CalibrationHelpers

Overview

functions to construct and use Calibration Helpers objects.

Function List

qlCalibrationHelperImpliedVolatility ()
qlCalibrationHelperSetPricingEngine ()
qlModelG2Calibrate ()
qlOneFactorAffineModelCalibrate ()
qlSwaptionHelper ()
qlSwaptionHelperModelValue ()

Function Documentation

qlCalibrationHelperImpliedVolatility

double returnValue
 
qlCalibrationHelperImpliedVolatility(
        string ObjectId
        double TargetValue
        double Accuracy
        long MaxEvaluations
        double MinVol
        double MaxVol
        any Trigger)

Description:

Set the priging engine for the given SwaptionHelper object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::BlackCalibrationHelper object
TargetValue	target value.
Accuracy	accuracy.
MaxEvaluations	max evaluations.
MinVol	min vol.
MaxVol	max vol.
Trigger	dependency tracking trigger

qlCalibrationHelperSetPricingEngine

void returnValue
 
qlCalibrationHelperSetPricingEngine(
        string ObjectId
        string PricingEngine
        any Trigger)

Description:

Set the priging engine for the given SwaptionHelper object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::BlackCalibrationHelper object
PricingEngine	PricingEngine object ID.
Trigger	dependency tracking trigger

qlModelG2Calibrate

void returnValue
 
qlModelG2Calibrate(
        string ObjectId
        vector<string> CalibrationHelpers
        string Method
        string EndCriteria
        string Constraint
        vector<double> Weights
        vector<bool> FixedCoeff
        any Trigger)

Description:

calibrate a model.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::G2 object
CalibrationHelpers	vector of calibration-helpers.
Method	OptimizationMethod object ID.
EndCriteria	EndCriteria object ID.
Constraint	Constraint.
Weights	weights. Default value = .
FixedCoeff	TRUE if the i-th coefficient must be kept fixed in later calibrations, FALSE otherwise. Default value = .
Trigger	dependency tracking trigger

qlOneFactorAffineModelCalibrate

void returnValue
 
qlOneFactorAffineModelCalibrate(
        string ObjectId
        vector<string> CalibrationHelpers
        string Method
        string EndCriteria
        string Constraint
        vector<double> Weights
        vector<bool> FixedCoeff
        any Trigger)

Description:

calibrate a model.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::OneFactorAffineModel object
CalibrationHelpers	vector of calibration-helpers.
Method	OptimizationMethod object ID.
EndCriteria	EndCriteria object ID.
Constraint	Constraint.
Weights	weights. Default value = .
FixedCoeff	TRUE if the i-th coefficient must be kept fixed in later calibrations, FALSE otherwise. Default value = .
Trigger	dependency tracking trigger

qlSwaptionHelper

string returnValue
 
qlSwaptionHelper(
        string ObjectId
        string OptionTenor
        string Length
        string Volatility
        string IborIndex
        string FixedLegTenor
        string FixedLegDayCounter
        string FloatingLegDayCounter
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SwaptionHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
OptionTenor	option tenor as Period (e.g. '5Y').
Length	option length.
Volatility	volatility quote.
IborIndex	IborIndex object ID.
FixedLegTenor	fixed leg tenor.
FixedLegDayCounter	fixed leg day-counter.
FloatingLegDayCounter	floating leg day-counter.
YieldCurve	YieldTermStructure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwaptionHelperModelValue

double returnValue
 
qlSwaptionHelperModelValue(
        string ObjectId
        any Trigger)

Description:

Set the priging engine for the given SwaptionHelper object.

Supported Platforms:

Excel, Calc

Parameters

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