Overview

functions to construct and use CapFloor objects.

Function List

qlCapFloor ()
qlCapFloorAtmRate ()
qlCapFloorCapRates ()
qlCapFloorFloorRates ()
qlCapFloorImpliedVolatility ()
qlCapFloorLegAnalysis ()
qlCapFloorMaturityDate ()
qlCapFloorStartDate ()
qlCapFloorType ()
qlMakeCapFloor ()

Function Documentation

qlCapFloor

string returnValue
 
qlCapFloor(
        string ObjectId
        string OptionType
        string LegID
        vector<double> Strikes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CapFloor and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
OptionType	option type (cap or floor).
LegID	coupon vector.
Strikes	strikes.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCapFloorAtmRate

double returnValue
 
qlCapFloorAtmRate(
        string ObjectId
        string YieldCurve
        any Trigger)

Description:

Returns the at-the-money rate for the given CapFloor object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CapFloor object
YieldCurve	discounting YieldTermStructure object ID.
Trigger	dependency tracking trigger

qlCapFloorCapRates

vector<double> returnValue
 
qlCapFloorCapRates(
        string ObjectId
        any Trigger)

Description:

Returns the cap rates for the given CapFloor object.

Supported Platforms:

Excel

Parameters

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

qlCapFloorFloorRates

vector<double> returnValue
 
qlCapFloorFloorRates(
        string ObjectId
        any Trigger)

Description:

Returns the floor rates for the given CapFloor object.

Supported Platforms:

Excel

Parameters

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

qlCapFloorImpliedVolatility

double returnValue
 
qlCapFloorImpliedVolatility(
        string ObjectId
        double Price
        string YieldCurve
        double Guess
        double Accuracy
        long MaxIter
        double MinVol
        double MaxVol
        string VolatilityType
        double Displacement
        any Trigger)

Description:

Returns the volatility implied by the given price for the given CapFloor object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CapFloor object
Price	Price used to infer the implied volatility.
YieldCurve	discounting YieldTermStructure object ID.
Guess	Volatility guess. Default value = 0.10.
Accuracy	solver accuracy. Default value = 1.0e-6.
MaxIter	solver max iterations. Default value = 100.
MinVol	Minimum volatility, no lower solution. Default value = 1.0e-7.
MaxVol	Maximum volatility, no higher solution. Default value = 4.0.
VolatilityType	Volatility type. Default value = ShiftedLognormal.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlCapFloorLegAnalysis

vector<vector<any> > returnValue
 
qlCapFloorLegAnalysis(
        string ObjectId
        long AfterDate
        any Trigger)

Description:

Returns the cash flow analysis for the given CapFloor object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::CapFloor object
AfterDate	Shows only cashflows after given date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlCapFloorMaturityDate

long returnValue
 
qlCapFloorMaturityDate(
        string ObjectId
        any Trigger)

Description:

Returns the maturity (i.e. last payment) date for the given CapFloor object.

Supported Platforms:

Excel, Calc

Parameters

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

qlCapFloorStartDate

long returnValue
 
qlCapFloorStartDate(
        string ObjectId
        any Trigger)

Description:

Returns the start (i.e. first accrual) date for the given CapFloor object.

Supported Platforms:

Excel, Calc

Parameters

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

qlCapFloorType

string returnValue
 
qlCapFloorType(
        string ObjectId
        any Trigger)

Description:

Returns the type (e.g. Cap, Floor) for the given CapFloor object.

Supported Platforms:

Excel

Parameters

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

qlMakeCapFloor

string returnValue
 
qlMakeCapFloor(
        string ObjectId
        string OptionType
        string Length
        string IborIndex
        double Strike
        string ForwardStart
        string PricingEngineID
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CapFloor and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
OptionType	option type (Cap or Floor).
Length	as period (e.g. 10Y).
IborIndex	floating IborIndex object ID.
Strike	strike. Default value = QuantLib::Null<QuantLib::Rate>().
ForwardStart	as period (if zero days the first caplet is removed).
PricingEngineID	CapFloor PricingEngine object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag