COM component

The Quantz COM component lets you use all the Quantz toolkit functions from Visual Basic, C++ or any other language or environment that can use ActiveX controls or COM components. The library:

is based on the same C++ calculation library as the Excel add-in interface for consistency.
incorporates all the functions in the Excel toolkit. The function signatures are similar to the Excel add-in library to allow easy migration from one library version to another.
can use the same reference asset database as the Excel add-in or an external database.
can be used for:
- research analytics or complex market analysis
- trading book P&L, hedging and tactical risk calculations
- calculating regular prices or term sheets for distribution
- valulation in back office transaction systems or middle office risk systems
is ideal for use once the number of transactions or the quantity of data to be analysed increases.
can be integrated into existing trading, risk management or back office systems.

Here is a Visual Basic code example:

logTitle ("define risky curves with bond prices")

polishCurve = quantzLibrary.DefineBondPriceCurve(thisUSDRiskFreeCurve, "Poland", thisValuationDate, "Poland 04", 100.4698)
log (polishCurve)

bmwCurve = quantzLibrary.DefineBondPriceCurve(thisUSDRiskFreeCurve, "BMW", thisValuationDate, "BMW 04", 105.5455)
log (bmwCurve)

vwCurve = quantzLibrary.DefineBondPriceCurve(thisDEMRiskFreeCurve, "VW", thisValuationDate, "Volkswagen 03", 111.9946)
log (vwCurve)

phillipMorrisCurve = quantzLibrary.DefineBondPriceCurve(thisUSDRiskFreeCurve, "Phillip Morris", thisValuationDate, "Phillip Morris 05", 105.6999)
log (phillipMorrisCurve)

logTitle ("price a new cds (minimum parameters with bond)")
thisCDS = quantzLibrary.DefineCreditDefaultSwap("Poland 04 CDS", "Poland 04", polishCurve, 0.25)
log (thisCDS)

Call log(asRate("premium", quantzLibrary.GetPremium(thisCDS)))
Call log(asRate("value", quantzLibrary.GetValue(thisCDS)))

logTitle ("price a new cds (minimum parameters without bond)")
thisCDS = quantzLibrary.DefineCreditDefaultSwap("BMW 2y CDS", , bmwCurve, 0.25, , "2y")
log (thisCDS)

Call log(asRate("premium", quantzLibrary.GetPremium(thisCDS)))
Call log(asRate("value", quantzLibrary.GetValue(thisCDS)))

logTitle ("price a new cds (with all parameters)")
thisCDS = quantzLibrary.DefineCreditDefaultSwap("Volkswagen 03 CDS", "Volkswagen 03", vwCurve, 0.25, #9/25/1998#, "18m", 0, 4, "act/360", "6m", "3b", "same day", "last day")
log (thisCDS)

Call log(asRate("premium", quantzLibrary.GetPremium(thisCDS)))
Call log(asRate("value", quantzLibrary.GetValue(thisCDS)))

log ("premium cash flows")
Dim theseCashFlows() As Variant
Call quantzLibrary.GetCashflows(thisCDS, , theseCashFlows)
Call logCashFlows(theseCashFlows)