Structured Products (OTC Derivatives and Structured Deposits) Related Functions

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Constructor Functions

Excel: =McpStructureDef(packageName, structure, schedule1, payoff, schedule2)

Python: McpStructureDef(pkg_name, structure, schedules, payoff)

• Function: Defines the structure of a structured product.
• Parameters:
  • packageName: Package name.
  • structure: Structure definition, containing the following fields:
    • Dates: Date definitions.
    • Strikes: Strike price definitions.
    • StrikesStructure: Strike price conditions.
    • Arguments: Parameters such as interest rates and principal.
    • Calendar: Holiday calendar.
    • Basis: Day count convention.
  • schedule1: Schedule definition 1, containing the following fields:
    • ScheduleName: Name of the schedule definition.
    • StartDate: Start date.
    • EndDate: End date.
    • Frequency: Frequency.
    • Calendar: Holiday calendar.
    • DateAdjuster: Date adjustment rule.
    • EndtoEnd: End-of-month rule.
    • LongStub: Long stub.
    • EndStub: End stub.
  • payoff: Payoff definition, specifying the logic.
  • schedule2: Schedule definition 2 (generated from schedule definition 1).
• Returns: Structured product definition object.

Excel: =McpXScriptStructure(args1, args2, args3, args4, args5, fmt='VP|HD')

Python: McpXScriptStructure(*args)

• Function: Constructs an XScriptStructure object.
• Parameters:
  • args1~args5 or *args: Parameter groups, containing the following fields:
    • Underlying: Product.
    • ReferenceDate: Trading or valuation date.
    • PackageName: Package name.
    • Spot: Spot price.
    • BuySell: Buy or sell direction (buy or sell).
    • StartDate: Start date.
    • ExpiryDate: Expiry date.
    • PremiumDate: Option premium payment date.
    • Calendar: Holiday calendar.
    • LowerBarrier: Lower barrier price.
    • UpperBarrier: Upper barrier price.
    • HighYield: High yield.
    • MidYield: Medium yield.
    • LowYield: Low yield.
    • Notional: Principal.
    • ObservationSchedule/Frequency: Frequency in the schedule definition.
    • ObservationSchedule/StartDate: Start time in the schedule definition.
    • ObservationSchedule/EndDate: End time in the schedule definition.
    • NumSimulation: Number of simulations.
    • LocalVol: LocalVol object.
    • LogLevel: Log level.
    • DiscountRateCurve: Discount rate curve.
  • fmt: Parameter format (default VP|HD),Excel-specific parameters.
• Returns: XScriptStructure object.

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Utility Functions

Excel: =XssPrice(obj, isAmount=True)

Python: Price(isAmount=True)

• Function: Calculates the option premium.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isAmount: Whether to return the amount (default True, returns the amount; False returns the rate).
• Returns: Option premium.

Excel: =XssAnnualizedPrice(obj)

Python: AnnualizedPrice()

• Function: Calculates the annualized yield.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
• Returns: Annualized yield.

Excel: =XssMarketValue(obj, isAmount=True)

Python: MarketValue(isAmount=True)

• Function: Calculates the market value.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isAmount: Whether to return the amount (default True).
• Returns: Market value.

Excel: =XssDelta(obj, isCCY2=True, isAmount=True)

Python: Delta(isCCY2=False, isAmount=True)

• Function: Calculates Delta.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isCCY2: Whether to price in CCY2 (default True).
  • isAmount: Whether to return the amount (default True).
• Returns: Delta.

Excel: =XssForwardDelta(obj, isCCY2=True, isAmount=True)

Python: ForwardDelta(isCCY2=False, isAmount=True)

• Function: Calculates Forward Delta.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isCCY2: Whether to price in CCY2 (default True).
  • isAmount: Whether to return the amount (default True).
• Returns: Forward Delta.

Excel: =XssGamma(obj, isCCY2=True, isAmount=True)

Python: Gamma(isCCY2=False, isAmount=True)

• Function: Calculates Gamma.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isCCY2: Whether to price in CCY2 (default True).
  • isAmount: Whether to return the amount (default True).
• Returns: Gamma.

Excel: =XssTheta(obj, isCCY2=True, isAmount=True)

Python: Theta(isCCY2=False, isAmount=True)

• Function: Calculates Theta.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isCCY2: Whether to price in CCY2 (default True).
  • isAmount: Whether to return the amount (default True).
• Returns: Theta.

Excel: =XssRho(obj, isCCY2=True, isAmount=True)

Python: Rho(isCCY2=False, isAmount=True)

• Function: Calculates Rho.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isCCY2: Whether to price in CCY2 (default True).
  • isAmount: Whether to return the amount (default True).
• Returns: Rho.

Excel: =XssVanna(obj, isCCY2=True, isAmount=True)

Python: Vanna(isCCY2=False, isAmount=True)

• Function: Calculates Vanna.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isCCY2: Whether to price in CCY2 (default True).
  • isAmount: Whether to return the amount (default True).
• Returns: Vanna.

Excel: =XssVolga(obj, isCCY2=True, isAmount=True)

Python: Volga(isCCY2=False, isAmount=True)

• Function: Calculates Volga.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isCCY2: Whether to price in CCY2 (default True).
  • isAmount: Whether to return the amount (default True).
• Returns: Volga.

Excel: =XssVega(obj, isCCY2=True, isAmount=True)

Python: Vega(isCCY2=False, isAmount=True)

• Function: Calculates Vega.
• Parameters:
  • obj: XScriptStructure object,Python API does not require this parameter.
  • isCCY2: Whether to price in CCY2 (default True).
  • isAmount: Whether to return the amount (default True).
• Returns: Vega.

Excel: =XssPV(obj, isAmount=True)

Python: PV(isAmount)

• Function: Calculates the present value of the XScriptStructure object.
• Parameters:
  • obj: XScriptStructure object, used to calculate the present value,Python API does not require this parameter.
  • isAmount: Boolean, default value True, indicating whether to calculate by amount.
• Returns: Present value calculation result.

Excel: =McpProductEvents(prod)

• Function: Generates Payoff.
• Parameters:
  • prod: XScriptStructure object.
• Returns: Payoff result.

Excel: =SolverFromPremium(priceObj, premium, targetField, x0=1.0, bracket=(-100, 100), method='bisect', options={'maxiter': 50, 'xtol': 1e-6}, isAnnualized=False)

• Function: Back-calculates the target value based on the option premium or annualized rate.
• Parameters:
  • priceObj: XScriptStructure object.
  • premium: Option premium or annualized rate.
  • targetField: Target field for calculation.
  • x0: Initial estimate (default 1.0).
  • bracket: Range of guess values (default (-100, 100)).
  • method: Solver method (default bisect).
  • options: Maximum iterations (default 50), tolerance precision (default 1e-6).
  • isAnnualized: Whether it is an annualized rate (default False).
• Returns: Back-calculated result.

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Notes

1. Parameter Format: The fmt parameter specifies the parameter format, with a default value of VP|HD.
2. Enumeration Values: Some parameters (e.g., BuySell, DateAdjuster) are enumeration values and should refer to specific definitions.
3. Default Values: Parameters not explicitly stated usually have default values and can be adjusted as needed.