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.

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.

Notes

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