parseResults

Class: numerix

Converts Numerix CAIL data to MATLAB data types

Syntax

R = parseResults(N,Results)


Description

R = parseResults(N,Results) returns Numerix^® CAIL data in native MATLAB^® data types.

Input Arguments

N — Numerix object

object

Numerix object constructed using numerix.

Results — Result instances for each trade instance

Numerix CAIL trade

Result instances for each trade instance.

Output Arguments

R — Row information for Numerix CAIL data

character vector | numeric

Results from Numerix table output represented as MATLAB data types.

Attributes

Access	public
Static	false
Hidden	false

To learn about attributes of methods, see Method Attributes.

Examples

Return Results for Numerix CAIL API to Price a Callable Reverse Floater

Initialize Numerix environment.

import com.numerix.integration.*;
import com.numerix.integration.implementation.*;

n = numerix('i:\NumeriX_java_10_3_0\data')

n = 

              Path: 'i:\NumeriX_java_10_3_0\data'
    RepositoryPath: 'i:\NumeriX_java_10_3_0\data\Repository'
        Repository: [1x1 com.numerix.integration.implementation.FileSystemRepository]
           Context: [1x1 com.numerix.integration.implementation.LocalCalculationContext]
       LookupsPath: 'i:\NumeriX_java_10_3_0\data\Data\LookupRules'
       MarketsPath: 'i:\NumeriX_java_10_3_0\data\Data\Markets'
       FixingsPath: 'i:\NumeriX_java_10_3_0\data\Data\Fixings'
        TradesPath: 'i:\NumeriX_java_10_3_0\data\Data\Trades'
        Parameters: [1x1 com.numerix.integration.implementation.CalculationParameters]

Create a market.

quotes = java.util.HashMap;
quotes.put('IR.USD-LIBOR-3M.SWAP-1Y.MID', 0.0066056);
quotes.put('IR.USD-LIBOR-3M.SWAP-10Y.MID', 0.022465005);
quotes.put('IR.USD-LIBOR-3M.SWAP-20Y.MID', 0.027544995);
market = Market('EOD_14-NOV-2011', DateExtensions.date('14-Nov-2011'), quotes.entrySet);

Define a trade instance based on instrument template found in the Repository.

tradeDescriptor = 'TRADE.IR.CALLABLEREVERSEFLOATER';
tradeParameters = java.util.HashMap;
tradeParameters.put('Trade ID','1001');
tradeParameters.put('Quote Type', 'MID');
tradeParameters.put('Currency', 'USD');
tradeParameters.put('Notional', 1000000.0);
tradeParameters.put('Effective Date', DateExtensions.date('1-Dec-2011'));
tradeParameters.put('Termination Date', DateExtensions.date('1-Dec-2021'));
tradeParameters.put('IR Index', 'LIBOR');
tradeParameters.put('IR Index Tenor', '3M');
tradeParameters.put('Structured Freq', '3M');
tradeParameters.put('Structured Side', 'Receive');
tradeParameters.put('Structured Coupon Floor', 0.0);
tradeParameters.put('Structured Coupon UpBd', 0.08);
tradeParameters.put('StructuredCoupon Multiplier', 1.4);
tradeParameters.put('Structured Coupon Cap', 0.05);
tradeParameters.put('Structured Basis', 'ACT/360');
tradeParameters.put('Funding Freq', '3M');
tradeParameters.put('Funding Side', 'Pay');
tradeParameters.put('Funding Spread', 0.003);
tradeParameters.put('Funding Basis', 'ACT/360');
tradeParameters.put('Call Start Date', DateExtensions.date('1-Dec-2013'));
tradeParameters.put('Call End Date', DateExtensions.date('1-Dec-2020'));
tradeParameters.put('Option Side', 'Short');
tradeParameters.put('Option Type', 'Right to Terminate');
tradeParameters.put('Call Frequency', '3M');
tradeParameters.put('Model', 'IR.USD-LIBOR-3M.MID.DET');
tradeParameters.put('Method', 'BackwardAnalytic');

Create a trade instance.

trade = RepositoryExtensions.createTradeInstance(n.Repository, tradeDescriptor, tradeParameters);

Price the trades.

results = CalculationContextExtensions.calculate(n.Context, trade, market, Request.getAll);

Parse the results for MATLAB and display.

r = n.parseResults(results)
disp([r.Name r.Category r.Currency r.Data])

r = 

    Category: {13x1 cell}
    Currency: {13x1 cell}
        Name: {13x1 cell}
        Data: {13x1 cell}

    'Reporting Currency'           'Price'       ''       'USD'        
    'Structured Cashflow Log'      'Cashflow'    ''        {41x20 cell}
    'Structured Leg PV Accrued'    'Price'       'USD'    [          0]
    'PV'                           'Price'       'USD'    [ 6.4133e+04]
    'Structured Leg PV Clean'      'Price'       'USD'    [ 4.2637e+05]
    'Option PV'                    'Price'       'USD'    [-1.3220e+05]
    'Funding Cashflow Log'         'Cashflow'    ''        {41x20 cell}
    'Structured Leg PV'            'Price'       'USD'    [ 4.2637e+05]
    'Funding Leg PV'               'Price'       'USD'    [-2.3004e+05]
    'Funding Leg PV Accrued'       'Price'       'USD'    [          0]
    'Funding Leg PV Clean'         'Price'       'USD'    [-2.3004e+05]
    'Yield Risk Report'            ''            ''        { 4x30 cell}
    'Messages'                     ''            ''        { 4x1  cell}

Version History

Introduced in R2013b