Ctsmmcapletcalibration

Overview

functions to construct and use ctsmmcapletcalibration objects.

Function List

qlCTSMMCapletAlphaFormCalibration ()
qlCTSMMCapletAlphaFormCalibrationAlpha ()
qlCTSMMCapletCalibrationCalibrate ()
qlCTSMMCapletCalibrationCapletMaxError ()
qlCTSMMCapletCalibrationCapletRmsError ()
qlCTSMMCapletCalibrationDeformationSize ()
qlCTSMMCapletCalibrationFailures ()
qlCTSMMCapletCalibrationMarketCapletVols ()
qlCTSMMCapletCalibrationMarketSwaptionVols ()
qlCTSMMCapletCalibrationModelCapletVols ()
qlCTSMMCapletCalibrationModelSwaptionVols ()
qlCTSMMCapletCalibrationSwapPseudoRoot ()
qlCTSMMCapletCalibrationSwaptionMaxError ()
qlCTSMMCapletCalibrationSwaptionRmsError ()
qlCTSMMCapletCalibrationTimeDependentCalibratedSwaptionVols ()
qlCTSMMCapletCalibrationTimeDependentUnCalibratedSwaptionVols ()
qlCTSMMCapletMaxHomogeneityCalibration ()
qlCTSMMCapletOriginalCalibration ()

Function Documentation

qlCTSMMCapletAlphaFormCalibration

string returnValue
 
qlCTSMMCapletAlphaFormCalibration(
        string ObjectId
        string Evolution
        string Correlations
        vector<string> SwapPiecewiseConstantVariances
        vector<double> CapletVols
        string CurveState
        double Displacement
        vector<double> AlphaInitial
        vector<double> AlphaMax
        vector<double> AlphaMin
        bool MaximizeHomogeneity
        string AlphaForm
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CTSMMCapletAlphaFormCalibration and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Evolution	Evolution Description.
Correlations	PiecewiseConstantCorrelation object ID.
SwapPiecewiseConstantVariances	PiecewiseConstantVariance IDs.
CapletVols	caplet volatilities.
CurveState	CurveState object ID.
Displacement	displacement. Default value = 0.0.
AlphaInitial	alphaInitial.
AlphaMax	alphaMax. Default value = 1.0,1.0,1.0,1.0,1.0,1.0,1.0,1.0,1.0,1.0.
AlphaMin	alphaMin. Default value = -1.0,-1.0,-1.0,-1.0,-1.0,-1.0,-1.0,-1.0,-1.0,-1.0.
MaximizeHomogeneity	TRUE for maximizing homogeneity. Default value = true.
AlphaForm	alpha form ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCTSMMCapletAlphaFormCalibrationAlpha

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

Description:

alpha.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationCalibrate

bool returnValue
 
qlCTSMMCapletCalibrationCalibrate(
        string ObjectId
        long NumberOfFactors
        long MaxIter
        double Tol
        long InnerMaxIter
        double InnerTol
        any Trigger)

Description:

calibrate.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CTSMMCapletCalibration object
NumberOfFactors	number of factors.
MaxIter	maximum number of iterations. Default value = 2.
Tol	caplet vol tolerance. Default value = 0.0001.
InnerMaxIter	innerMaxIter. Default value = 100.
InnerTol	caplet vol tolerance. Default value = 1e-8.
Trigger	dependency tracking trigger

qlCTSMMCapletCalibrationCapletMaxError

double returnValue
 
qlCTSMMCapletCalibrationCapletMaxError(
        string ObjectId
        any Trigger)

Description:

capletMaxError.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationCapletRmsError

double returnValue
 
qlCTSMMCapletCalibrationCapletRmsError(
        string ObjectId
        any Trigger)

Description:

capletRmsError.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationDeformationSize

double returnValue
 
qlCTSMMCapletCalibrationDeformationSize(
        string ObjectId
        any Trigger)

Description:

deformationSize.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationFailures

long returnValue
 
qlCTSMMCapletCalibrationFailures(
        string ObjectId
        any Trigger)

Description:

failures.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationMarketCapletVols

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

Description:

market caplet volalitilies.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationMarketSwaptionVols

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

Description:

market swaption volalitilies.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationModelCapletVols

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

Description:

model caplet volalitilies.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationModelSwaptionVols

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

Description:

model swaption volalitilies.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationSwapPseudoRoot

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

Description:

swapPseudoRoot.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationSwaptionMaxError

double returnValue
 
qlCTSMMCapletCalibrationSwaptionMaxError(
        string ObjectId
        any Trigger)

Description:

swaptionMaxError.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationSwaptionRmsError

double returnValue
 
qlCTSMMCapletCalibrationSwaptionRmsError(
        string ObjectId
        any Trigger)

Description:

swaptionRmsError.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationTimeDependentCalibratedSwaptionVols

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

Description:

timeDependentCalibratedSwaptionVols.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletCalibrationTimeDependentUnCalibratedSwaptionVols

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

Description:

timeDependentUnCalibratedSwaptionVols.

Supported Platforms:

Excel

Parameters

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

qlCTSMMCapletMaxHomogeneityCalibration

string returnValue
 
qlCTSMMCapletMaxHomogeneityCalibration(
        string ObjectId
        string Evolution
        string Correlations
        vector<string> SwapPiecewiseConstantVariances
        vector<double> CapletVols
        string CurveState
        double Displacement
        double Caplet0Swaption1Priority
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CTSMMCapletMaxHomogeneityCalibration and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Evolution	Evolution Description.
Correlations	PiecewiseConstantCorrelation object ID.
SwapPiecewiseConstantVariances	PiecewiseConstantVariance IDs.
CapletVols	caplet volatilities.
CurveState	CurveState object ID.
Displacement	displacement. Default value = 0.0.
Caplet0Swaption1Priority	caplet0Swaption1Priority. Default value = 1.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCTSMMCapletOriginalCalibration

string returnValue
 
qlCTSMMCapletOriginalCalibration(
        string ObjectId
        string Evolution
        string Correlations
        vector<string> SwapPiecewiseConstantVariances
        vector<double> CapletVols
        string CurveState
        double Displacement
        vector<double> Alphas
        bool LowestRoot
        bool UseFullApprox
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CTSMMCapletOriginalCalibration and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Evolution	Evolution Description.
Correlations	PiecewiseConstantCorrelation object ID.
SwapPiecewiseConstantVariances	PiecewiseConstantVariance IDs.
CapletVols	caplet volatilities.
CurveState	CurveState object ID.
Displacement	displacement. Default value = 0.0.
Alphas	alphas.
LowestRoot	TRUE for lowest root, FALSE for the root nearest to 1.0. Default value = true.
UseFullApprox	TRUE for using Full Approximation.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag