declares an object of type AdxForexModule
Set fx = New AdxForexModule : Creates an AdxForexModule object
fx.ErrorMode = NO_EXCEPTION : fx.ErrorMode is set to NO_EXCEPTION
6.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxForexModule retrieves the last error code generated by
the object with the associated error string.
92

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
This property takes no argument.
Example
Dim fx as AdxForexModule : Declares an object of type AdxForexModule
Set fx = New AdxForexModule : Creates an AdxForexModule object
fx.ErrorMode = EXCEPTION : fx.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an error
occurs
RES = fx.FxCurInfo("GFP", "LAY:V")
: The currency code GFP is incorrect. The function
FxCurInfo returns an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(fx.ErrorString) : Displays the ErrorString in a message box
fx.ErrorString contains the ErrorString (‘Error#8200 –
Currency: invalid currency code.’)
6.2. ADXFOREXMODULE METHODS
6.2.1. FxCalcPeriod
FxCalcPeriod(CalcDate As Variant, Cur1Cur2 As String, Period As String, FxMode
As String) As Variant
Calculates the start date and the end date of a period.
The CalcDate argument stands by default for the trading date. To calculate the period end date
directly from the spot date (it may be useful to do so for instance when applying an offset to the spot
date), or to choose between the Forex and the Money markets, use the FROM keyword in FxMode.
Arguments
CalcDate : Calculation date (trading date or spot date)
Cur1Cur2 : Cross currency code (example : "EURGBP")
Period : Period code (example : "1M")
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
StartDate : Period start date
EndDate : Period end date
Adjustment : String indicated why EndDate was adjusted if applicable
93

AdfinX Analytics 1.0 Function Library – User Guide
Notes
If any of the two currencies is the USD, the other currency code can be used directly in the
Cur1Cur2 argument to avoid the burden of determining which of Cur1 or Cur2 stands for the
USD. Similarly, if the base currency is not the USD, it is possible to use a 9-character code that
includes in the middle the base currency (e.g. "EURDEMGBP").
If the base currency is the USD, American holidays are taken into account for determining the
period start date and end date. Similarly, if another base currency is specified, the corresponding
holiday dates are used for the calculation.
6.2.2. FxCross
FxCross(Cur1Cur2 As String, Spot1BA As Variant, Spot2BA As Variant, FxMode As
String) As Variant
Calculates the spot cross rate assuming that the cross value date and the spot dates are equal.
The cross spot rate is returned by default in a two element array. To get the cross rate in the Bid/Ask
or Ask/Bid format, this function can be combined with the AdFormat function.
Arguments
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot1BA : Cur1 spot rates (array Bid/Ask)
Spot2BA : Cur2 spot rates (array Bid/Ask)
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Spot12B : Bid side of the spot cross rate
Spot12A : Ask side of the spot cross rate
6.2.3. FxCrossA
FxCrossA(CalcDate As Variant, Cur1Cur2 As String, Spot1BA As Variant, Spot2BA
As Variant, Dep1BA As Variant, Dep2BA As Variant, DepUsdBa As Variant, FxMode
As String) As Variant
Calculates the spot cross rate correcting the spot rates if the cross spot date and the spot date of each
currency are not equal.
The cross spot rate is returned by default in a two element array. To get the cross rate in the Bid/Ask
or Ask/Bid format, this function can be combined with the AdFormat function.
Arguments
CalcDate : Calculation date (contract or trading date)
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot1BA : Cur1 spot rates (array Bid/Ask)
Spot2BA : Cur2 spot rates (array Bid/Ask)
Dep1BA : Cur1 deposit rates (in real value) for the shortest period (array Bid/Ask)
Dep2BA : Cur2 deposit rates (in real value) for the shortest period (array Bid/Ask)
DepUsdBA : USD deposit rates (in real value) for the shortest period (array Bid/Ask)
FxMode : Extended argument customizing the return value
94

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Spot12B : Bid side of the spot cross rate
Spot12A : Ask side of the spot cross rate
SpotDate12 : Spot value date of the cross currency
SpotDate1 : Spot value date of Cur1
SpotDate2 : Spot value date of Cur2
6.2.4. FxCrossD
FxCrossD(SpotDate12 As Variant, SpotDate1 As Variant, SpotDate2 As Variant,
Cur1Cur2 As String, Spot1BA As Variant, Spot2BA As Variant, Dep1BA As Variant,
Dep2BA As Variant, DepUsdBA As Variant, FxMode As String) As Variant
Calculates the spot cross rate correcting the spot rates if the cross spot date SpotDate12 and the
currency spot dates SpotDate1 and SpotDate2 are not equal.
The cross spot rate is returned by default in a two element array. To get the cross rate in the Bid/Ask
or Ask/Bid format, this function can be combined with the AdFormat function.
Arguments
SpotDate12 : Spot value date of the cross currency Cur1Cur2
SpotDate1 : Spot value date of Cur1
SpotDate2 : Spot value date of Cur2
Cur1Cur2 : Cross currency code (example: "EURGBP")
Spot1BA : Cur1 spot rates (array Bid/Ask)
Spot2BA : Cur2 spot rates (array Bid/Ask)
Dep1BA : Cur1 deposit rates (in real value) for the shortest period (array Bid/Ask)
Dep2BA : Cur2 deposit rates (in real value) for the shortest period (array Bid/Ask)
DepUsdBA : USD deposit rates (in real value) for the shortest period (array Bid/Ask)
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Spot12B : Bid side of the spot cross rate
Spot12A : Ask side of the spot cross rate
6.2.5. FxDepToSwpD
FxDepToSwpD(NbDays As Integer, Cur1Cur2 As String, Spot12BA As Variant, Dep1BA
As Variant, Dep2BA As Variant, FxMode As String) As Variant
Calculates the synthetic swap point from deposit using a number of days. If any of the two currencies
is the USD, an alternate set of arguments can be used to avoid the burden of determining which of
Cur1 or Cur2 stands for the USD. To distinguish from both cases, the expected result must be
specified in FxMode using the RES keyword.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
95

AdfinX Analytics 1.0 Function Library – User Guide
The cross swap point is returned by default in a two element array. To get the swap point in the
Bid/Ask or Ask/Bid format, this function can be combined with the AdFormat function.
Arguments for two non-USD currencies
NbDays : Number of days of Cur1Cur2 swap point period
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot12BA : Cur1Cur2 spot rates (array Bid/Ask)
Dep1BA : Cur1 deposit rates (in real value) for approximately NbDays (array Bid/Ask)
Dep2BA : Cur2 deposit rates (in real value) for approximately NbDays (array Bid/Ask)
FxMode : Extended argument customizing the return value
In that case, FxMode should include the argument "RES:SWP12".
Arguments for one currency against USD
NbDays : Number of days of Currency swap point period
Cur1Cur2 : Currency ISO code (example : "EUR") referred to as Currency
Spot12BA : Currency spot rates (array Bid/Ask)
Dep1BA : Currency deposit rates (in real value) for approximately NbDays (array Bid/Ask)
Dep2BA : USD deposit rates (in real value) for approximately NbDays (array Bid/Ask)
FxMode : Extended argument customizing the return value
In that case, FxMode should include the argument "RES:SWPCUR".
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Swp12B : Bid side of the cross swap point (or the currency swap point with USD)
Swp12A : Ask side of the cross swap point (or the currency swap point with USD)
6.2.6. FxDepToSwpP
FxDepToSwpP(CalcDate As Variant, Period As String, Cur1Cur2 As String,
Spot12BA As Variant, Dep1BA As Variant, Dep2BA As Variant, FxMode As String) As
Variant
Calculates the synthetic swap point from deposit using a period. If either of the two currencies is the
USD, an alternate set of arguments can be used to avoid the burden of determining which of Cur1 or
Cur2 stands for the USD. To distinguish from both cases, the expected result must be specified in
FxMode using the RES keyword.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is returned by default in a two element array. To get the swap point in the
Bid/Ask or Ask/Bid format, this function can be combined with the AdFormat function.
Arguments for two non-USD currencies
CalcDate : Calculation date (contract or trading date)
Period : Period code (example : "1W")
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot12BA : Cur1Cur2 spot rates (array Bid/Ask)
Dep1BA : Cur1 deposit rates (in real value) for the period (array Bid/Ask)
Dep2BA : Cur2 deposit rates (in real value) for the period (array Bid/Ask)
FxMode : Extended argument customizing the return value
96

AdfinX Analytics 1.0 Function Library – User Guide
In that case, FxMode should include the argument "RES:SWP12".
Arguments for one currency against USD
CalcDate : Calculation date (contract or trading date)
Period : Period code (example : "1W")
Cur1Cur2 : Currency ISO code (example : "EUR") referred to as Currency
Spot12BA : Currency spot rates (array Bid/Ask)
Dep1BA : Currency deposit rates (in real value) for the period (array Bid/Ask)
Dep2BA : USD deposit rates (in real value) for the period (array Bid/Ask)
FxMode : Extended argument customizing the return value
In that case, FxMode should include the argument "RES:SWPCUR".
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Swp12B : Bid side of the cross swap point (or the currency swap point with USD)
Swp12A : Ask side of the cross swap point (or the currency swap point with USD)
StartDate : Start date of the period
EndDate : End date of the period
6.2.7. FxGenCalc
FxGenCalc(InstrumentCode As String, CurrencyList As String, CalcDate As
Variant, Spot1BA As Variant, Spot2BA As Variant, Spot12BA As Variant, Swp1Array
As Variant, Swp2Array As Variant, Dep1Array As Variant, Dep2Array As Variant,
DepUsdArray As Variant, FxMode As String) As Variant
Performs any kind of Forex or Money market calculation from an instrument code. The integration of
the FxGenCalc function within models can be made easier with the FxGenParse function.
Arguments
InstrumentCode : Instrument code corresponding to the calculation
CurrencyList : List of the available currencies (string with the comma "," as separator)
CalcDate : Calculation date (contract or trading date)
Spot1BA : Cur1 spot rates (array Bid/Ask)
Spot2BA : Cur2 spot rates (array Bid/Ask)
Spot12BA : Cur1Cur2 spot rates (array Bid/Ask)
Swp1Array : Cur1 array of dates and swap points
Swp2Array : Cur2 array of dates and swap points
Dep1Array : Cur1 array of dates and deposit rates
Dep2Array : Cur2 array of dates and deposit rates
DepUsdArray : USD array of dates and deposit rates
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Bid : Bid side of the calculation
Ask : Ask side of the calculation
SpotDate12 : Spot date of the cross currency (if applicable)
97

AdfinX Analytics 1.0 Function Library – User Guide
EndDate1 : End date of the 1st currency period (if applicable)
EndDate2 : End date of the 2nd currency period (if applicable)
Note
The argument Spot12BA can be left to 0 to indicate that the cross spot rate must be calculated from
Spot1BA and Spot2BA.
6.2.8. FxGenParse
FxGenParse(InstrumentCode As String, CurrencyList As String, FxMode As String)
As Variant
Returns information concerning the calculation that corresponds to an instrument code. This
information can be used to select the proper arguments in the FxGenCalc function.
Arguments
InstrumentCode : Instrument code corresponding to the calculation
CurrencyList : List of the available currencies (string with the comma "," as separator)
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
InfoMsg : Message describing the instrument and the calculation
InfoCode : Code describing the instrument and the calculation
Cur1 : 1st currency code
Cur2 : 2nd currency code (if applicable)
CurDep : Currency code for deposit calculation (if applicable)
Period1 : 1st period code
Period2 : 2nd period code (if applicable)
IdnFlag : 1 if the data comes directly from IDN, 0 otherwise
6.2.9. FxSwpToDepD
FxSwpToDepD(NbDays As Integer, Cur1Cur2 As String, Spot12BA As Variant, DepBA
As Variant, Swp12BA As Variant, FxMode As String) As Variant
Calculates the synthetic deposit from swap point using a number of days. If any of the two currencies
is the USD, an alternate set of arguments can be used to avoid the burden of determining which of
Cur1 or Cur2 stands for the USD. To distinguish from both cases, the expected result must be
specified in FxMode using the RES keyword.
The deposit rate is returned by default in a two element array. To get the rate in the Bid/Ask or Ask/Bid
format, this function can be combined with the AdFormat function.
Arguments for two non-USD currencies
NbDays : Number of days of Currency swap point period
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot12BA : Cur1Cur2 spot rates (array Bid/Ask)
DepBA : Cur1 or Cur2 deposit rates (in real value) for approximately NbDays (array
Bid/Ask)
Swp12BA : Cur1Cur2 swap points (array Bid/Ask)
98

AdfinX Analytics 1.0 Function Library – User Guide
FxMode : Extended argument customizing the return value
In that case, FxMode should include the argument "RES:DEP1" if the deposit rate of Cur1 is
calculated from that of Cur2, or "RES:DEP2" if the deposit rate of Cur2 is calculated from that of
Cur1.
Arguments for one currency against USD
NbDays : Number of days of Currency swap point period
Cur1Cur2 : Currency ISO code (example : "EUR") referred to as Currency
Spot12BA : Currency spot rates (array Bid/Ask)
DepBA : Currency or USD deposit rates (in real value) for approx. NbDays (array Bid/Ask)
Swp12BA : Currency swap points (array Bid/Ask)
FxMode : Extended argument customizing the return value
In that case, FxMode should include the argument "RES:DEPCUR" if the deposit rate of Currency
is calculated from that of USD, or "RES:DEPUSD" if the deposit rate of USD is calculated from that
of Currency.
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
DepB : Bid side of Currency or USD deposit rate (in real value)
DepA : Ask side of Currency or USD deposit rate (in real value)
6.2.10. FxSwpToDepP
FxSwpToDepP(CalcDate As Variant, Period As String, Cur1Cur2 As String,
Spot12BA As Variant, DepBA As Variant, Swp12BA As Variant, FxMode As String) As
Variant
Calculates the synthetic deposit from swap point using a period. If any of the two currencies is the
USD, an alternate set of arguments can be used to avoid the burden of determining which of Cur1 or
Cur2 stands for the USD. To distinguish from both cases, the expected result must be specified in
FxMode using the RES keyword.
The deposit rate is returned by default in a two element array. To get the rate in the Bid/Ask or Ask/Bid
format, this function can be combined with the AdFormat function.
Arguments for two non-USD currencies
CalcDate : Calculation date (contract or trading date)
Period : Period code (example : "1W")
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot12BA : Cur1Cur2 spot rates (array Bid/Ask)
DepBA : Cur1 or Cur2 deposit rates (in real value) for the period (array Bid/Ask)
Swp12BA : Cur1Cur2 swap points (array Bid/Ask)
FxMode : Extended argument customizing the return value
In that case, FxMode should include the argument "RES:DEP1" if the deposit rate of Cur1 is
calculated from that of Cur2, or "RES:DEP2" if the deposit rate of Cur2 is calculated from that of
Cur1.
99

AdfinX Analytics 1.0 Function Library – User Guide
Arguments for one currency against USD
CalcDate : Calculation date (contract or trading date)
Period : Period code (example : "1W")
Cur1Cur2 : Currency ISO code (example : "EUR") referred to as Currency
Spot12BA : Currency spot rates (array Bid/Ask)
DepBA : Currency or USD deposit rates (in real value) for the period (array Bid/Ask)
Swp12BA : Currency swap points (array Bid/Ask)
FxMode : Extended argument customizing the return value
In that case, FxMode should include the argument "RES:DEPCUR" if the deposit rate of Currency
is calculated from that of USD, or "RES:DEPUSD" if the deposit rate of USD is calculated from that
of Currency.
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
DepB : Bid side of Currency or USD deposit rate (in real value)
DepA : Ask side of Currency or USD deposit rate (in real value)
StartDate : Start date of the period
EndDate : End date of the period
6.2.11. FxSwpToOut
FxSwpToOut(Cur1Cur2 As String, Spot12BA As Variant, Swp12BA As Variant, FxMode
As String) As Variant
Calculates outright rates from swap points.
This function is likely to be used to display a forward quotation of a cross currency as both swap points
(argument of the function) and outrights (result of the function).
The outright rate is returned by default in a two element array. To get the rate in the Bid/Ask or Ask/Bid
format, this function can be combined with the AdFormat function.
Arguments
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot12BA : Cur1Cur2 spot rates (array Bid/Ask)
Swp12BA : Cur1Cur2 swap points (array Bid/Ask)
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Out12B : Bid side of the cross outright
Out12A : Ask side of the cross outright
100

AdfinX Analytics 1.0 Function Library – User Guide
6.2.12. FxSwpToSwp
FxSwpToSwp(Cur1Cur2 As String, Spot1BA As Variant, Spot2BA As Variant, Swp1BA
As Variant, Swp2BA As Variant, FxMode As String) As Variant
Calculates the cross swap point from swap points assuming that the cross value date and the spot
dates are equal.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is returned by default in a two element array. To get the swap point in the
Bid/Ask or Ask/Bid format, this function can be combined with the AdFormat function.
Arguments
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot1BA : Cur1 spot rates (array Bid/Ask)
Spot2BA : Cur2 spot rates (array Bid/Ask)
Swp1BA : Cur1 swap points (array Bid/Ask)
Swp2BA : Cur2 swap points (array Bid/Ask)
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Swp12B : Bid side of the cross swap point
Swp12A : Ask side of the cross swap point
6.2.13. FxSwpToSwpD
FxSwpToSwpD(NbDays12 As Variant, NbDays1 As Variant, NbDays2 As Variant,
Cur1Cur2 As String, Spot1BA As Variant, Spot2BA As Variant, Swp1BA As Variant,
Swp2BA As Variant, FxMode As String) As Variant
Calculates the cross swap point from swap points, using either the numbers of days or an array of
Start Dates and End Dates, to correct the calculation when the cross value date is different from the
spot date.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is by default returned in two cells. To get the swap point in the Bid/Ask or
Ask/Bid format, this function can be combined with the AdFormat function.
Arguments
NbDays12 : Number of days of Cur1Cur2 swap point period or an array of Start Dates and End
Dates
NbDays1 : Number of days of Cur1USD swap point period or an array of Start Dates and End
Dates
NbDays2 : Number of days of Cur2USD swap point period or an array of Start Dates and End
Dates
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot1BA : Cur1 spot rates (array Bid/Ask)
Spot2BA : Cur2 spot rates (array Bid/Ask)
Swp1BA : Cur1 swap points (array Bid/Ask)
Swp2BA : Cur2 swap points (array Bid/Ask)
101

AdfinX Analytics 1.0 Function Library – User Guide
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Swp12B : Bid side of the cross swap point
Swp12A : Ask side of the cross swap point
6.2.14. FxSwpToSwpP
FxSwpToSwpP(CalcDate As Variant, Period As String, Cur1Cur2 As String, Spot1BA
As Variant, Spot2BA As Variant, Swp1BA As Variant, Swp2BA As Variant, FxMode As
String) As Variant
Calculates the cross swap point from swap points using a period to correct the calculation when the
cross value date is different from the spot dates.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is returned by default in a two element array. To get the swap point in the
Bid/Ask or Ask/Bid format, this function can be combined with the AdFormat function.
Arguments
CalcDate : Calculation date (contract or trading date)
Period : Period code (example : "1W")
Cur1Cur2 : Cross currency code (example : "EURGBP")
Spot1BA : Cur1 spot rates (array Bid/Ask)
Spot2BA : Cur2 spot rates (array Bid/Ask)
Swp1BA : Cur1 swap points (array Bid/Ask)
Swp2BA : Cur2 swap points (array Bid/Ask)
FxMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FxMode. The default value is an array containing:
Swp12B : Bid side of the cross swap point
Swp12A : Ask side of the cross swap point
StartDate : Start date of the period
EndDate : End date of the period
102

AdfinX Analytics 1.0 Function Library – User Guide
7. ADFINX ADXOPTIONMODULE CONTROL
7.1. ADXOPTIONMODULE PROPERTIES
7.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxOptionModule control retrieves the last error code generated
by the object.
Arguments
This property takes no argument.
Example
Dim op as AdxOptionModule : Declares an object of type AdxOptionModule
Set op = New AdxOptionModule : Creates an AdxOptionModule object
If op.ErrorCode 0 Then : op.ErrorCode contains the error
MsgBox (op.ErrorCode) : Displays the error code in a message box
End If
7.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxOptionModule component sets the error mode of the
AdxOptionModule. Three modes are defined
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim op as AdxOptionModule : Declares an object of type AdxOptionModule
Set op = New AdxOptionModule : Creates an AdxOptionModule object
op.ErrorMode = NO_EXCEPTION : op.ErrorMode is set to NO_EXCEPTION
7.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxOptionModule retrieves the last error code generated by
the object with the associated error string.
103

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
This property takes no argument.
Example
Dim op as AdxOptionModule : Declares an object of type AdxOptionModule
Set op = New AdxOptionModule : Creates an AdxOptionModule object
op.ErrorMode = EXCEPTION : op.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an error
occurs
RES = op.OpPremium("24-APR-97", "25-FEB-96", "1.69", "1.55", "1.55",
"0.1976", "0.0197", "0.0207", "CALL EXM:AMER")
: The maturity date is before the calculation date. The
function OpPremium returns an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(op.ErrorString) : Displays the ErrorString in a message box
op.ErrorString contains the ErrorString (‘Error#7012 –
Invalid maturity date.’)
7.2. ADXOPTIONMODULE METHODS
7.2.1. AdBarrierCapFloorCaplets
=AdBarrierCapFloorCaplets(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, UpperBarrier As Variant,
LowerBarrier As Variant, UpperRebate As Variant, LowerRebate As Variant,
CapFloorStructure As String, RateStructure As String, CalcStructure As
String, AdMode As String) As Variant
Generates an array with the caplet or floorlet premiums of a Barrier cap or floor.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the Barrier cap or floor
Maturity : Maturity date of the Barrier cap or floor
CapStrikePrice : Exercise or strike price of the Barrier cap
FloorStrikePrice : Exercise or strike price of the Barrier floor
FirstRate : Rate of the Barrier cap or floor for the current calculation period
UpperBarrier : Upper barrier of the Barrier cap or floor
LowerBarrier : Lower barrier of the Barrier cap or floor
UpperRebate : Upper rebate of the Barrier cap or floor
LowerRebate : Lower rebate of the Barrier cap or floor
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
104

AdfinX Analytics 1.0 Function Library – User Guide
AdMode : Extended argument customizing the return value
Return Value
The return value is a vertical 6-column array, containing the following values for all caplets or floorlets:
start date
strike price
volatility
forward rate
premium
remaining notional
Notes
RateArray is a “Dates, Rates” array with a constant volatility in a third column. You must use
RM:BS in CapFloorStructure.
Maturity is expressed as a date or a code, such as “1Y”.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
If you do not specify a value for UpperBarrier or LowerBarrier, you must include “0” in both
arguments of the function.
If the cap or floor is out-of-the-money, you can specify a rebate array by using UpperRebate or
LowerRebate. Otherwise, you must include “0” in both arguments of the function.
UpperBarrier, LowerBarrier, UpperRebate and LowerRebate can be a single value or an
array of size N, where N is the number of caplets or floorlets of the cap or floor.
You cannot use UpperRebate to value caplets or floorlets of a double knock in a Barrier cap or
floor.
You must specify CAP, FLOOR, and FRQ keywords in the CapFloorStructure.
7.2.2. AdBarrierCapFloorDeriv
=AdBarrierCapFloorDeriv(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, UpperBarrier As Variant,
LowerBarrier As Variant, UpperRebate As Variant, LowerRebate As Variant,
CapFloorStructure As String, RateStructure As String, CalcStructure As
String, AdMode As String) As Double
Generates an array with the derivatives of a Barrier cap or floor.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the Barrier cap or floor
Maturity : Maturity date of the Barrier cap or floor
CapStrikePrice : Exercise or strike price of the Barrier cap
FloorStrikePrice : Exercise or strike price of the Barrier floor
FirstRate : Rate of the Barrier cap or floor for the current calculation period
UpperBarrier : Upper barrier of the Barrier cap or floor
LowerBarrier : Lower barrier of the Barrier cap or floor
UpperRebate : Upper rebate of the Barrier cap or floor
LowerRebate : Lower rebate of the Barrier cap or floor
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
105

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The return value is a vertical 6-column array, containing the global, global forward and caplet values
for each of the following derivatives:
delta
gamma
vega
theta
basis point value (BPV)
convexity
The function returns “0” as global forward value for vega, theta, BPV and convexity. The first row of the
return array contains the global values; the second contains the global forward values, and the third,
the values of the derivatives for each caplet.
Notes
RateArray is a “Dates, Rates” array with a constant volatility in a third column. You must use
RM:BS in CapFloorStructure.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
If you do not specify a value for UpperBarrier or LowerBarrier, you must include “0” in both
arguments of the function.
If the cap or floor is out-of-the-money, you can specify a rebate array by using UpperRebate or
LowerRebate. Otherwise, you must include “0” in both arguments of the function.
UpperBarrier, LowerBarrier, UpperRebate and LowerRebate can be a single value or an
array of size N, where N is the number of caplets or floorlets of the cap or floor.
You cannot use UpperRebate to calculate the derivatives of a double knock in a Barrier cap or
floor.
You must specify CAP, FLOOR, and FRQ keywords in the CapFloorStructure.
7.2.3. AdBarrierCapFloorImpliedVol
=AdBarrierCapFloorImpliedVol(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, Premium As Double,
UpperBarrier As Variant, LowerBarrier As Variant, UpperRebate As Variant,
LowerRebate As Variant, CapFloorStructure As String, RateStructure As
String, CalcStructure As String) As Double
Calculates the implied volatility of a Barrier cap or floor.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the Barrier cap or floor
Maturity : Maturity date of the Barrier cap or floor
CapStrikePrice : Exercise or strike price of the Barrier cap
FloorStrikePrice : Exercise or strike price of the Barrier floor
FirstRate : Rate of the Barrier cap or floor for the current calculation period
Premium : Market or spot price of the Barrier cap or floor
UpperBarrier : Upper barrier of the Barrier cap or floor
LowerBarrier : Lower barrier of the Barrier cap or floor
UpperRebate : Upper rebate of the Barrier cap or floor
LowerRebate : Lower rebate of the Barrier cap or floor
106

AdfinX Analytics 1.0 Function Library – User Guide
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the Barrier cap or floor.
Notes
RateArray is a “Dates, Rates” array with a constant volatility in a third column. You must use
RM:BS in CapFloorStructure.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
If you do not specify a value for UpperBarrier or LowerBarrier, you must include “0” in both
arguments of the function.
If the cap or floor is out-of-the-money, you can specify a rebate array by using UpperRebate or
LowerRebate. Otherwise, you must include “0” in both arguments of the function.
UpperBarrier, LowerBarrier, UpperRebate and LowerRebate can be a single value or an
array of size N, where N is the number of caplets or floorlets of the cap or floor.
You cannot use UpperRebate to calculate the implied volatility of a double knock in a Barrier cap
or floor.
You must specify CAP, FLOOR, and FRQ keywords in the CapFloorStructure.
7.2.4. AdBarrierCapFloorPremium
=AdBarrierCapFloorPremium(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, UpperBarrier As Variant,
LowerBarrier As Variant, UpperRebate As Variant, LowerRebate As Variant,
CapFloorStructure As String, RateStructure As String, CalcStructure As
String) As Double
Calculates the premium of a Barrier cap or floor.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the Barrier cap or floor
Maturity : Maturity date of the Barrier cap or floor
CapStrikePrice : Exercise or strike price of the Barrier cap
FloorStrikePrice : Exercise or strike price of the Barrier floor
FirstRate : Rate of the Barrier cap or floor for the current calculation period
UpperBarrier : Upper barrier of the Barrier cap or floor
LowerBarrier : Lower barrier of the Barrier cap or floor
UpperRebate : Upper rebate of the Barrier cap or floor
LowerRebate : Lower rebate of the Barrier cap or floor
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of a Barrier cap or floor.
107

AdfinX Analytics 1.0 Function Library – User Guide
Notes
RateArray is a “Dates, Rates” array with a constant volatility in a third column. You must use
RM:BS in CapFloorStructure.
If you do not specify a value for UpperBarrier or LowerBarrier, you must include “0” in both
arguments of the function.
If the cap or floor is out-of-the-money, you can specify a rebate array by using UpperRebate or
LowerRebate. Otherwise, you must include “0” in both arguments of the function.
UpperBarrier, LowerBarrier, UpperRebate and LowerRebate can be a single value or an
array of size N, where N is the number of caplets or floorlets of the cap or floor.
You cannot use UpperRebate to price a double knock in a Barrier cap or floor.
You must specify CAP, FLOOR, and FRQ keywords in the CapFloorStructure.
7.2.5. AdBondOptionDeriv
AdBondOptionDeriv(CalcDate As Variant, RateArray As Variant, BondMaturity As
Variant, Coupon As Double, ExpiryDate As Variant, StrikePrice As Double,
BondStructure As String, OptionStructure As String, RateStructure As
String, CalcStructure As String, AdMode As String) As Double
Returns an array of all the derivatives (delta, gamma, rho, theta, vega) of a bond option defined from a
bond structure.
Arguments
CalcDate : Calculation date
RateArray : Term structure array
BondMaturity : Maturity date of the bond
Coupon : Coupon
ExpiryDate : Expiry date of the option
StrikePrice : Strike of the option
BondStructure : Extended argument defining the bond structure
OptionStructure : Extended argument defining the option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-cell array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The table below describes the different forms of RateArray:
If you specify
RM:BDT
RM:HW
Then RateArray has the following columns
Dates, Rates, Volatilities
Dates, Rates, and constant volatility and mean-reversion
108

AdfinX Analytics 1.0 Function Library – User Guide
AdfinX Analytics assumes that the StrikePrice argument stands for the gross price of the bond.
You must specify the PX keyword in CalcStructure to make the function use the clean price of
the bond.
You must include at least the option type in the OptionStructure, using the CALL or PUT
keywords.
7.2.6. AdBondOptionPremium
AdBondOptionPremium(CalcDate As Variant, RateArray As Variant, BondMaturity
As Variant, Coupon As Double, ExpiryDate As Variant, StrikePrice As Double,
BondStructure As String, OptionStructure As String, RateStructure As
String, CalcStructure As String, AdMode As String) As Double
Calculates the premium of a bond option defined from a bond structure.
Arguments
CalcDate : Calculation date
RateArray : Term structure array
BondMaturity : Maturity date of the bond
Coupon : Coupon
ExpiryDate : Expiry date of the option
StrikePrice : Strike price of the option
BondStructure : Extended argument defining the bond structure
OptionStructure : Extended argument defining the option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of AdMode. The default value is the bond option premium. If
needed the second returned value is the bond price.
Notes
The table below describes the different forms of RateArray:
If you specify
RM:BDT
RM:HW
Then RateArray has the following columns
Dates, Rates, Volatilities
Dates, Rates, and constant volatility and mean-reversion
AdfinX Analytics assumes that the StrikePrice argument stands for the gross price of the bond.
You must specify the PX keyword in CalcStructure to make the function use the clean price of
the bond.
You must include at least the option type in the OptionStructure, using the CALL or PUT
keywords.
7.2.7. AdCapFloorCaplets
AdCapFloorCaplets(SettlementDate As Variant, RateArray As Variant, StartDate
As Variant, Maturity as Variant, CapStrikePrice As Double, FloorStrikePrice
As Double, FirstRate As Double, CapFloorStructure As String, RateStructure
As String, CalcStructure As String, AdMode As String) As Variant
109

AdfinX Analytics 1.0 Function Library – User Guide
Generates an array with the caplet or floorlet values of a Vanilla cap, floor, or collar.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the cap, floor, or collar
Maturity : Maturity date of the cap, floor, or collar
FirstRate : Rate of the cap, floor, or collar for the current calculation period
CapStrikePrice : Exercise or strike price of the cap
FloorStrikePrice : Exercise or strike price of the floor
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value is a vertical 6-column array, containing the following values for all caplets or floorlets:
start date
strike price
volatility
forward rate
premium
remaining notional
If you price a collar, the function returns both caplet and floorlet strike prices in two separate columns.
Notes
The table below describes the different forms of RateArray:
If you specify
RM:BS
RM:BDT
RM:HW
Then RateArray has the following columns
Dates, Rates, and a constant volatility
Dates, Rates, Volatilities
Dates, Rates, and constant volatility and mean-reversion
Maturity is expressed as a date or a code, such as “1Y”.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
You must specify CAP, FLOOR, or COLLAR and FRQ keywords in the CapFloorStructure.
You can only price caps and floors with money market rates, if you use the Hull and White model.
7.2.8. AdCapFloorDeriv
AdCapFloorDeriv(SettlementDate As Variant, RateArray As Variant, StartDate
As Variant, Maturity As Variant, CapStrikePrice As Double, FloorStrikePrice
As Double, FirstRate As Double, CapFloorStructure As String, RateStructure
As String, CalcStructure As String, AdMode As String) As Double
Generates an array with the derivatives of a Vanilla cap, floor, or collar.
110

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the cap, floor, or collar
Maturity : Maturity date of the cap, floor, or collar
CapStrikePrice : Exercise or strike price of the cap
FloorStrikePrice : Exercise or strike price of the floor
FirstRate : Rate of the cap, floor, or collar for the current calculation period
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value is a vertical 6-column array, containing the global, global forward and caplet values
for each of the following derivatives:
delta
gamma
vega
theta
basis point value (BPV)
convexity
The function returns “0” as global forward value for vega, theta, BPV and convexity. The first row of the
return array contains the global values; the second contains the global forward values, and the third,
the values for each caplet.
Notes
The table below describes the different forms of RateArray:
If you specify
RM:BS
RM:BDT
RM:HW
Then RateArray has the following columns
Dates, Rates, and a constant volatility
Dates, Rates, Volatilities
Dates, Rates, and constant volatility and mean-reversion
Maturity is expressed as a date or a code, such as “1Y”.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
You must specify CAP, FLOOR, or COLLAR and FRQ keywords in the CapFloorStructure.
You can only price caps and floors with money market rates, if you use the Hull and White model.
7.2.9. AdCapFloorImpliedVol
AdCapFloorlImpliedVol(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, Premium As Double,
CapFloorStructure As String, RateStructure As String, CalcStructure As
String) As Double
Calculates the implied volatility of a Vanilla cap, floor, or collar.
111

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the cap, floor, or collar
Maturity : Maturity date of the cap, floor, or collar
CapStrikePrice : Exercise or strike price of the cap
FloorStrikePrice : Exercise or strike price of the floor
FirstRate : Rate of the cap, floor, or collar for the current calculation period
Premium : Market or spot price of the cap, floor, or collar
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the cap, floor, or collar.
Notes
The table below describes the different forms of RateArray:
If you specify
RM:BS
RM:BDT
RM:HW
Then RateArray has the following columns
Dates, Rates, and a constant volatility
Dates, Rates, Volatilities
Dates, Rates, and constant volatility and mean-reversion
Maturity is expressed as a date or a code, such as “1Y”.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
You must specify CAP, FLOOR, or COLLAR and FRQ keywords in CapFloorStructure.
7.2.10. AdCapFloorPremium
AdCapFloorPremium(SettlementDate As Variant, RateArray As Variant, StartDate
As Variant, Maturity as Variant, CapStrikePrice As Double, FloorStrikePrice
As Double, FirstRate As Double, CapFloorStructure As String, RateStructure
As String, CalcStructure As String) As Double
Calculates the premium of a Vanilla cap, floor, or collar.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the cap, floor, or collar
Maturity : Maturity date of the cap, floor, or collar
CapStrikePrice : Exercise or strike price of the cap
FloorStrikePrice : Exercise or strike price of the floor
FirstRate : Rate of the cap, floor, or collar for the current calculation period
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
112

AdfinX Analytics 1.0 Function Library – User Guide
Return Value
The premium of a cap, floor or collar.
Notes
The table below describes the different forms of RateArray:
If you specify
RM:BS
RM:BDT
RM:HW
Then RateArray has the following columns
Dates, Rates, and a constant volatility
Dates, Rates, Volatilities
Dates, Rates, and constant volatility and mean-reversion
Maturity is expressed as a date or a code, such as “1Y”.
You can only price caps and floors with money market rates, if you use the Hull and White model.
7.2.11. AdDigitalCapFloorCaplets
AdDigitalCapFloorCaplets(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, CapFixedAmount As Variant,
FloorFixedAmount As Variant, CapFloorStructure As String, RateStructure As
String, CalcStructure As String, AdMode As String) As Variant
Generates an array with the caplet or floorlet premiums of a Digital cap, floor, or collar.
Arguments
SettlementDate : Calculation date
RateArray : Term structure array
StartDate : Start date of the Digital cap, floor, or collar
Maturity : Maturity date of the Digital cap, floor, or collar
CapStrikePrice : Exercise or strike price of the Digital cap
FloorStrikePrice : Exercise or strike price of the Digital floor
FirstRate : Rate of the Digital cap, floor, or collar for the current calculation period
CapFixedAmount : Rebate array of the Digital cap
FloorFixedAmount : Rebate array of the Digital floor
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value is a vertical 6-column array, containing the following values for all caplets or floorlets:
start date
strike price
volatility
forward rate
premium
remaining notional
If you price a collar, the function returns both caplet and floorlet strike prices in two separate columns.
113

AdfinX Analytics 1.0 Function Library – User Guide
Notes
RateArray is a “Dates, Rates” array with a constant volatility in a third column. You must use
RM:BS in CapFloorStructure.
Maturity is expressed as a date or a code, such as “1Y”.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
CapFixedAmount and FloorFixedAmount can be a single value or an array of size N, where N
is the number of caplets or floorlets of the cap or floor. You must include “0” in CapFixedAmount
or FloorFixedAmount if you do not want to enter a rebate array in the function.
You must specify CAP, FLOOR, or COLLAR and FRQ keywords in the CapFloorStructure.
7.2.12. AdDigitalCapFloorDeriv
AdDigitalCapFloorDeriv(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, CapFixedAmount As Variant,
FloorFixedAmount As Variant, CapFloorStructure As String, RateStructure As
String, CalcStructure As String, AdMode As String) As Double
Generates an array with the derivatives of a Digital cap, floor, or collar.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the Digital cap, floor, or collar
Maturity : Maturity date of the Digital cap, floor, or collar
CapStrikePrice : Exercise or strike price of the Digital cap
FloorStrikePrice : Exercise or strike price of the Digital floor
FirstRate : Rate of the Digital cap, floor, or collar for the current calculation period
CapFixedAmount : Rebate array of the Digital cap
FloorFixedAmount : Rebate array of the Digital floor
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value is a vertical 6-column array, containing the global, global forward and caplet values
for each of the following derivatives:
delta
gamma
vega
theta
basis point value (BPV)
convexity
The function returns “0” as global forward value for vega, theta, BPV and convexity. The first row of the
return array contains the global values; the second contains the global forward values, and the third,
the values for each caplet.
Notes
RateArray is a “Dates, Rates” array with a constant volatility in a third column. You must use
RM:BS in CapFloorStructure.
114

AdfinX Analytics 1.0 Function Library – User Guide
Maturity is expressed as a date or a code, such as “1Y”.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
CapFixedAmount and FloorFixedAmount can be a single value or an array of size N, where N
is the number of caplets or floorlets of the cap or floor. You must include “0” in CapFixedAmount
or FloorFixedAmount if you do not want to enter a rebate array in the function.
You must specify CAP, FLOOR, or COLLAR and FRQ keywords in the CapFloorStructure.
7.2.13. AdDigitalCapFloorImpliedVol
AdDigitalCapFloorImpliedVol(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, Premium As Double,
CapFixedAmount As Variant, FloorFixedAmount As Variant, CapFloorStructure
As String, RateStructure As String, CalcStructure As String) As Double
Calculates the implied volatility of a Digital cap, floor, or collar.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the Digital cap, floor, or collar
Maturity : Maturity date of the Digital cap, floor, or collar
CapStrikePrice : Exercise or strike price of the Digital cap
FloorStrikePrice : Exercise or strike price of the Digital floor
FirstRate : Rate of the Digital cap, floor, or collar for the current calculation period
Premium : Market or spot price of the Digital cap, floor, or collar
CapFixedAmount : Rebate array of the Digital cap
FloorFixedAmount : Rebate array of the Digital floor
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The return value is a vertical 6-column array, containing the global, global forward and caplet values
for each of the following derivatives:
delta
gamma
vega
theta
basis point value (BPV)
convexity
The function returns “0” as global forward value for vega, theta, BPV and convexity. The first row of the
return array contains the global values; the second contains the global forward values, and the third,
the values for each caplet.
Notes
RateArray is a “Dates, Rates” array with a constant volatility in a third column. You must use
RM:BS in CapFloorStructure.
Maturity is expressed as a date or a code, such as “1Y”.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
115

AdfinX Analytics 1.0 Function Library – User Guide
CapFixedAmount and FloorFixedAmount can be a single value or an array of size N, where N
is the number of caplets or floorlets of the cap or floor. You must include “0” in CapFixedAmount
or FloorFixedAmount if you do not want to enter a rebate array in the function.
You must specify CAP, FLOOR, or COLLAR and FRQ keywords in the CapFloorStructure.
7.2.14. AdDigitalCapFloorPremium
AdDigitalCapFloorPremium(SettlementDate As Variant, RateArray As Variant,
StartDate As Variant, Maturity As Variant, CapStrikePrice As Double,
FloorStrikePrice As Double, FirstRate As Double, CapFixedAmount As Variant,
FloorFixedAmount As Variant, CapFloorStructure As String, RateStructure As
String, CalcStructure As String) As Double
Calculates the premium of a Digital cap, floor, or collar.
Arguments
SettlementDate : Settlement date
RateArray : Term structure array
StartDate : Start date of the Digital cap, floor, or collar
Maturity : Maturity date of the Digital cap, floor, or collar
CapStrikePrice : Exercise or strike price of the Digital cap
FloorStrikePrice : Exercise or strike price of the Digital floor
FirstRate : Rate of the Digital cap, floor, or collar for the current calculation period
CapFixedAmount : Rebate array of the Digital cap
FloorFixedAmount : Rebate array of the Digital floor
CapFloorStructure : Extended argument defining the instrument
RateStructure : Extended argument defining the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of a Digital cap, floor, or collar.
Notes
RateArray is a “Dates, Rates” array with a constant volatility in a third column. You must use
RM:BS in CapFloorStructure.
Maturity is expressed as a date or a code, such as “1Y”.
You must specify the rate of the current caplet or floorlet in the FirstRate argument, if the
instrument is already issued. You cannot calculate it from the zero-coupon yield curve.
CapFixedAmount and FloorFixedAmount can be a single value or an array of size N, where N
is the number of caplets or floorlets of the cap or floor. You must include “0” in CapFixedAmount
or FloorFixedAmount if you do not want to enter a rebate array in the function.
You must specify CAP, FLOOR, or COLLAR and FRQ keywords in the CapFloorStructure.
7.2.15. AdSwaptionDeriv
AdSwaptionDeriv(CalcDate As Variant, RateArray As Variant, SwapStartDate As
Variant, SwapMaturity As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, SwapStructure As String, OptionStructure As
String, RateStructure As String, CalcStructure As String, AdMode As String)
As Variant
Returns in an array all derivatives (delta, gamma, theta, vega) of an option on a swap.
116

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Settlement date
RateArray : Term structure array
SwapStartDate : Start date of the swap
SwapMaturity : Maturity date of the swap
ExpiryDate : Expiry date of the option
SpotPrice : Spot market rate of the swap
StrikePrice : Exercise or strike rate of the swap
SwapStructure : Extended argument defining the underlying swap
OptionStructure : Extended argument defining the option
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customizing the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 4-cell array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Theta : Theta ratio
Vega : Vega ratio
Notes
The table below describes the different forms of RateArray:
If you specify
RM:BS
RM:BDT
RM:HW
Then RateArray has the following columns
Dates, Rates, and a constant volatility
Dates, Rates, Volatilities
Dates, Rates, and constant volatility and mean-reversion
ExpiryDate is expressed as a date or a code, such as “1Y”.
7.2.16. AdSwaptionPremium
AdSwaptionPremium(CalcDate As Variant, RateArray As Variant, SwapStartDate
As Variant, SwapMaturity As Variant, ExpiryDate As Variant, SpotPrice As
Double, StrikePrice As Double, SwapStructure As String, OptionStructure As
String, RateStructure As String, CalcStructure As String) As Double
Calculates the premium of a swaption.
Arguments
CalcDate : Settlement date
RateArray : Term structure array
SwapStartDate : Start date of the swap
SwapMaturity : Maturity date of the swap
ExpiryDate : Expiry date of the option
SpotPrice : Spot market rate of the swap
StrikePrice : Exercise or strike rate of the swap
117

AdfinX Analytics 1.0 Function Library – User Guide
SwapStructure : Extended argument defining the underlying swap
OptionStructure : Extended argument defining the option
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option on a swap.
Notes
The table below describes the different forms of RateArray:
If you specify
RM:BS
RM:BDT
RM:HW
Then RateArray has the following columns
Dates, Rates, and a constant volatility
Dates, Rates, Volatilities
Dates, Rates, and constant volatility and mean-reversion
ExpiryDate is expressed as a date or a code, such as “1Y”.
The European mode is the only exercise mode available for a swaption when the keyword RM has
the values RM:BS or RM:HW.
7.2.17. OpCalcDeriv
OpCalcDeriv(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As Double,
StrikePrice As Double, Volatility As Double, RiskFreeRateArray As Variant,
ReturnArray As Variant, OptionStructure As String, RateStructure As String,
CalcStructure As String, AdMode As String) As Variant
Returns in an array all derivatives (delta, gamma, rho, theta, and vega) of an option on a security
(index, stock), a future, a commodity, or a currency.
Arguments
CalcDate : Calculation date of the option
ExpiryDate : Expiry date of the option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Strike price of the option
Volatility : Volatility of the underlying instrument
RiskFreeRateArray : Term structure array
ReturnArray : Constant yield or dividend array (Date, Dividend)
OptionStructure : Extended argument defining the option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode : Extended argument customising the return value
Return Value
The return value depends on the value of AdMode. The default value is a vertical 5-cell array
containing:
Delta : Delta ratio
Gamma : Gamma ratio
Rho : Rho ratio
118

AdfinX Analytics 1.0 Function Library – User Guide
Theta : Theta ratio
Vega : Vega ratio
The following values are also returned in the case of currency options:
ForeignDelta : Delta ratio in the foreign currency
ForeignRho : Rho ratio in the foreign currency
ForiegnTheta : Theta ratio in the foreign currency
ForeignVega : Vega ratio in the foreign currency
Notes
Depending on the model, the RiskFreeRateArray argument can be a constant yield or a (Date,
Rate) array, representing the zero-coupon curve.
The ReturnArray argument means:
- the carrying costs, in case of an option on a commodity
- the risk free rate of the foreign currency, in case of an option on a currency
- 0, in case of an option on a future
- the annual security yield, in case of an option on a stock
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
OptionStructure and RateStructure, through the keywords RATETYPE, RATEFRQ, RM or
DCB.
In the case of an option on a stock, the dividend rate(s) specified in ReturnArray can be
continuous, proportional, discounted or fixed. See Dividend Types section in the Adfin Options
Theory Guide.
You must include at least the option type in the OptionStructure, using the CALL or PUT
keywords.
You can calculate only one derivative when this derivative is specified in AdMode, by using the RES
keyword.
The RES:FDELTA , RES:FRHO , RES:FVEGA , and RES:FTHETA keywords in AdMode are only
available for a European currency option priced using the Black and Scholes Model.
You can calculate the derivatives of a Vanilla option with variable strike price, using the
EXM:DDMMMYY:DDMMMYY:i keyword in OptionStructure. See OptionStructure in the Adfin
Analytics Structures User Guide.
7.2.18. OpHistVol
OpHistVol(PriceArray As Variant, OpMode As String) As Double
Calculates the historical volatility of an option on a security (index, stock), a future, a commodity, or a
currency, from a set of underlying prices.
To define the type of prices used (either close prices, or high and low prices), use the HVM keyword in
AdMode.
Arguments
PriceArray : 1-dimensional (for HVM:CLOSE) or 2-dimensional (for HVM:HL) array containing
the prices (the orientation of this array should be specified with the LAY
keyword in OpMode if it is different from the default orientation)
OpMode : Extended argument customizing the return value
Return Value
The historical volatility of the option.
119

AdfinX Analytics 1.0 Function Library – User Guide
7.2.19. OpImpliedVol
OpImpliedVol(CalcDate As Variant, ExpiryDate As Variant, SpotPrice As Double,
StrikePrice As Double, Premium As Double, RiskFreeRateArray As Variant,
ReturnArray As Variant, OptionStructure As String, RateStructure As String,
CalcStructure As String) As Double
Calculates the implied volatility of an option on a security (index, stock), a future, a commodity, or a
currency, from the option premium.
Arguments
CalcDate : Calculation date of the option
ExpiryDate : Expiry date of the option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Strike price of the option
Premium : Premium of the option
RiskFreeRateArray : Term structure array
ReturnArray : Constant yield or dividend array (Date, Dividend)
OptionStructure : Extended argument defining the option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The implied volatility of the option.
Notes
Depending on the model, the RiskFreeRateArray argument can be a constant yield or a (Date,
Rate) array, representing the zero-coupon curve.
The ReturnArray argument means:
- the carrying costs, in case of an option on commodities
- the risk free rate of the foreign currency, in case of an option on currencies
- 0, in case of an option on futures
- the annual security yield, in case of an option on stocks
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
OptionStructure and RateStructure, through the keywords RATETYPE, RATEFRQ, RM or
DCB.
In the case of an option on a stock, the dividend rate(s) specified in ReturnArray can be
continuous, proportional, discounted or fixed. See Dividend Types section in the Adfin Options
Theory Guide.
You must include at least the option type in the OptionStructure, using the CALL or PUT
keywords.
If you want to calculate the implied volatility of an equity option and if you do not use SOLVER in
CalcStructure, Adfin Analytics applies the Newton-Raphson, dichotomy and Ridder methods
consecutively, until the implied volatility of the option is found. Adfin Analytics returns an error
message if the implied volatility cannot be calculated.
You can calculate the implied volatility of a Vanilla option with variable strike price, by using the
EXM:DDMMMYY:DDMMMYY:i keyword in OptionStructure. See OptionStructure in the Adfin
Analytics Structures User Guide.
7.2.20. OpPremium
OpPremium (CalcDate As Variant, ExpiryDate As Variant, SpotPrice As Double,
StrikePrice As Double, Volatility As Double, RiskFreeRateArray As Variant,
120

AdfinX Analytics 1.0 Function Library – User Guide
ReturnArray As Variant, OptionStructure As String, RateStructure As String,
CalcStructure As String) As Double
Calculates the premium of an option on a security (index, stock), a future, a commodity, or a currency.
Arguments
CalcDate : Calculation date of the option
ExpiryDate : Expiry date of the option
SpotPrice : Market or spot price of the underlying instrument
StrikePrice : Strike price of the option
Volatility : Anticipated volatility of the underlying instrument
RiskFreeRateArray : Term structure array
ReturnArray : Constant yield or dividend array (Date, Dividend)
OptionStructure : Extended argument defining the option structure
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
Return Value
The premium of the option.
Notes
Depending on the model, the RiskFreeRateArray argument can be a constant yield or a (Date,
Rate) array, representing the zero-coupon curve.
The ReturnArray argument means:
- the carrying costs, in case of an option on commodities
- the risk free rate of the foreign currency, in case of an option on currencies
- 0, in case of an option on futures
- the annual security yield, in case of an option on stocks
The ReturnArray and RiskFreeRateArray arguments can be defined respectively in
OptionStructure and RateStructure, through the keywords RATETYPE, RATEFRQ, RM or
DCB.
In the case of an option on a stock, the dividend rate(s) specified in ReturnArray can be
continuous, proportional, discounted or fixed. See Dividend Types section in the Adfin Options
Theory Guide.
You must include at least the option type in the OptionStructure, using the CALL or PUT
keywords.
You can calculate the premium of a Vanilla option with variable strike price, by using the
EXM:DDMMMYY:DDMMMYY:i keywords in OptionStructure. See OptionStructure in the
Adfin Analytics Structures User Guide.
121

AdfinX Analytics 1.0 Function Library – User Guide
8. ADFINX ADXSWAPMODULE CONTROL
8.1. ADXSWAPMODULE PROPERTIES
8.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxSwapModule control retrieves the last error code generated by
the object.
Arguments
This property takes no argument.
Example
Dim sw as AdxSwapModule : Declares an object of type AdxSwapModule
Set sw = New AdxSwapModule : Creates an AdxSwapModule object
If sw.ErrorCode 0 Then : sw.ErrorCode contains the error
MsgBox (sw.ErrorCode) : Displays the error code in a message box
End If
8.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxSwapModule component sets the error mode of the
AdxSwapModule. Three modes are defined:
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim sw as AdxSwapModule : Declares an object of type AdxSwapModule
Set sw = New AdxSwapModule : Creates an AdxSwapModule object
sw.ErrorMode = NO_EXCEPTION : sw.ErrorMode is set to NO_EXCEPTION
8.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxSwapModule retrieves the last error code generated by the
object with the associated error string.
122

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
This property takes no argument.
Example
Dim sw as AdxSwapModule : Declares an object of type AdxSwapModule
Set sw = New AdxSwapModule : Creates an AdxSwapModule object
sw.ErrorMode = EXCEPTION : sw.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an error
occurs
Res = sw.SwIrsCpnDates("1-MAR-04", "31Aug04", "1-Jun-02", "LBOTH FRQ:1
ACC:AA", "LAY:V")
: The RES keyword is not in AdMode. The function
SwIrsCpnDates returns an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(sw.ErrorString) : Displays the ErrorString in a message box
sw.ErrorString contains the ErrorString (‘Error#40cb –
SwMode: invalid value for RES keyword.’)
8.2. ADXSWAPMODULE METHODS
8.2.1. FrnCalcCpn
FrnCalcCpn(CalcDate As Variant, StartDate As Variant, Maturity As Variant,
CurrentIndex As Double, QuotedMargin As Double, FrnStructure As String,
FrnMode As String) As Variant
Returns all coupon features of a FRN in an array.
Arguments
CalcDate : Calculation date
StartDate : Start date of the FRN (issue date)
Maturity : Maturity date of the FRN
CurrentIndex : Index rate for the current coupon
QuotedMargin : Margin applied to the index
FrnStructure : Extended argument defining the FRN structure
FrnMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FrnMode. The default value is a vertical 5-cell array
containing:
PrevCpnDate : Previous coupon date
NextCpnDate : Next coupon date
AccruedDays : Number of accrued days calculated according to the accrued basis
AccruedInt : Accrued interest
123

AdfinX Analytics 1.0 Function Library – User Guide
NextCpnValue : Next coupon value
Note
The QM keyword in FrnStructure dedicated to the quoted margin is an alternative to the
QuotedMargin argument. When this keyword is used within the structure, a zero value in the
argument is required.
8.2.2. FrnCashFlows
FrnCashFlows(CalcDate As Variant, ZcDates As Variant, ZcRates As Variant,
StartDate As Variant, Maturity As Variant, QuotedMargin As Double,
FloatingRateArray As Variant, FrnStructure As String, FrnMode As String) As
Variant
Generates an array with the remaining cash flows of a floating rate instrument.
Arguments
CalcDate : Calculation date
ZcDates : Array of zero-coupon dates
ZcRates : Array of zero-coupon rates or discount factors
StartDate : Start date of the FRN (issue date)
Maturity : Maturity date of the FRN (expressed as a date or a code such as "1Y")
QuotedMargin : Margin applied to the index
FloatingRateArray : Array of floating leg rates
FrnStructure : Extended argument defining the FRN structure
FrnMode : Extended argument customizing the return value
Return Value
The return value depends on the value of FrnMode. The default value is a 4-column array containing
the following:
Payment Date
Cash flows expressed as a percentage
Rate expressed as a percentage
Discount factor expressed as a percentage
Notes
The QM keyword in FrnStructure dedicated to the quoted margin is an alternative to the
QuotedMargin argument. When this keyword is used within the structure, a zero value in the
argument is required.
The FloatingRateArray argument allows the simulation of the current index and the projected
index. In the case of a scenario without a date, the first index applies to the first cash flow, the
second index to the second cash flow, and so on. If there are more cash flows than indexes, the
remaining cash flows are derived from the last available index. When the current index is a
constant yield curve, the FloatingRateArray parameter is considered as the current index and
every forward cash flow is derived from the zero-coupon curve.
The LAY:H keyword, which describe the orientation of the result array in the FrnMode argument, is
mandatory when used in the FrnCashFlows function.
124

AdfinX Analytics 1.0 Function Library – User Guide
8.2.3. FrnMargin
FrnMargin(CalcDate As Variant, StartDate As Variant, Maturity As Variant, Px As
Double, QuotedMargin As Double, FloatingRateArray As Variant, FrnStructure As
String, FrnMode As String) As Double
Calculates the FRN price, margin or yield.
The expected result must be specified in FrnMode using the TO keyword. Similarly, the type of data
used in the Px argument must be specified using the FROM keyword.
Arguments
CalcDate : Calculation date
StartDate : Start date of the FRN (issue date)
Maturity : Maturity date of the FRN (expressed as a date or a code such as "1Y")
Px : Margin or yield expressed as a percentage or price expressed as a
percentage of the nominal
QuotedMargin : Margin applied to the index
FloatingRateArray :
Two-row array defining the value of the current index and the value of
the projected index
FrnStructure : Extended argument defining the FRN structure
FrnMode : Extended argument customizing the return value
Return Value
The return value is one of the following:
the clean price
the gross price
the adjusted price
the simple margin
the adjusted simple margin
the adjusted total margin
the discounted margin
the yield to maturity
the yield to maturity spread
Notes
The QM keyword in FrnStructure dedicated to the quoted margin is an alternative to the
QuotedMargin argument. When the QM keyword is used in the structure, a zero value in the
argument is required.
The FROM keyword of the FrnMode Argument specifies the data type of the Px argument of the
function. When it takes the value YS (“yield to maturity spread”), the user must be aware that the
input yield is always expressed in the FRN frequency.
8.2.4. FrnPx
FrnPx(CalcDate As Variant, ZcDates As Variant, ZcRates As Variant, StartDate As
Variant, Maturity As Variant, QuotedMargin As Double, FloatingRateArray As
Variant, FrnStructure As String, FrnMode As String) As Double
Calculates the price from a yield curve of a floating rate instrument.
Arguments
CalcDate : Calculation date
125

AdfinX Analytics 1.0 Function Library – User Guide
ZcDates : Array of zero-coupon dates
ZcRates : Array of zero-coupon rates or discount factors
StartDate : Start date of the FRN (issue date)
Maturity : Maturity date of the FRN (expressed as a date or a code such as "1Y")
QuotedMargin : Margin applied to the index
FloatingRateArray : Array of floating leg rates
FrnStructure : Extended argument defining the FRN structure
FrnMode : Extended argument customizing the return value
Return Value
The price of the FRN.
Notes
The QM keyword in FrnStructure dedicated to the quoted margin is an alternative to the
QuotedMargin argument. When the QM keyword is used in the structure, a zero value in the
argument is required.
The FloatingRateArray argument allows the simulation of the current index and the projected
index. In the case of a scenario without a date, the first index applies to the first cash flow, the
second index to the second cash flow and so on. If there are more cash flows than indexes, the
remaining cash flows are derived from the last available index. When the current index is a
constant yield curve, the FloatingRateArray parameter is considered as the current index and
every forward cash flow is derived from the zero-coupon curve.
8.2.5. SwCsCashFlows
SwCsCashFlows(CalcDate As Variant, StartDate As Variant, Maturity As Variant,
PaidRate As Double, CurPaidArray As Variant, ReceivedRate As Double,
CurReceivedArray As Variant, ZcPaidArray As Variant, ZcReceivedArray As
Variant, FxArray As Variant, CsStructure As String, SwMode As String) As
Variant
Generates an array with the remaining cash flows of the currency swap.
Arguments
CalcDate : Calculation date
StartDate : Start date of the currency swap (effective date)
Maturity : Maturity date of the currency swap (expressed as a date or a code
such as "1Y")
PaidRate : Fixed rate if the paid leg is fixed, floating rate spread as a percentage if
the paid leg is floating
CurPaidArray : Floating rate of the paid leg for the current calculation period if
applicable
ReceivedRate : Fixed rate if the received leg is fixed, floating rate spread as a
percentage if the received leg is floating
CurReceivedArray : Floating rate of the received leg for the current calculation period if
applicable
ZcPaidArray : Array of zero-coupon dates and rates or discount factors for the paid
leg
ZcReceivedArray : Array of zero-coupon dates and rates or discount factors for the
received leg
FxArray : Array of (N+1) cells x 2 cells (dates, rates) where N is the number of
swap point periods
126

AdfinX Analytics 1.0 Function Library – User Guide
The first line (row or column depending on the array orientation
specified with the LAY keyword) contains the spot date and the spot
rate for the cross-currency.
The other lines contain swap point period end dates and corresponding
swap point values for the cross-currency.
CsStructure : Extended argument defining the currency swap structure
SwMode : Extended argument customizing the return value
Return Value
The return value depends on the value of SwMode. The default value is a 18-column array containing
the following data for all remaining cash flows:
Column #1 : Date
Column #2 : Principal payment of the paid leg in the payment currency
Column #3 : Interest payment of the paid leg in the payment currency
Column #4 : Principal payment of the received leg in the received currency
Column #5 : Interest payment of the received leg in the received currency
Column #6 : Zero-coupon rate of the payment currency
Column #7 : Discount factor of the payment currency
Column #8 : Zero-coupon rate of the received currency
Column #9 : Discount factor of the received currency
Column #10 : Outright rate
Column #11 : Conversion rate to the discount currency for the paid leg
Column #12 : Conversion rate to the discount currency for the received leg
Column #13 : Discount factor in discount currency for the paid leg
Column #14 : Discount factor in discount currency for the received leg
Column #15 : Principal payment of the paid leg in the discount currency
Column #16 : Interest payment of the paid leg in the discount currency
Column #17 : Principal payment of the received leg in the discount currency
Column #18 : Interest payment of the received leg in the discount currency
Notes
The string value used for CsStructure cannot be empty. It must include at least the crosscurrency
("CROSS") and for each leg the leg type ("LTYPE") and the leg currency ("CUR").
If the current coupon period has not begun, the arguments CurPaidRate and
CurReceivedRate can be left to 0 to indicate that floating rates for the current calculation period
must be calculated from the zero-coupon yield curves
When the RET keyword is not specified in SwMode, the maximum number of cash flow returned
by the function is limited to 24. To return for instance 30 cash flows for a long term swap, use
"RET:A30".
8.2.6. SwCsPx
SwCsPx(CalcDate As Variant, StartDate As Variant, Maturity As Variant,
PaidRate As Double, CurPaidArray As Variant, ReceivedRate As Double,
CurReceivedArray As Variant, ZcPaidArray As Variant, ZcReceivedArray As
Variant, FxArray As Variant, CsStructure As String, SwMode As String) As
Variant
Calculates the net present value of a currency swap or one of its legs.
Arguments
CalcDate : Calculation date
127

AdfinX Analytics 1.0 Function Library – User Guide
StartDate : Start date of the currency swap (effective date)
Maturity : Maturity date of the currency swap (expressed as a date or a code
such as "1Y")
PaidRate : Fixed rate if the paid leg is fixed, floating rate spread as a percentage if
the paid leg is floating
CurPaidArray : Floating rate of the paid leg for the current calculation period if
applicable
ReceivedRate : Fixed rate if the received leg is fixed, floating rate spread as a
percentage if the received leg is floating
CurReceivedArray : Floating rate of the received leg for the current calculation period if
applicable
ZcPaidArray : Array of zero-coupon dates and rates or discount factors for the
payment currency
ZcReceivedArray : Array of zero-coupon dates and rates or discount factors for the
received currency
FxArray : Array of (N+1) cells x 2 cells (dates, rates) where N is the number of
swap point periods
The first line (row or column depending on the array orientation
specified with the LAY keyword) contains the spot date and the spot
rate for the cross-currency.
The other lines contain swap point period end dates and corresponding
swap point values for the cross-currency.
CsStructure : Extended argument defining the currency swap structure
SwMode : Extended argument customizing the return value
Return Value
The return value depends on the value of SwMode. The default value is a 3-row array containing:
SwapNPV : Net present value of the swap in the discount currency
FloatingLegNPV : Net present value of the floating leg in the discount currency
FixedLegNPV : Net present value of the fixed leg in the discount currency
Notes
The string value used for CsStructure cannot be empty. It must include at least the crosscurrency
("CROSS") and for each leg the leg type ("LTYPE") and the leg currency ("CUR").
If the current coupon period has not begun, the arguments CurPaidRate and
CurReceivedRate can be left to 0 to indicate that floating rates for the current calculation period
must be calculated from the zero-coupon yield curves
8.2.7. SwCsSolve
SwCsSolve(CalcDate As Variant, StartDate As Variant, Maturity As Variant,
PaidRate As Double, CurPaidArray As Variant, ReceivedRate As Double,
CurReceivedArray As Variant, ZcPaidArray As Variant, ZcReceivedArray As
Variant, FxArray As Variant, NetPresentValue As Double, CsStructure As String,
SwMode As String) As Double
Calculates the paid rate or the received rate spread for any leg equivalent to a predefined net present
value.
To specify for which leg the fixed rate or the floating rate spread is calculated, use the RES keyword
in SwMode ("RES:PAID" or "RES:RECEIVED").
128

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
StartDate : Start date of the currency swap (effective date)
Maturity : Maturity date of the currency swap (expressed as a date or a code
such as "1Y")
PaidRate : Fixed rate if the paid leg is fixed, floating rate spread as a percentage if
the paid leg is floating
CurPaidArray : Floating rate of the paid leg for the current calculation period if
applicable
ReceivedRate : Fixed rate if the received leg is fixed, floating rate spread as a
percentage if the received leg is floating
CurReceivedArray : Floating rate of the received leg for the current calculation period if
applicable
ZcPaidArray : Array of zero-coupon dates and rates or discount factors for the
payment currency
ZcReceivedArray : Array of zero-coupon dates and rates or discount factors for the
received currency
FxArray : Array of (N+1) cells x 2 cells (dates, rates) where N is the number of
swap point periods
The first line (row or column depending on the array orientation
specified with the LAY keyword) contains the spot date and the spot
rate for the cross-currency.
The other lines contain swap point period end dates and corresponding
swap point values for the cross-currency.
NetPresentValue : Present value of the swap or one of its legs in the discount currency
CsStructure : Extended argument defining the currency swap structure
SwMode : Extended argument customizing the return value
Return Value
The fixed rate expressed as a real value or the floating rate spread in basis points for the paid leg (with
"RES:PAID") or the received leg (with "RES:RECEIVED").
Notes
The string value used for CsStructure cannot be empty. It must include at least the crosscurrency
("CROSS") and for each leg the leg type ("LTYPE") and the leg currency ("CUR").
If NetPresentValue stands for the net present value of the paid leg ("PXT:PAID"), only the
fixed rate or floating rate spread of the paid leg is calculated. Similarly, if NetPresentValue
stands for the net present value of the received leg ("PXT:RECEIVED"), only the fixed rate or the
floating rate spread of the received leg is calculated.
If the current coupon period has not begun, the arguments CurPaidRate and
CurReceivedRate can be left to 0 to indicate that floating rates for the current calculation period
must be calculated from the zero-coupon yield curves
8.2.8. SwIrsCashFlows
SwIrsCashFlows(CalcDate As Variant, ZcDates As Variant, ZcRates As Variant,
StartDate As Variant, Maturity As Variant, FixedRate As Double,
CurFloatingRate As Variant, IrsStructure As String, SwMode As String) As
Variant
Generates an array with the remaining cash flows of the interest rate swap.
129

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
ZcDates : Array of zero-coupon dates
ZcRates : Array of zero-coupon rates or discount factors
StartDate : Start date of the interest rate swap (effective date)
Maturity : Maturity date of the interest rate swap (expressed as a date or a code
such as "1Y")
FixedRate : Rate of the swap fixed leg
CurFloatingRate : Rate of the swap floating leg for the current calculation period
IrsStructure : Extended argument defining the interest rate swap structure
SwMode : Extended argument customizing the return value
Return Value
The return value depends on the value of SwMode. The default value is a vertical 5-column array
("RET:Ai:ABCDE") containing the following data for all remaining cash flows:
Column A : Date
Column B : Floating payment (if applicable)
Column C : Fixed payment (if applicable)
Column D : Zero-coupon rate
Column E : Discount factor
The following array configurations are also provided:
RET:Ai:AB+{D,E} : Floating payment schedule (the zero-coupon rates or discount factors
are optional)
RET:Ai:AC+{D,E} : Fixed payment schedule (the zero-coupon rates or discount factors are
optional)
When this array function is used as a standard function, only the first element is returned. Similarly,
when used with a horizontal array, only the first element is returned into all cells of the array. To return
a correct array use "LAY:H" as SwMode.
Notes
By default, Adfin Swaps assumes that the fixed rate is paid and the floating rate is received.
Otherwise, use "PAID:FLOAT" in the IrsStructure argument.
If the current coupon period has not begun, the argument CurFloatingRate can be left to 0 to
indicate that the floating rate for the current calculation period must be calculated from the zerocoupon
yield curve.
When the RET keyword is not specified in SwMode, the maximum number of cash flow returned
by the function is limited to 24. To return for instance 30 cash flows for a long term swap, use
"RET:A30".
8.2.9. SwIrsCpnDates
SwIrsCpnDates (CalcDate As Variant, StartDate As Variant, Maturity As Variant,
IrsStructure As String, SwMode As String) As Variant
Generates an array with the coupon dates of one swap leg.
The leg type must be specified in SwMode using the RES keyword ("RES:FIXED" or
"RES:FLOAT").
130

AdfinX Analytics 1.0 Function Library – User Guide
Arguments
CalcDate : Calculation date
StartDate : Start date of the interest rate swap (effective date)
Maturity : Maturity date of the interest rate swap (expressed as a date or a code such as
"1Y")
IrsStructure : Extended argument defining the interest rate swap structure
SwMode : Extended argument customizing the return value
Return Value
The return value is a 1-column array containing the fixed leg coupon dates (with "RES:FIXED") or
the floating leg coupon dates (with "RES:FLOAT").
8.2.10. SwIrsPvbpCrv
SwIrsPx(CalcDate As Variant, ZcDates As Variant, ZcRates As Variant, StartDate
As Variant, Maturity As Variant, FixedRate As Double, CurFloatingRate As
Variant, IrsStructure As String, SwMode As String) As Variant
Calculates the price variation per basis point of a swap or one of its legs for each point of a zerocoupon
yield curve.
Arguments
CalcDate : Calculation date
ZcDates : Array of zero-coupon dates
ZcRates : Array of zero-coupon rates or discount factors
StartDate : Start date of the interest rate swap (effective date)
Maturity : Maturity date of the interest rate swap (expressed as a date or a code such
as "1Y")
FixedRate : Rate of the swap fixed leg
CurFloatingRate : Rate of the swap floating leg for the current calculation period
IrsStructure : Extended argument defining the interest rate swap structure
SwMode : Extended argument customizing the return value
Return Value
The function returns a 2-dimensional array containing the curve dates and corresponding sensitivity
values for the swap, for the floating leg of the swap, and for the fixed leg of the swap.
Notes
If the current coupon period has not begun, the argument CurFloatingRate can be left to 0 to
indicate that the floating rate for the current calculation period must be calculated from the zerocoupon
yield curve.
The calculation is performed by default with a zero-coupon rate or discount factor change epsilon
equal to 1 basis point (0.01%), but this value can be changed using the "SHIFT" keyword in
SwMode.
131

AdfinX Analytics 1.0 Function Library – User Guide
8.2.11. SwIrsPx
SwIrsPx(CalcDate As Variant, ZcDates As Variant, ZcRates As Variant, StartDate
As Variant, Maturity As Variant, FixedRate As Double, CurFloatingRate As
Variant, IrsStructure As String, SwMode As String) As Variant
Calculates the net present value of a swap or one of its legs.
Arguments
CalcDate : Calculation date
ZcDates : Array of zero-coupon dates
ZcRates : Array of zero-coupon rates or discount factors
StartDate : Start date of the interest rate swap (effective date)
Maturity : Maturity date of the interest rate swap (expressed as a date or a code such
as "1Y")
FixedRate : Rate of the swap fixed leg
CurFloatingRate : Rate of the swap floating leg for the current calculation period
IrsStructure : Extended argument defining the interest rate swap structure
SwMode : Extended argument customizing the return value
Return Value
The return value depends on the value of SwMode. The default value is a vertical 3-cell array
containing:
SwapNPV : Net present value of the swap
FloatingLegNPV : Net present value of the floating leg
FixedLegNPV : Net present value of the fixed leg
Notes
By default, AdfinX Swaps assumes that the fixed rate is paid and the floating rate is received.
Otherwise, use "PAID:FLOAT" in the IrsStructure.
If the current coupon period has not begun, the argument CurFloatingRate can be left to 0 to
indicate that the floating rate for the current calculation period must be calculated from the zerocoupon
yield curve.
8.2.12. SwIrsSolve
SwIrsSolve(CalcDate As Variant, ZcDates As Variant, ZcRates As Variant,
StartDate As Variant, Maturity As Variant, FixedRate As Double,
CurFloatingRate As Variant, NetPresentValue As Double, IrsStructure As String,
SwMode As String) As Double
Calculates the fixed rate or the floating rate spread equivalent to a predefined net present value.
To distinguish from both cases, the expected result must be specified in SwMode using the RES
keyword ("RES:FIXED" or "RES:FLOAT").
By default, AdfinX Swaps assumes that the NetPresentValue argument stands for the net present
value of the swap. To use the net present value of one of the swap legs, use the PXT keyword in
SwMode.
Arguments
CalcDate : Calculation date
132

AdfinX Analytics 1.0 Function Library – User Guide
ZcDates : Array of zero-coupon dates
ZcRates : Array of zero-coupon rates or discount factors
StartDate : Start date of the interest rate swap (effective date)
Maturity : Maturity date of the interest rate swap (expressed as a date or a code such
as "1Y")
FixedRate : Rate of the swap fixed leg
CurFloatingRate : Rate of the swap floating leg for the current calculation period
NetPresentValue : Present value of the swap or one of its legs
IrsStructure : Extended argument defining the interest rate swap structure
SwMode : Extended argument customizing the return value
Return Value
The fixed rate expressed as a real value (with "RES:FIXED") or the floating rate spread in basis
points (with "RES:FLOAT").
Notes
If NetPresentValue stands for the net present value of the fixed leg ("PXT:FIXED"), only the
fixed rate is calculated. Similarly, if NetPresentValue stands for the net present value of the
floating leg ("PXT:FLOAT"), only the floating rate spread is calculated.
If the current coupon period has not begun, the argument CurFloatingRate can be left to 0 to
indicate that the floating rate for the current calculation period must be calculated from the zerocoupon
yield curve.
8.2.13. SwSwpExtend
SwSwpExtend(CalcDate As Variant, StartDate As Variant, Maturity As Variant,
PaidRate As Double, CurPaidArray As Variant, ReceivedRate As Double,
CurReceivedArray As Variant, ZcPaidArray As Variant, ZcReceivedArray As
Variant, FxArray As Variant, NetPresentValue As Double, CsStructure As String,
SwMode As String) As Variant
Calculates the swap point at maturity date equivalent to a spread/fixed rate and to a predefined net
present value.
Arguments
CalcDate : Calculation date
StartDate : Start date of the currency swap (effective date)
Maturity : Maturity date of the currency swap (expressed as a date or a code
such as "1Y")
PaidRate : Fixed rate if the paid leg is fixed, floating rate spread as a percentage if
the paid leg is floating
CurPaidArray : Floating rate if the paid leg for the current calculation period if
applicable
ReceivedRate : Fixed rate of the received leg is fixed, floating rate spread if the
received leg is floating
CurReceivedArray : Floating rate of the received leg for the current calculation period if
applicable
ZcPaidArray : Array of zero-coupon dates and rates or discount factors for the
payment currency
ZcReceivedArray : Array of zero-coupon dates and rates or discount factors for the
received currency
FxArray : Array of (N+1) cells x 2 cells (dates, rates) where N is the number of
swap point periods
133

AdfinX Analytics 1.0 Function Library – User Guide
The first line (row or column depending on the array orientation
specified with the LAY keyword) contains the spot date and the spot
rate for the cross-currency.
The other lines contain swap point period end dates and
corresponding swap point values for the cross-currency.
NetPresentValue : Present value of the swap or one of its legs in discount currency
CsStructure : Extended argument defining the currency swap structure
SwMode : Extended argument customizing the return value
Return Value
The return value depends on the value of SwMode. The default value is a 2-row array containing:
Date : Date
SwapPoint : Swap point corresponding to NetPresentValue
Notes
The string value used for CsStructure cannot be empty. It must include at least the crosscurrency
("CROSS") and for each leg the leg type ("LTYPE") and the leg currency ("CUR").
If NetPresentValue stands for the net present value of the paid leg ("PXT:PAID"), only the
fixed rate or floating rate spread of the paid leg is calculated. Similarly, if NetPresentValue
stands for the net present value of the received leg ("PXT:RECEIVED"), only the fixed rate or the
floating rate spread of the received leg is calculated.
If the current coupon period has not begun, the arguments CurPaidRate and
CurReceivedRate can be left to 0 to indicate that floating rates for the current calculation period
must be calculated from the zero-coupon yield curves
134

AdfinX Analytics 1.0 Function Library – User Guide
9. ADFINX ADXYIELDCURVEMODULE CONTROL
9.1. ADXYIELDCURVEMODULE PROPERTIES
9.1.1. ErrorCode
ErrorCode() As Long
The ErrorCode property of the AdxYieldCurveModule control retrieves the last error code
generated by the object.
Arguments
This property takes no argument.
Example
Dim yc as AdxYieldCurveModule : Declares an object of type
AdxYieldCurveModule
Set yc = New AdxYieldCurveModule : Creates an AdxYieldCurveModule object
If yc.ErrorCode 0 Then : yc.ErrorCode contains the error
MsgBox (yc.ErrorCode) : Displays the error code in a message box
End If
9.1.2. ErrorMode
ErrorMode() As AdxErrorMode
The ErrorMode property of the AdxYieldCurveModule component sets the error mode. Three
modes are defined:
DIALOGBOX : In this mode a dialog box is displayed when an error occurs
EXCEPTION : In this mode an exception is thrown when an error occurs
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered
Arguments
This property takes no argument.
Note
By default the error mode is set to EXCEPTION.
Example
Dim yc as AdxYieldCurveModule : Declares an object of type
AdxYieldCurveModule
Set yc = New AdxYieldCurveModule : Creates an AdxYieldCurveModule object
yc.ErrorMode = NO_EXCEPTION : yc.ErrorMode is set to NO_EXCEPTION
135

AdfinX Analytics 1.0 Function Library – User Guide
9.1.3. ErrorString
ErrorString() As String
The ErrorString property of the AdxYieldCurveModule retrieves the last error code
generated by the object with the associated error string.
Arguments
This property takes no argument.
Example
Dim yc as AdxYieldCurveModule : Declares an object of variable type
AdxYieldCurveModule
Set yc = New AdxYieldCurveModule : Creates an AdxYieldCurveModule object
yc.ErrorMode = EXCEPTION : yc.ErrorMode must be set to EXCEPTION to use the
ErrorString
On Error Go To Handle : Error handler executes code after Handle when an
error occurs
Res = yc.AdFutDates("CLDR:CAN YB:360 CUR:CAB NBQC:8 NBMC:3", "Mo", "LAY:V")
: The maturity code should be MO. The function
AdFutDates returns an error
Exit Sub : Exits sub or function before the handle or code will be
executed
Handle
MsgBox(yc.ErrorString) : Displays the ErrorString in a message box
yc.ErrorString contains the ErrorString (‘Error#4009 –
Maturity code: invalid value.’)
9.2. ADXYIELDCURVEMODULE METHODS
9.2.1. AdCalibrate
=AdCalibrate(InputArray As Variant, ZCArray As Variant, StartOutputArray As
Variant, RateStructure As String, CalcStructure As String, AdMode As
String) As Variant
Calculates the model parameters (dates, rates and volatility curve or dates, rates, volatility plus meanreversion
curve) from an array of instruments.
Arguments
InputArray : Array of instruments as described later
ZCArray : (Date, Zero-coupon yield) array describing the zero-coupon curve
StartOutputArray : Start points of the output parameters
RateStructure : Extended argument defining the structure of the interest rate model
CalcStructure : Extended argument defining the calculation method
AdMode:
Extended argument customizing the return value
Return Value
The return value depends on the rate model specified in the RateStructure and on the AdMode.
136

AdfinX Analytics 1.0 Function Library – User Guide
Black, Derman, and Toy model:
The return value depends on AdMode. The default value is a vertical array (RET:Ai) containing the
following data:
Dates : Zero-coupon dates
Rates : Zero-coupon rates
Volatilities : Short rate volatilities if VOLTYPE:SR is specified and yield volatilities of
the zero-coupon maturing at this date if VOLTYPE:ZC is specified in
the RateStructure.
Hull and White model:
The return value depends on AdMode. The default value is a vertical array (RET:Ai) containing the
following parameter array:
Dates : Zero-coupon dates
Rates : Zero-coupon rates
Volatilities : Short rate volatilities
Mean-Reversion : Mean-reversion curve
If not already in the ZCArray, the returned value adds the dates and the rates, volatilities and
mean-reversions at these dates corresponding to the dates of the StartOutputArray.
If not specified, the volatility and mean-reversion is presumed constant in the case of the Hull and
White model. Their start values are respectively 0.01 and 0.1 (arbitrary choice).
In the case of the Black, Derman, and Toy model, the start values are the spot volatilities of the
forward rates, or of the swap rates induced from the market volatilities.
Notes
The InputArray can contain any subset of the following groups of instruments: caps, floors, or
swaptions. However, cap, floors, and swaptions cannot be mixed when calibrating the Hull and
White or the Black, Derman, and Toy model. Caps and floors can be mixed in the InputArray.
The maturity dates must be strictly increasing in the case of the Black, Derman, and Toy model.
InputArray must contain the following data:
Type StartDate Maturity Spot rate Expiry Date Market Structure1
Volatilities
Structure2
“C” for
caps
Start date
of the cap
Maturity date
or code of
the cap
Spot rate Not applicable Market
Volatilities
Not applicable
CapFloorStructure
“F” for
floors
Start date
of the floor
Maturity date
or code of
the floor
Spot rate Not applicable Market
Volatilities
Not applicable
CapFloorStructure
“S” for
swaptions
Start date
of the
swap
Maturity date
or code of
the swap
Spot rate
Expiry Date of
the swaption
Market
Volatilities
OptionStructure
SwapStructure
When using BDT, the TITER keyword in the Calcstructure should be the same to calibrate the
model as the one to price instruments with this model in order to limit numeric noise.
When using HW, the calculation method should be CMT:FORM as caps, floors and (European)
swaptions can be computed analytically.
137

AdfinX Analytics 1.0 Function Library – User Guide
9.2.2. AdFutCodes
=AdFutCodes(CalcDate As Variant, StirFutStructure As String, YcMode As String)
As Variant
Calculates the next maturity codes for a STIR futures contract.
Arguments
CalcDate : Calculation date
StirFutStructure : Extended argument defining the STIR futures contract
YcMode : Extended argument customizing the return value
Return Value
The return value depends on the value of YcMode. The default value is vertical array containing the 2-
character codes of contracts (e.g. "Z6") maturing after CalcDate.
When the RET keyword is not specified in YcMode, the maximum number of codes returned by the
function is limited to 15. To return for instance 30 codes, use RET:A30.
The resulting array can serve as a basis for determining instrument codes and hedging period dates.
Notes
The next futures contract maturity can be skipped using the keyword ROLL in YcMode.
Odd contracts (i.e. contract maturities, which do not fall in either March, June, September or
December) can be skipped using the keyword ODD in YcMode.
9.2.3. AdFutDates
=AdFutDates(StirFutStructure As String, MaturityCode, YcMode As String)
Calculates the start date and the end date of a STIR futures contract hedging period.
Arguments
StirFutStructure : Extended argument defining the STIR futures contract
MaturityCode : 2-character string defining the contract maturity (example : "Z6" , codes
can be obtained using AdFutCodes)
YcMode : Extended argument customizing the return value
Return Value
The return value depends on the value of YcMode. The default value is a vertical 2-cell array
containing:
FutStartDate : Start date of the period (third Wednesday of the contract delivery month)
FutEndDate : End date of the period (FutStartDate + 3 months)
The resulting array can serve as a basis for determining a zero-coupon yield curve from futures.
9.2.4. AdRate
=AdRate(CalcDate As Variant, DateArray As Variant, RateArray As Variant,
RateStructure As String, AdMode As String) As Variant
138

AdfinX Analytics 1.0 Function Library – User Guide
Calculates the discount factors for an array of dates, using one of the following term structure models:
Vasicek-Fong model
standard bootstrapping model
basis-spline models
Black, Derman, and Toy
Hull and White yield-to-maturity model
Arguments
CalcDate : Calculation date of the yield curve
DateArray : Input array of dates
RateArray : Term structure array
RateStructure : Extended argument defining the structure of the interest rate model
AdMode : Extended argument customizing the return value
Return value
The return value is a vertical column array containing for each date in DateArray the discount factor
computed with the model specified by the RateStructure.
Notes
The table below describes you the different forms of RateArray:
If you specify
RM:YTM
RM:VF
RM:BSPLINE
RM:YC
RM:BDT
RM:HW
Then RateArray is
a single value
a 1-column array, which contains the Vasicek-Fong coefficients
a 2-column array, which contains the dates and rates
a 2-column array, which contains the dates and discount factors (or
rates) of a zero-coupon yield curve
a 3-column array, which contains the dates, rates and volatilities
a 3-column array, which contains the dates, rates, volatilities and meanreversion
In standard bootstrapping, Black, Derman, and Toy, and Hull and White models, the discount
factors are interpolated from the dates defined in RateArray.
Use the IM keyword in RateStructure to define the type of interpolation.
Use the ZCTYPE keyword in RateStructure to specify the values of RateArray as rates or
discount factors.
If the dates in DateArray used for the interpolation are not within the range of the RateArray,
the function may either extrapolate or return an error message depending on value of the OBC
keyword.
9.2.5. AdTermStructure
=AdTermStructure(InstrumentArray As Variant, RateStructure As String, AdMode
As String) As Variant
Depending on the model specified by the RM keyword, the function calculates a zero-coupon yield
curve from an array of instruments, using:
Vasicek-Fong model
standard Bootstrapping model
139

AdfinX Analytics 1.0 Function Library – User Guide
regression or smoothing basis-spline models
Arguments
InstrumentArray : Array of instruments
RateStructure : Extended argument defining the structure of the interest rate structure
AdMode : Extended argument customizing the return value
Return value
The return value depends on the method used to calculate the yield curve and the AdMode structure.
Bootstrapping model:
The return value is a vertical 2-column array ("RET:Ai") containing the following data for each start
date and end date in the input array:
Date : Zero-coupon date
Rate : Zero-coupon rate or discount factor depending on the ZCTYPE keyword
Vasicek-Fong model:
The return value depends on AdMode. The default value is a vertical array containing:
Yield Curve Start Date
Alpha : Alpha coefficient
Beta0 : Beta0 coefficient
Beta1 : Beta1 coefficient
Beta2 : Beta2 coefficient
Beta3 : Beta3 coefficient
Basis-spline model:
The return value depends on AdMode. The default value is a vertical 2-column array containing:
• dates of knots and fitness and smoothness parameters in the two last rows of the array
• linear coefficients of the forward function in the basis-sline base
Notes
You must specify either RM:YC keyword in RateStructure to use the bootstrapping model,
RM:VF to use the Vasicek-Fong model, or RM:BSPLINE to use the basis-spline model.
Bootstrapping model:
The InstrumentArray can contain any subset of the following groups of instruments: deposits,
bonds, STIR futures, or interest rate swaps. The rule for overlapping is that the longer-term
instruments have priority. For example, deposits are used only until the first futures maturity; futures
are used only until the first IRS maturity. However, it is possible to mix bonds and swaps.
The InstrumentArray must contain the following data:
Type StartDate Maturity Coupon Market Price
& Rate
Structure
“D” for
deposits
Start date of
the period (1)
End date of
the period (1)
Not
applicable
Rate
Currency
Style
“F” for STIR Start date of End date of Not Implied STIR
140

AdfinX Analytics 1.0 Function Library – User Guide
futures the period (2) the period (2) applicable forward rate Future style
“S” for IRS
Start date of
the swap
Maturity code
or maturity
date
Current
floating rate
(3)
Fixed swap
rate
Swap
Structure
“B” for bonds
Settlement
date of the
bond (4)
Maturity date
of the bond
Coupon
rate of the
bond
Price (5)
Bond Style
or Structure
(1) The date can be calculated using FxCalcPeriod
(2) The date can be calculated using AdFutCodes and AdFutDates
(3) If left at 0, the current floating rate is interpolated from the yield curve
(4) The date can be calculated using BdSettle
(5) Clean price or gross price according to the default setting in the BOND category
The “Coupon” column must be included in the InstrumentArray even if you are not using bonds to
generate the zero-coupon curve. The column must contain either “0” or no value.
The size of the InstrumentArray cannot exceed 48 instruments. If the size exceeds 23
instruments, use the keyword RET to display all the dates and zero-coupon rates or discount factors.
Vasicek-Fong model:
The InstrumentArray contains only bond instruments:
Type StartDate Maturity Coupon Market Price Structure
“B” for
Maturity date
Price
Bond Style
bonds
of the bond
or Structure
Settlement
date of the
bond
Coupon
rate of the
bond
The instrument array does not handle callable and puttable bonds, index-linked bonds, and FRNs. The
bonds sample must be homogenous. The model should have at least between 10 and 15 bonds to
ensure accuracy. You can choose the value of the Vasicek-Fong coefficient Alpha using the
VFALPHA keyword in RateStructureYou can also specify a model with duration using the MDWA
keyword in RateStructure
Basis-spline models:
The InstrumentArray contains zero-coupon or fixed-coupon bonds, which have the same rating
and liquidity:
Type StartDate Maturity Coupon Market Price Structure
“B” for
Maturity date
Price (2) Bond Style
bonds
of the bond
or Structure
Settlement
date of the
bond (1)
Coupon
rate of the
bond
(1) The date can be calculated using BdSettle
(2) Clean price or gross price according to the default setting in the BOND category (expressed as a
percentage of the nominal)
The instrument array does not handle callable and puttable bonds, index-linked bonds, and FRNs. You
choose the number of knot-points of the basis-spline function using the NBKNOT keyword in
RateStructure. You specify the SMOOTH keyword value in RateStructure to apply the related basisspline
method. You specify the MDWA keyword value in RateStructure to choose a type of
minimization of the residual errors between market and model prices.
141

AdfinX Analytics 1.0 Function Library – User Guide
10. GENERAL IDENTIFIERS
10.1. ERRORMODE
10.1.1. AdxErrorMode
AdxErrorMode
DIALOGBOX : In this mode a dialog box is displayed when an error occurs.
EXCEPTION : In this mode an exception is thrown when an error occurs.
NO_EXCEPTION : In this mode the user must call the property ErrorCode to know the error
encountered.
142

AdfinX Analytics 1.0 Function Library – User Guide
11. BACKWARD COMPATIBILITY
This section explains the compatibility issues between AdfinX Analytics 1.0 Function Library and the
previous version.
11.1. COMPATIBILITY
The new version of AdfinX Analytics Function Library is compatible with the previous ones. The
functions and modules that can be exposed in your VBA editor are the same.
New functions are available in the Bonds, Options, YieldCurves and Exotics Modules. A new module
called “AdxConvBondModule” is also added.
11.2. NAMING DIFFERENCES
This section describes the differences between old and new AdfinX Analytics Libraries.
The following table explains the naming differences.
The name of Was in PowerPlus Pro 4.0 Is in Power Plus Pro 4.5
The library
Note:
YOU CAN FIND THE
LIBRARY LABELS IN
THE REFERENCES
ITEM OF THE
PROJECT MENU OF
YOUR VBA EDITOR.
THE DYNAMIC
LINKED LIBRARY
The library used in the
source code
A control
Note:
You can find the control
labels in the Object…
item of the Insert menu
of Excel.
A control used in the
source code
…
…
…
…
“AdfinX Analytics Bonds 1.2
Library”
“AdfinX Analytics Dates 1.2
Library”
“AdfinX Analytics Exotics 1.2
Library”
Bdx.dll for Bonds module
Dfx.dll for Dates module
Exx.dll for Exotics module
“AdfinXBonds”
“AdfinXDates”
“AdfinXExotics”
“AdfinX Analytics
BondModule Control”
“AdfinX Analytics DateModule
Control”
“AdfinX Analytics
ExoticModule Control”
“AdxBondModule”
“AdxDateModule”
“AdfinX Analytics 1.0 Function
Library”
Note:
All AdfinX Analytics libraries are
now grouped under one name.
AdXfo.dll
Note:
All AdfinX Analytics dlls are now
grouped under one name.
“ADFINXANALYTICSFUNCTIONS”
Note:
All AdfinX Analytics libraries are
now grouped under one name.
…
“AdfinX Analytics 1.0
AdxBondModule Control”
“AdfinX Analytics 1.0
AdxDateModule Control”
“AdfinX Analytics 1.0
AdxExoticModule Control”
“AdxBondModule”
“AdxDateModule”
143

AdfinX Analytics 1.0 Function Library – User Guide
“AdxExoticModule”
“AdxExoticModule”
Note:
The other modules concerned by these changes are:
Forex
Options
Swaps
Utilities
Yield Curves
11.3. HOW TO MIGRATE YOUR CODE
This section explains how to migrate your code written with the old version of the AdfinX Analytics
Function Library to the new one.
You must make a series of changes to reuse your old code with AdfinX Analytics 1.0 Function Library.
The table below shows you how to migrate your code.
IF
You use C++ samples
THEN
1 Import the dynamic linked library in you code:
#IMPORT “ADXFO.DLL”
2 Replace the library names with “AdfinXAnalyticsFunctions”
You use VBA code
1 Remove the old controls from your spreadsheet.
2 Replace the library names with “AdfinXAnalyticsFunctions”
See Naming Differences.
Note:
The spreadsheet you use may be corrupted when
removing references to the old version of AdfinX Analytics.
In this case, make sure that all references are removed
and save the spreadsheet with a different name.
3 Insert new controls using the same names as old ones.
Your VBA code then does not change.
144

AdfinX Analytics 1.0 Function Library – User Guide
12. TROUBLESHOOTING
This section introduces a particular feature in AdfinX Analytics 1.0 Function Library. If you use VBA
code, you must specify Variant function parameters with the .Value extension. The following code
is an example of how to use this extension in the OpHistVol function.
Example
Public Function OpxHistVol(PriceArray As Variant, OpMode As String) As
Variant
On Error GoTo ErrHnd
Dim fn As New AdfinXAnalyticsFunctions.AdxOptionModule
OpxHistVol = fn.OpHistVol(PriceArray.Value, OpMode)
Exit Function
ErrHnd:
OpxHistVol = Err.Source & " " & Err.Description
End Function
If you do not use the .Value extension, an error message appears:
AdfinXAnalyticsFunctions.AdxOptionModule.1 ERROR #0 - Missing
or invalid Resource
145