Cms Market Calibration

Overview

functions to construct and use CmsMarketCalibration objects.

Function List

qlCmsMarketCalibration ()
qlCmsMarketCalibrationCompute ()
qlCmsMarketCalibrationDenseSabrParameters ()
qlCmsMarketCalibrationElapsed ()
qlCmsMarketCalibrationEndCriteria ()
qlCmsMarketCalibrationError ()
qlCmsMarketCalibrationSparseSabrParameters ()
qlSimultaneousCalibrationBrowseCmsMarket ()

Function Documentation

qlCmsMarketCalibration

string returnValue
 
qlCmsMarketCalibration(
        string ObjectId
        string VolCube
        string CmsMarket
        vector<vector<double> > Weights
        string CalibrationType
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CmsMarketCalibration and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
VolCube	Volatility Cube by Sabr.
CmsMarket	CmsMarket object ID.
Weights	weights for cms market calibration.
CalibrationType	calibration type (e.g. OnSpread, OnPrice, OnForwardPrice).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCmsMarketCalibrationCompute

vector<double> returnValue
 
qlCmsMarketCalibrationCompute(
        string ObjectId
        string EndCriteria
        string OptimizationMethod
        vector<double> Guess
        bool IsMeanRevFixed
        any Trigger)

Description:

Return the best beta and mean reversion.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::CmsMarketCalibration object
EndCriteria	EndCriteria object ID. Default value = .
OptimizationMethod	OptimizationMethod object ID. Default value = .
Guess	guess.
IsMeanRevFixed	if TRUE mean reversion parameter is not calibrated, the guess is used.
Trigger	dependency tracking trigger

qlCmsMarketCalibrationDenseSabrParameters

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

Description:

returns results of Sabr calibration.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::CmsMarketCalibration object
Trigger	dependency tracking trigger

qlCmsMarketCalibrationElapsed

double returnValue
 
qlCmsMarketCalibrationElapsed(
        string ObjectId
        any Trigger)

Description:

Returns the elapsed time of the simultaneous calibration.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::CmsMarketCalibration object
Trigger	dependency tracking trigger

qlCmsMarketCalibrationEndCriteria

string returnValue
 
qlCmsMarketCalibrationEndCriteria(
        string ObjectId
        any Trigger)

Description:

Returns the optimization end criteria of the simultaneous calibration.

Supported Platforms:

Excel

Parameters

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

qlCmsMarketCalibrationError

double returnValue
 
qlCmsMarketCalibrationError(
        string ObjectId
        any Trigger)

Description:

Returns the error of the simultaneous calibration.

Supported Platforms:

Excel

Parameters

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

qlCmsMarketCalibrationSparseSabrParameters

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

Description:

returns results of Sabr calibration.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::CmsMarketCalibration object
Trigger	dependency tracking trigger

qlSimultaneousCalibrationBrowseCmsMarket

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

Description:

return the market and implied spreads matrix.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::CmsMarketCalibration object
Trigger	dependency tracking trigger