Abcd

Overview

functions to construct and use Abcd objects.

Function List

qlAbcdCalibration ()
qlAbcdCalibrationA ()
qlAbcdCalibrationB ()
qlAbcdCalibrationC ()
qlAbcdCalibrationCompute ()
qlAbcdCalibrationD ()
qlAbcdCalibrationEndCriteria ()
qlAbcdCalibrationError ()
qlAbcdCalibrationK ()
qlAbcdCalibrationMaxError ()
qlAbcdDFunction ()
qlAbcdFunction ()
qlAbcdFunctionA ()
qlAbcdFunctionB ()
qlAbcdFunctionC ()
qlAbcdFunctionCovariance ()
qlAbcdFunctionD ()
qlAbcdFunctionInstantaneousCovariance ()
qlAbcdFunctionInstantaneousValue ()
qlAbcdFunctionInstantaneousVariance ()
qlAbcdFunctionInstantaneousVolatility ()
qlAbcdFunctionLongTermVolatility ()
qlAbcdFunctionMaximumLocation ()
qlAbcdFunctionMaximumVolatility ()
qlAbcdFunctionShortTermVolatility ()
qlAbcdFunctionVariance ()
qlAbcdFunctionVolatility ()

Function Documentation

qlAbcdCalibration

string returnValue
 
qlAbcdCalibration(
        string ObjectId
        vector<double> Times
        vector<double> BlackVols
        double A
        double B
        double C
        double D
        bool AIsFixed
        bool BIsFixed
        bool CIsFixed
        bool DIsFixed
        bool VegaWeighted
        string EndCriteria
        string Method
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class AbcdCalibration and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Times	times.
BlackVols	Black Volatilities.
A	the a coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = -0.06.
B	the b coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.17.
C	the c coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.54.
D	the d coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.17.
AIsFixed	TRUE if the a coefficient must be kept fixed in later calibrations. Default value = false.
BIsFixed	TRUE if the a coefficient must be kept fixed in later calibrations. Default value = false.
CIsFixed	TRUE if the a coefficient must be kept fixed in later calibrations. Default value = false.
DIsFixed	TRUE if the a coefficient must be kept fixed in later calibrations. Default value = false.
VegaWeighted	TRUE if the interpolation is weighted using options Vega. Default value = false.
EndCriteria	EndCriteria object ID. Default value = .
Method	OptimizationMethod object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlAbcdCalibrationA

double returnValue
 
qlAbcdCalibrationA(
        string ObjectId
        any Trigger)

Description:

Returns the a coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Trigger	dependency tracking trigger

qlAbcdCalibrationB

double returnValue
 
qlAbcdCalibrationB(
        string ObjectId
        any Trigger)

Description:

Returns the a coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Trigger	dependency tracking trigger

qlAbcdCalibrationC

double returnValue
 
qlAbcdCalibrationC(
        string ObjectId
        any Trigger)

Description:

Returns the a coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Trigger	dependency tracking trigger

qlAbcdCalibrationCompute

void returnValue
 
qlAbcdCalibrationCompute(
        string ObjectId
        any Trigger)

Description:

compute calibration.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Trigger	dependency tracking trigger

qlAbcdCalibrationD

double returnValue
 
qlAbcdCalibrationD(
        string ObjectId
        any Trigger)

Description:

Returns the a coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Trigger	dependency tracking trigger

qlAbcdCalibrationEndCriteria

string returnValue
 
qlAbcdCalibrationEndCriteria(
        string ObjectId
        any Trigger)

Description:

Calibrates the a, b, c, d parameters of the vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Trigger	dependency tracking trigger

qlAbcdCalibrationError

double returnValue
 
qlAbcdCalibrationError(
        string ObjectId
        any Trigger)

Description:

Returns the root mean squared error between the abdc implied Black vols and a given Black vol vector.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Trigger	dependency tracking trigger

qlAbcdCalibrationK

vector<double> returnValue
 
qlAbcdCalibrationK(
        string ObjectId
        vector<double> Times
        vector<double> BlackVols
        any Trigger)

Description:

Returns the 'k' adjustment factors needed to match Black vols.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Times	times.
BlackVols	Black Volatilities.
Trigger	dependency tracking trigger

qlAbcdCalibrationMaxError

double returnValue
 
qlAbcdCalibrationMaxError(
        string ObjectId
        any Trigger)

Description:

Returs the max error between the abdc implied Black vols and a given Black vol vector.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdCalibration object
Trigger	dependency tracking trigger

qlAbcdDFunction

double returnValue
 
qlAbcdDFunction(
        string ObjectId
        any Trigger)

Description:

Returns the a coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunction

string returnValue
 
qlAbcdFunction(
        string ObjectId
        double A
        double B
        double C
        double D
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class AbcdFunction and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
A	the a coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = -0.06.
B	the b coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.17.
C	the c coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.54.
D	the d coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.17.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlAbcdFunctionA

double returnValue
 
qlAbcdFunctionA(
        string ObjectId
        any Trigger)

Description:

Returns the a coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunctionB

double returnValue
 
qlAbcdFunctionB(
        string ObjectId
        any Trigger)

Description:

Returns the b coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunctionC

double returnValue
 
qlAbcdFunctionC(
        string ObjectId
        any Trigger)

Description:

Returns the c coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunctionCovariance

vector<double> returnValue
 
qlAbcdFunctionCovariance(
        string ObjectId
        double TMin
        vector<double> TMax
        double T
        double S
        any Trigger)

Description:

Returns covariance(s) in [tMin,tMax] between T and S rate fixing times.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
TMin	lower bound of the covariance integral.
TMax	upper bound(s) of the covariance integral(s).
T	fixing calendar time of first rate.
S	fixing calendar time of second rate.
Trigger	dependency tracking trigger

qlAbcdFunctionD

double returnValue
 
qlAbcdFunctionD(
        string ObjectId
        any Trigger)

Description:

Returns the d coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunctionInstantaneousCovariance

vector<double> returnValue
 
qlAbcdFunctionInstantaneousCovariance(
        string ObjectId
        vector<double> U
        double T
        double S
        any Trigger)

Description:

Returns covariance at calendar time u between T and S rates fixing times.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
U	calendar time(s).
T	fixing time of first rate.
S	fixing time of second rate.
Trigger	dependency tracking trigger

qlAbcdFunctionInstantaneousValue

vector<double> returnValue
 
qlAbcdFunctionInstantaneousValue(
        string ObjectId
        vector<double> U
        any Trigger)

Description:

Returns the instantaneous volatility as function of residual time to maturity u=T-t: [a + b*u] * e^{-c*u} + d.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
U	residual time(s) to maturity.
Trigger	dependency tracking trigger

qlAbcdFunctionInstantaneousVariance

vector<double> returnValue
 
qlAbcdFunctionInstantaneousVariance(
        string ObjectId
        vector<double> U
        double T
        any Trigger)

Description:

Returns variance at calendar time(s) u of T-fixing rate.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
U	calendar time(s).
T	fixing time of the rate.
Trigger	dependency tracking trigger

qlAbcdFunctionInstantaneousVolatility

vector<double> returnValue
 
qlAbcdFunctionInstantaneousVolatility(
        string ObjectId
        vector<double> U
        double T
        any Trigger)

Description:

Returns volatility/ies at calendar time(s) u of T-fixing rate.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
U	calendar time(s).
T	fixing calendar time of the rate.
Trigger	dependency tracking trigger

qlAbcdFunctionLongTermVolatility

double returnValue
 
qlAbcdFunctionLongTermVolatility(
        string ObjectId
        any Trigger)

Description:

Returns the long term volatility implied by Abcd volatility.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunctionMaximumLocation

double returnValue
 
qlAbcdFunctionMaximumLocation(
        string ObjectId
        any Trigger)

Description:

Returns, if b is positive, the location of the Abcd volatility maximum.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunctionMaximumVolatility

double returnValue
 
qlAbcdFunctionMaximumVolatility(
        string ObjectId
        any Trigger)

Description:

Returns, if b is positive, the maximum of the Abcd volatility.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunctionShortTermVolatility

double returnValue
 
qlAbcdFunctionShortTermVolatility(
        string ObjectId
        any Trigger)

Description:

Returns the short term volatility implied by Abcd volatility.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
Trigger	dependency tracking trigger

qlAbcdFunctionVariance

vector<double> returnValue
 
qlAbcdFunctionVariance(
        string ObjectId
        double TMin
        vector<double> TMax
        double T
        any Trigger)

Description:

Returns variance(s) in [tMin,tMax] of T rate fixing time.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
TMin	lower bound of the covariance integral.
TMax	upper bound of the covariance integral.
T	fixing calendar time of the rate.
Trigger	dependency tracking trigger

qlAbcdFunctionVolatility

vector<double> returnValue
 
qlAbcdFunctionVolatility(
        string ObjectId
        double TMin
        vector<double> TMax
        double T
        any Trigger)

Description:

Returns volatility/ies in [tMin,tMax] of T rate fixing time.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdFunction object
TMin	lower bound of the covariance integral.
TMax	upper bound(s) of the covariance integral(s).
T	fixing calendar time of the rate.
Trigger	dependency tracking trigger