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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 constructed using numerix.

Results

Result instances for each trade instance.

Output Arguments

R

Results from Numerix table output represented as MATLAB data types.

Attributes

Accesspublic
Staticfalse
Hiddenfalse

To learn about attributes of methods, see Method Attributes (MATLAB).

Examples

expand all

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}

Introduced in R2013b