Interpolation

Overview

functions to construct and use Interpolation and Interpolation2D objects.

Function List

qlAbcdInterpolation ()
qlAbcdInterpolationA ()
qlAbcdInterpolationB ()
qlAbcdInterpolationC ()
qlAbcdInterpolationD ()
qlAbcdInterpolationEndCriteria ()
qlAbcdInterpolationMaxError ()
qlAbcdInterpolationRmsError ()
qlCubicInterpolation ()
qlCubicInterpolationACoefficients ()
qlCubicInterpolationBCoefficients ()
qlCubicInterpolationCCoefficients ()
qlCubicInterpolationMonotonicityAdjustments ()
qlCubicInterpolationPrimitiveConstants ()
qlExtrapolatorEnableExtrapolation ()
qlInterpolation ()
qlInterpolation2D ()
qlInterpolation2DInterpolate ()
qlInterpolation2DIsInRange ()
qlInterpolation2DXmax ()
qlInterpolation2DXmin ()
qlInterpolation2DXvalues ()
qlInterpolation2DYmax ()
qlInterpolation2DYmin ()
qlInterpolation2DYvalues ()
qlInterpolation2DzData ()
qlInterpolationDerivative ()
qlInterpolationInterpolate ()
qlInterpolationIsInRange ()
qlInterpolationPrimitive ()
qlInterpolationSecondDerivative ()
qlInterpolationXmax ()
qlInterpolationXmin ()
qlMixedLinearCubicInterpolation ()
qlSABRInterpolation ()
qlSABRInterpolationAlpha ()
qlSABRInterpolationBeta ()
qlSABRInterpolationEndCriteria ()
qlSABRInterpolationExpiry ()
qlSABRInterpolationForward ()
qlSABRInterpolationMaxError ()
qlSABRInterpolationNu ()
qlSABRInterpolationRho ()
qlSABRInterpolationRmsError ()
qlSABRInterpolationWeights ()

Function Documentation

qlAbcdInterpolation

string returnValue
 
qlAbcdInterpolation(
        string ObjectId
        vector<double> XArray
        vector<string> YArray
        double A
        double B
        double C
        double D
        bool AIsFixed
        bool BIsFixed
        bool CIsFixed
        bool DIsFixed
        bool VegaWeighted
        string EndCriteria
        string OptimizationMeth
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class AbcdInterpolation and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
XArray	x array.
YArray	y array.
A	The a in { y = (a + b*x) e^(-c*x) + d }. It can be a fixed value or just a guess. Default value = QuantLib::Null<QuantLib::Real>().
B	The b in { y = (a + b*x) e^(-c*x) + d }. It can be a fixed value or just a guess. Default value = QuantLib::Null<QuantLib::Real>().
C	The c in { y = (a + b*x) e^(-c*x) + d }. It can be a fixed value or just a guess. Default value = QuantLib::Null<QuantLib::Real>().
D	The d in { y = (a + b*x) e^(-c*x) + d }. It can be a fixed value or just a guess. Default value = QuantLib::Null<QuantLib::Real>().
AIsFixed	TRUE if the A value provided is to be kept fixed, FALSE if it is just a guess. Default value = false.
BIsFixed	TRUE if the B value provided is to be kept fixed, FALSE if it is just a guess. Default value = false.
CIsFixed	TRUE if the C value provided is to be kept fixed, FALSE if it is just a guess. Default value = false.
DIsFixed	TRUE if the D value provided is to be kept fixed, FALSE if it is just a guess. Default value = false.
VegaWeighted	TRUE if the interpolation is weighted using options Vega. Default value = true.
EndCriteria	EndCriteria object ID. Default value = .
OptimizationMeth	OptimizationMethod object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlAbcdInterpolationA

double returnValue
 
qlAbcdInterpolationA(
        string ObjectId
        any Trigger)

Description:

Returns the a in the { y = (a + b*x) e^(-c*x) + d } fit for the given AbcdInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlAbcdInterpolationB

double returnValue
 
qlAbcdInterpolationB(
        string ObjectId
        any Trigger)

Description:

Returns the b in the { y = (a + b*x) e^(-c*x) + d } fit for the given AbcdInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlAbcdInterpolationC

double returnValue
 
qlAbcdInterpolationC(
        string ObjectId
        any Trigger)

Description:

Returns the c in the { y = (a + b*x) e^(-c*x) + d } fit for the given AbcdInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlAbcdInterpolationD

double returnValue
 
qlAbcdInterpolationD(
        string ObjectId
        any Trigger)

Description:

Returns the d in the { y = (a + b*x) e^(-c*x) + d } fit for the given AbcdInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlAbcdInterpolationEndCriteria

string returnValue
 
qlAbcdInterpolationEndCriteria(
        string ObjectId
        any Trigger)

Description:

Returns the optimization end criteria of the fit for the given AbcdInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlAbcdInterpolationMaxError

double returnValue
 
qlAbcdInterpolationMaxError(
        string ObjectId
        any Trigger)

Description:

Returns the max error of the fit for the given AbcdInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlAbcdInterpolationRmsError

double returnValue
 
qlAbcdInterpolationRmsError(
        string ObjectId
        any Trigger)

Description:

Returns the error of the fit for the given AbcdInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlCubicInterpolation

string returnValue
 
qlCubicInterpolation(
        string ObjectId
        vector<double> XArray
        vector<string> YArray
        string DerApprox
        bool Monotonic
        string LeftConditionType
        double LeftConditionValue
        string RightConditionType
        double RightConditionValue
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CubicInterpolation and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
XArray	x array.
YArray	y array.
DerApprox	Derivative Approximation (). Default value = Kruger.
Monotonic	monotonicity constraint flag. Default value = true.
LeftConditionType	left boundary condition (NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange). Default value = SecondDerivative.
LeftConditionValue	left condition value. Default value = 0.0.
RightConditionType	right boundary condition (NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange). Default value = SecondDerivative.
RightConditionValue	right condition value. Default value = 0.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCubicInterpolationACoefficients

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

Description:

Returns the constant terms in the primitive of the cubic interpolants for the given CubicSplineInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlCubicInterpolationBCoefficients

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

Description:

Returns the constant terms in the primitive of the cubic interpolants for the given CubicSplineInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlCubicInterpolationCCoefficients

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

Description:

Returns the constant terms in the primitive of the cubic interpolants for the given CubicSplineInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlCubicInterpolationMonotonicityAdjustments

vector<bool> returnValue
 
qlCubicInterpolationMonotonicityAdjustments(
        string ObjectId
        any Trigger)

Description:

Returns a vector of bool (one per cubic) indicating if there has been a monotonicity adjustment.

Supported Platforms:

Excel

Parameters

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

qlCubicInterpolationPrimitiveConstants

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

Description:

Returns the constant terms in the primitive of the cubic interpolants for the given CubicSplineInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlExtrapolatorEnableExtrapolation

void returnValue
 
qlExtrapolatorEnableExtrapolation(
        string ObjectId
        bool ExtrapolationFlag
        any Trigger)

Description:

Sets the enable extrapolation flag to the given Extrapolator object.

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of existing QuantLibAddin::Extrapolator object
ExtrapolationFlag	global extrapolation flag. Default value = true.
Trigger	dependency tracking trigger

qlInterpolation

string returnValue
 
qlInterpolation(
        string ObjectId
        string InterpolationType
        vector<double> XArray
        vector<string> YArray
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class GenericInterp and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
InterpolationType	interpolation type (e.g BackwardFlat, ForwardFlat, MonotonicCubicNaturalSpline, etc.) Default value = MonotonicCubicNaturalSpline.
XArray	x array.
YArray	y array.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlInterpolation2D

string returnValue
 
qlInterpolation2D(
        string ObjectId
        string InterpolationType
        vector<double> XArray
        vector<double> YArray
        vector<vector<double> > ZMatrix
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Interpolation2D and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
InterpolationType	2D-interpolation type (e.g BiLinear, BiCubic). Default value = BiLinear.
XArray	x array.
YArray	y array.
ZMatrix	z-matrix values.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlInterpolation2DInterpolate

vector<double> returnValue
 
qlInterpolation2DInterpolate(
        string ObjectId
        vector<double> XValue
        double YValue
        bool AllowExtrapolation
        any Trigger)

Description:

Returns interpolated values for the (x,y) input for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
XValue	x value(s).
YValue	y value.
AllowExtrapolation	allow extrapolation flag. Default value = false.
Trigger	dependency tracking trigger

qlInterpolation2DIsInRange

vector<bool> returnValue
 
qlInterpolation2DIsInRange(
        string ObjectId
        vector<double> XValues
        double YValue
        any Trigger)

Description:

Returns TRUE if the (x,y) input value is in the allowed interpolation range for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
XValues	x values.
YValue	y value.
Trigger	dependency tracking trigger

qlInterpolation2DXmax

double returnValue
 
qlInterpolation2DXmax(
        string ObjectId
        any Trigger)

Description:

Returns the maximum value of the x array for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
Trigger	dependency tracking trigger

qlInterpolation2DXmin

double returnValue
 
qlInterpolation2DXmin(
        string ObjectId
        any Trigger)

Description:

Returns the minimum value of the x array for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
Trigger	dependency tracking trigger

qlInterpolation2DXvalues

vector<double> returnValue
 
qlInterpolation2DXvalues(
        string ObjectId
        any Trigger)

Description:

Returns the x array grid for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
Trigger	dependency tracking trigger

qlInterpolation2DYmax

double returnValue
 
qlInterpolation2DYmax(
        string ObjectId
        any Trigger)

Description:

Returns the maximum value of the y array for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
Trigger	dependency tracking trigger

qlInterpolation2DYmin

double returnValue
 
qlInterpolation2DYmin(
        string ObjectId
        any Trigger)

Description:

Returns the minimum value of the y array for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
Trigger	dependency tracking trigger

qlInterpolation2DYvalues

vector<double> returnValue
 
qlInterpolation2DYvalues(
        string ObjectId
        any Trigger)

Description:

Returns the y array grid for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
Trigger	dependency tracking trigger

qlInterpolation2DzData

vector<vector<double> > returnValue
 
qlInterpolation2DzData(
        string ObjectId
        any Trigger)

Description:

Returns the z data matrix grid for the given Interpolation2D object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation2D object
Trigger	dependency tracking trigger

qlInterpolationDerivative

vector<double> returnValue
 
qlInterpolationDerivative(
        string ObjectId
        vector<double> XValues
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the first derivative function values using the given Interpolation object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::Interpolation object
XValues	x values.
AllowExtrapolation	allow extrapolation flag. Default value = false.
Trigger	dependency tracking trigger

qlInterpolationInterpolate

vector<double> returnValue
 
qlInterpolationInterpolate(
        string ObjectId
        vector<double> XValues
        bool AllowExtrapolation
        any Trigger)

Description:

    this is an example of long description.

    on multiple lines.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLibAddin::Interpolation object
XValues	x values.
AllowExtrapolation	allow extrapolation flag. Default value = false.
Trigger	dependency tracking trigger

qlInterpolationIsInRange

vector<bool> returnValue
 
qlInterpolationIsInRange(
        string ObjectId
        vector<double> XValues
        any Trigger)

Description:

Returns TRUE if the input value is in the allowed interpolation range for the given Interpolation object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Interpolation object
XValues	x values.
Trigger	dependency tracking trigger

qlInterpolationPrimitive

vector<double> returnValue
 
qlInterpolationPrimitive(
        string ObjectId
        vector<double> XValues
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the primitive function values using the given Interpolation object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::Interpolation object
XValues	x values.
AllowExtrapolation	allow extrapolation flag. Default value = false.
Trigger	dependency tracking trigger

qlInterpolationSecondDerivative

vector<double> returnValue
 
qlInterpolationSecondDerivative(
        string ObjectId
        vector<double> XValues
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the second derivative function values using the given Interpolation object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::Interpolation object
XValues	x values.
AllowExtrapolation	allow extrapolation flag. Default value = false.
Trigger	dependency tracking trigger

qlInterpolationXmax

double returnValue
 
qlInterpolationXmax(
        string ObjectId
        any Trigger)

Description:

Returns the maximum value of the x array for the given Interpolation object.

Supported Platforms:

Excel

Parameters

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

qlInterpolationXmin

double returnValue
 
qlInterpolationXmin(
        string ObjectId
        any Trigger)

Description:

Returns the minimum value of the x array for the given Interpolation object.

Supported Platforms:

Excel

Parameters

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

qlMixedLinearCubicInterpolation

string returnValue
 
qlMixedLinearCubicInterpolation(
        string ObjectId
        vector<double> XArray
        vector<string> YArray
        long SwitchIndex
        string MixedInterpolationBehavior
        string DerApprox
        bool Monotonic
        string LeftConditionType
        double LeftConditionValue
        string RightConditionType
        double RightConditionValue
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class MixedLinearCubicInterpolation and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
XArray	x array.
YArray	y array.
SwitchIndex	zero based knot index at which interpolation switches from linear to cubic.
MixedInterpolationBehavior	ShareRanges to join two different interpolations over all the pillars, SplitRanges otherwise. Default value = ShareRanges.
DerApprox	Derivative Approximation (). Default value = Kruger.
Monotonic	monotonicity constraint flag. Default value = true.
LeftConditionType	left boundary condition (NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange). Default value = SecondDerivative.
LeftConditionValue	left condition value. Default value = 0.0.
RightConditionType	right boundary condition (NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange). Default value = SecondDerivative.
RightConditionValue	right condition value. Default value = 0.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSABRInterpolation

string returnValue
 
qlSABRInterpolation(
        string ObjectId
        vector<double> XArray
        vector<string> YArray
        double Expiry
        string Forward
        double Alpha
        double Beta
        double Nu
        double Rho
        bool AlphaIsFixed
        bool BetaIsFixed
        bool NuIsFixed
        bool RhoIsFixed
        bool VegaWeighted
        string EndCriteria
        string OptimizationMeth
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SABRInterpolation and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
XArray	x array.
YArray	y array.
Expiry	expiry time in years.
Forward	at-the-money forward rate.
Alpha	alpha (fixed value or guess). Default value = QuantLib::Null<QuantLib::Real>().
Beta	beta (fixed value or guess). Default value = QuantLib::Null<QuantLib::Real>().
Nu	nu (fixed value or guess). Default value = QuantLib::Null<QuantLib::Real>().
Rho	rho (fixed value or guess). Default value = QuantLib::Null<QuantLib::Real>().
AlphaIsFixed	TRUE if the alpha value provided is to be kept fixed, FALSE if it is just a guess. Default value = false.
BetaIsFixed	TRUE if the beta value provided is to be kept fixed, FALSE if it is just a guess. Default value = false.
NuIsFixed	TRUE if the nu value provided is to be kept fixed, FALSE if it is just a guess. Default value = false.
RhoIsFixed	TRUE if the rho value provided is to be kept fixed, FALSE if it is just a guess. Default value = false.
VegaWeighted	TRUE if the interpolation is weighted using options Vega. Default value = true.
EndCriteria	EndCriteria object ID. Default value = .
OptimizationMeth	OptimizationMethod object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSABRInterpolationAlpha

double returnValue
 
qlSABRInterpolationAlpha(
        string ObjectId
        any Trigger)

Description:

Returns the alpha of the fit for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationBeta

double returnValue
 
qlSABRInterpolationBeta(
        string ObjectId
        any Trigger)

Description:

Returns the alpha of the fit for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationEndCriteria

string returnValue
 
qlSABRInterpolationEndCriteria(
        string ObjectId
        any Trigger)

Description:

Returns the optimization end criteria of the fit for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationExpiry

double returnValue
 
qlSABRInterpolationExpiry(
        string ObjectId
        any Trigger)

Description:

Returns the expiry time in years for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationForward

double returnValue
 
qlSABRInterpolationForward(
        string ObjectId
        any Trigger)

Description:

Returns the forward for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationMaxError

double returnValue
 
qlSABRInterpolationMaxError(
        string ObjectId
        any Trigger)

Description:

Returns the max error of the fit for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationNu

double returnValue
 
qlSABRInterpolationNu(
        string ObjectId
        any Trigger)

Description:

Returns the nu of the fit for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationRho

double returnValue
 
qlSABRInterpolationRho(
        string ObjectId
        any Trigger)

Description:

Returns the rho of the fit for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationRmsError

double returnValue
 
qlSABRInterpolationRmsError(
        string ObjectId
        any Trigger)

Description:

Returns the error of the fit for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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

qlSABRInterpolationWeights

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

Description:

Returns the weights of the fit for the given SABRInterpolation object.

Supported Platforms:

Excel

Parameters

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