Caplet Volatility Term Structures

Overview

functions to construct and use OptionletVolatilityStructure objects.

Function List

qlCapFloorTermVTSVolatility ()
qlCapFloorTermVTSVolatility2 ()
qlCapFloorTermVolCurve ()
qlCapFloorTermVolCurveOptionDates ()
qlCapFloorTermVolCurveOptionTenors ()
qlCapFloorTermVolSurface ()
qlCapFloorTermVolSurfaceOptionDates ()
qlCapFloorTermVolSurfaceOptionTenors ()
qlCapFloorTermVolSurfaceStrikes ()
qlConstantOptionletVolatility ()
qlOptionletStripper1 ()
qlOptionletStripper1CapFloorPrices ()
qlOptionletStripper1CapFloorVolatilities ()
qlOptionletStripper1OptionletPrices ()
qlOptionletStripper1SwitchStrike ()
qlOptionletStripper2 ()
qlOptionletStripper2AtmCapFloorPrices ()
qlOptionletStripper2AtmCapFloorStrikes ()
qlOptionletStripper2SpreadsVol ()
qlOptionletStripperOptionletAccrualPeriods ()
qlOptionletStripperOptionletFixingTenors ()
qlOptionletStripperOptionletPaymentDates ()
qlOptionletVTSBlackVariance ()
qlOptionletVTSBlackVariance2 ()
qlOptionletVTSVolatility ()
qlOptionletVTSVolatility2 ()
qlRelinkableHandleOptionletVolatilityStructure ()
qlSpreadedOptionletVolatility ()
qlStrippedOptionlet ()
qlStrippedOptionletAdapter ()
qlStrippedOptionletBaseAtmOptionletRates ()
qlStrippedOptionletBaseBusinessDayConvention ()
qlStrippedOptionletBaseCalendar ()
qlStrippedOptionletBaseDayCounter ()
qlStrippedOptionletBaseOptionletFixingDates ()
qlStrippedOptionletBaseOptionletFixingTimes ()
qlStrippedOptionletBaseOptionletVolatilities ()
qlStrippedOptionletBaseSettlementDays ()
qlStrippedOptionletBaseStrikes ()

Function Documentation

qlCapFloorTermVTSVolatility

vector<double> returnValue
 
qlCapFloorTermVTSVolatility(
        string ObjectId
        long OptionDate
        vector<double> Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns volatility from the given CapFloorTermVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CapFloorTermVolatilityStructure object
OptionDate	caplet/floorlet expiry date.
Strike	caplet/floorlet strike.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlCapFloorTermVTSVolatility2

vector<double> returnValue
 
qlCapFloorTermVTSVolatility2(
        string ObjectId
        string OptionTenor
        vector<double> Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns volatility from the given CapFloorTermVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CapFloorTermVolatilityStructure object
OptionTenor	caplet/floorlet option tenor.
Strike	caplet/floorlet strike.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlCapFloorTermVolCurve

string returnValue
 
qlCapFloorTermVolCurve(
        string ObjectId
        long SettlementDays
        string Calendar
        string BusinessDayConvention
        vector<string> OptionTenors
        vector<string> Volatilities
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CapFloorTermVolCurve and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
SettlementDays	number of settlement days.
Calendar	holiday calendar used for calculating the exercise dates from the expiries tenor.
BusinessDayConvention	Business day convention used for calculating the exercise dates from the expiries.
OptionTenors	option tenors.
Volatilities	vol quotes vector.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCapFloorTermVolCurveOptionDates

vector<long> returnValue
 
qlCapFloorTermVolCurveOptionDates(
        string ObjectId
        any Trigger)

Description:

Returns the option dates from the given CapFloorTermVolCurve object.

Supported Platforms:

Excel

Parameters

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

qlCapFloorTermVolCurveOptionTenors

vector<string> returnValue
 
qlCapFloorTermVolCurveOptionTenors(
        string ObjectId
        any Trigger)

Description:

Returns the option tenors from the given CapFloorTermVolCurve object.

Supported Platforms:

Excel

Parameters

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

qlCapFloorTermVolSurface

string returnValue
 
qlCapFloorTermVolSurface(
        string ObjectId
        long SettlementDays
        string Calendar
        string BusinessDayConvention
        vector<string> OptionTenors
        vector<double> Strikes
        vector<vector<string> > Volatilities
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CapFloorTermVolSurface and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
SettlementDays	number of settlement days.
Calendar	holiday calendar used for calculating the exercise dates from the expiries tenor.
BusinessDayConvention	Business day convention used for calculating the exercise dates from the expiries.
OptionTenors	option tenors.
Strikes	cap strikes.
Volatilities	vol quotes matrix.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCapFloorTermVolSurfaceOptionDates

vector<long> returnValue
 
qlCapFloorTermVolSurfaceOptionDates(
        string ObjectId
        any Trigger)

Description:

Returns the option dates from the given CapFloorTermVolSurface object.

Supported Platforms:

Excel

Parameters

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

qlCapFloorTermVolSurfaceOptionTenors

vector<string> returnValue
 
qlCapFloorTermVolSurfaceOptionTenors(
        string ObjectId
        any Trigger)

Description:

Returns the option tenors from the given CapFloorTermVolSurface object.

Supported Platforms:

Excel

Parameters

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

qlCapFloorTermVolSurfaceStrikes

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

Description:

Returns the option strikes from the given CapFloorTermVolSurface object.

Supported Platforms:

Excel

Parameters

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

qlConstantOptionletVolatility

string returnValue
 
qlConstantOptionletVolatility(
        string ObjectId
        long NDays
        string Calendar
        string BusinessDayConvention
        string Volatility
        string DayCounter
        string VolatilityType
        double Displacement
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ConstantOptionletVolatility and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
NDays	number of days to advance from EvaluationDate: it fixes the date at which the variance = 0.0. Default value = 0.
Calendar	holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries.
BusinessDayConvention	Business day convention used for calculating the exercise dates from the expiries.
Volatility	cap/floor constant volatility Quote.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
VolatilityType	Volatility type: Normal or ShiftedLognormal. Default value = ShiftedLognormal.
Displacement	Shift for the lognormal model. Default value = 0.00.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlOptionletStripper1

string returnValue
 
qlOptionletStripper1(
        string ObjectId
        string TermVolSurface
        string IborIndex
        double SwitchStrike
        double Accuracy
        long MaxIter
        string VolatilityType
        double Displacement
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OptionletStripper1 and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
TermVolSurface	CapFloorTermVolSurface object ID.
IborIndex	cap index object ID.
SwitchStrike	switch strike. Default value = QuantLib::Null<QuantLib::Rate>().
Accuracy	solver accuracy. Default value = 1.0e-6.
MaxIter	solver max iterations. Default value = 100.
VolatilityType	Volatility type: Normal or ShiftedLognormal. Default value = ShiftedLognormal.
Displacement	Shift for the lognormal model. Default value = 0.00.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlOptionletStripper1CapFloorPrices

vector<vector<double> > returnValue
 
qlOptionletStripper1CapFloorPrices(
        string ObjectId
        any Trigger)

Description:

Returns option prices matrix from the given OptionletStripper1 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletStripper1 object
Trigger	dependency tracking trigger

qlOptionletStripper1CapFloorVolatilities

vector<vector<double> > returnValue
 
qlOptionletStripper1CapFloorVolatilities(
        string ObjectId
        any Trigger)

Description:

Returns option volatilities matrix from the given OptionletStripper1 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletStripper1 object
Trigger	dependency tracking trigger

qlOptionletStripper1OptionletPrices

vector<vector<double> > returnValue
 
qlOptionletStripper1OptionletPrices(
        string ObjectId
        any Trigger)

Description:

Returns optionlet prices matrix from the given OptionletStripper1 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletStripper1 object
Trigger	dependency tracking trigger

qlOptionletStripper1SwitchStrike

double returnValue
 
qlOptionletStripper1SwitchStrike(
        string ObjectId
        any Trigger)

Description:

Returns option switch strike from the given OptionletStripper1 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletStripper1 object
Trigger	dependency tracking trigger

qlOptionletStripper2

string returnValue
 
qlOptionletStripper2(
        string ObjectId
        string OptionletStripper1
        string TermVolCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OptionletStripper2 and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
OptionletStripper1	OptionletStripper1 object id.
TermVolCurve	CapFloorTermVolCurve object id.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlOptionletStripper2AtmCapFloorPrices

vector<double> returnValue
 
qlOptionletStripper2AtmCapFloorPrices(
        string ObjectId
        any Trigger)

Description:

Returns ATM option prices from the given OptionletStripper2 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletStripper2 object
Trigger	dependency tracking trigger

qlOptionletStripper2AtmCapFloorStrikes

vector<double> returnValue
 
qlOptionletStripper2AtmCapFloorStrikes(
        string ObjectId
        any Trigger)

Description:

Returns option ATM strikes from the given OptionletStripper2 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletStripper2 object
Trigger	dependency tracking trigger

qlOptionletStripper2SpreadsVol

vector<double> returnValue
 
qlOptionletStripper2SpreadsVol(
        string ObjectId
        any Trigger)

Description:

Returns optionlet spread (with respect to ATM) vols from the given OptionletStripper2 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletStripper2 object
Trigger	dependency tracking trigger

qlOptionletStripperOptionletAccrualPeriods

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

Description:

Returns optionlet accrual periods from the given OptionletStripper object.

Supported Platforms:

Excel

Parameters

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

qlOptionletStripperOptionletFixingTenors

vector<string> returnValue
 
qlOptionletStripperOptionletFixingTenors(
        string ObjectId
        any Trigger)

Description:

Returns optionlet fixing tenors from the given OptionletStripper object.

Supported Platforms:

Excel

Parameters

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

qlOptionletStripperOptionletPaymentDates

vector<long> returnValue
 
qlOptionletStripperOptionletPaymentDates(
        string ObjectId
        any Trigger)

Description:

Returns optionlet payment dates from the given OptionletStripper object.

Supported Platforms:

Excel

Parameters

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

qlOptionletVTSBlackVariance

vector<double> returnValue
 
qlOptionletVTSBlackVariance(
        string ObjectId
        vector<long> OptionDate
        double Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the black variance corresponding to a given strike for a given exercise date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletVolatilityStructure object
OptionDate	cap/floor expiry date.
Strike	cap/floor strike vector.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation).
Trigger	dependency tracking trigger

qlOptionletVTSBlackVariance2

vector<double> returnValue
 
qlOptionletVTSBlackVariance2(
        string ObjectId
        vector<string> OptionTenor
        double Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the black variance corresponding to a given strike for a given exercise date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletVolatilityStructure object
OptionTenor	cap/floor expiry date.
Strike	cap/floor strike vector.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation).
Trigger	dependency tracking trigger

qlOptionletVTSVolatility

vector<double> returnValue
 
qlOptionletVTSVolatility(
        string ObjectId
        long OptionDate
        vector<double> Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns volatility from the given OptionletVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletVolatilityStructure object
OptionDate	caplet/floorlet expiry date.
Strike	caplet/floorlet strike.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlOptionletVTSVolatility2

vector<double> returnValue
 
qlOptionletVTSVolatility2(
        string ObjectId
        string OptionTenor
        vector<double> Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns volatility from the given OptionletVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OptionletVolatilityStructure object
OptionTenor	caplet/floorlet option tenor.
Strike	caplet/floorlet strike.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlRelinkableHandleOptionletVolatilityStructure

string returnValue
 
qlRelinkableHandleOptionletVolatilityStructure(
        string ObjectId
        string CurrentLink
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RelinkableHandleImpl<QuantLibAddin::OptionletVolatilityStructure, QuantLib::OptionletVolatilityStructure> and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
CurrentLink	OptionletVolatilityStructure object ID. If omitted, nothing is linked by the RelinkableHandle. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSpreadedOptionletVolatility

string returnValue
 
qlSpreadedOptionletVolatility(
        string ObjectId
        string BaseVolStructure
        string Spread
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SpreadedOptionletVolatility and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
BaseVolStructure	Base OptionletVolatilityStructure object ID.
Spread	spread.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlStrippedOptionlet

string returnValue
 
qlStrippedOptionlet(
        string ObjectId
        long SettlementDays
        string Calendar
        string BusinessDayConvention
        string IborIndex
        vector<long> OptionletDates
        vector<double> Strikes
        vector<vector<string> > Volatilities
        string DayCounter
        string VolatilityType
        double Displacement
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class StrippedOptionlet and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
SettlementDays	number of settlement days. Default value = 0.
Calendar	holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries.
BusinessDayConvention	Business day convention used for calculating the exercise dates from the expiries.
IborIndex	IborIndex object ID.
OptionletDates	optionlet dates.
Strikes	strikes.
Volatilities	vol quotes.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
VolatilityType	Volatility type: Normal or ShiftedLognormal. Default value = ShiftedLognormal.
Displacement	Shift for the lognormal model. Default value = 0.00.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlStrippedOptionletAdapter

string returnValue
 
qlStrippedOptionletAdapter(
        string ObjectId
        string StrippedOptionletBase
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class StrippedOptionletAdapter and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
StrippedOptionletBase	Stripped Optionlet object id.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlStrippedOptionletBaseAtmOptionletRates

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

Description:

Returns atm optionlet rates from the given StrippedOptionletBase object.

Supported Platforms:

Excel

Parameters

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

qlStrippedOptionletBaseBusinessDayConvention

string returnValue
 
qlStrippedOptionletBaseBusinessDayConvention(
        string ObjectId
        any Trigger)

Description:

Returns the business day convention used in tenor to date conversion.

Supported Platforms:

Excel

Parameters

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

qlStrippedOptionletBaseCalendar

string returnValue
 
qlStrippedOptionletBaseCalendar(
        string ObjectId
        any Trigger)

Description:

Returns the calendar used by the given StrippedOptionletBase object.

Supported Platforms:

Excel

Parameters

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

qlStrippedOptionletBaseDayCounter

string returnValue
 
qlStrippedOptionletBaseDayCounter(
        string ObjectId
        any Trigger)

Description:

Returns the DayCounter used by the given StrippedOptionletBase object.

Supported Platforms:

Excel

Parameters

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

qlStrippedOptionletBaseOptionletFixingDates

vector<long> returnValue
 
qlStrippedOptionletBaseOptionletFixingDates(
        string ObjectId
        any Trigger)

Description:

Returns optionlet fixing dates from the given StrippedOptionletBase object.

Supported Platforms:

Excel

Parameters

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

qlStrippedOptionletBaseOptionletFixingTimes

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

Description:

Returns optionlet fixing times from the given StrippedOptionletBase object.

Supported Platforms:

Excel

Parameters

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

qlStrippedOptionletBaseOptionletVolatilities

vector<double> returnValue
 
qlStrippedOptionletBaseOptionletVolatilities(
        string ObjectId
        long Index
        any Trigger)

Description:

Returns optionlet volatilities from the given StrippedOptionletBase object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::StrippedOptionletBase object
Index	optionlet index.
Trigger	dependency tracking trigger

qlStrippedOptionletBaseSettlementDays

long returnValue
 
qlStrippedOptionletBaseSettlementDays(
        string ObjectId
        any Trigger)

Description:

Returns the number of settlement days for the given StrippedOptionletBase object.

Supported Platforms:

Excel, C++

Parameters

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

qlStrippedOptionletBaseStrikes

vector<double> returnValue
 
qlStrippedOptionletBaseStrikes(
        string ObjectId
        long Index
        any Trigger)

Description:

Returns optionlet strike from the given StrippedOptionletBase object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::StrippedOptionletBase object
Index	optionlet index.
Trigger	dependency tracking trigger