MarketModels

Overview

functions to construct and use Market Models related objects.

Function List

qlAbcdVol ()
qlAnnuity ()
qlCmSwapForwardJacobian ()
qlCmSwapZedMatrix ()
qlCoinitialSwapForwardJacobian ()
qlCoinitialSwapZedMatrix ()
qlCotSwapToFwdAdapter ()
qlCoterminalSwapForwardJacobian ()
qlCoterminalSwapZedMatrix ()
qlFlatVol ()
qlFlatVolFactory ()
qlFwdPeriodAdapter ()
qlFwdToCotSwapAdapter ()
qlMarketModelCovariance ()
qlMarketModelDisplacements ()
qlMarketModelInitialRates ()
qlMarketModelNumberOfFactors ()
qlMarketModelNumberOfRates ()
qlMarketModelNumberOfSteps ()
qlMarketModelPseudoRoot ()
qlMarketModelTimeDependentVolatility ()
qlMarketModelTotalCovariance ()
qlPseudoRootFacade ()
qlRateInstVolDifferences ()
qlRateVolDifferences ()
qlSwapDerivative ()

Function Documentation

qlAbcdVol

string returnValue
 
qlAbcdVol(
        string ObjectId
        double A
        double B
        double C
        double D
        vector<double> Ks
        string Correlations
        string EvolutionDescription
        long Factors
        vector<double> InitialRates
        vector<double> Displacements
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class AbcdVol and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
A	the a coefficient in the abcd vol parametrization.
B	the b coefficient in the abcd vol parametrization.
C	the c coefficient in the abcd vol parametrization.
D	the d coefficient in the abcd vol parametrization.
Ks	K_i adjustment factors in the abcd vol parametrization.
Correlations	PiecewiseConstantCorrelation object ID.
EvolutionDescription	EvolutionDescription object.
Factors	number of factors to be retained in the simulation.
InitialRates	initial rates.
Displacements	displacements.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlAnnuity

double returnValue
 
qlAnnuity(
        string CurveState
        long StartIndex
        long EndIndex
        long NumeraireIndex
        any Trigger)

Description:

returns annuity of arbitrary swap-rate.

Supported Platforms:

Excel, Calc

Parameters

CurveState	CurveState object ID.
StartIndex	start index.
EndIndex	end index.
NumeraireIndex	numeraire index. Default value = 0.
Trigger	dependency tracking trigger

qlCmSwapForwardJacobian

vector<vector<double> > returnValue
 
qlCmSwapForwardJacobian(
        string CurveState
        long SpanningForwards
        any Trigger)

Description:

Returns the jacobian between constant maturity swap rates and forward rates.

Supported Platforms:

Excel, Calc

Parameters

CurveState	CurveState object ID.
SpanningForwards	number of forwards underlying the CMS.
Trigger	dependency tracking trigger

qlCmSwapZedMatrix

vector<vector<double> > returnValue
 
qlCmSwapZedMatrix(
        string CurveState
        long SpanningForwards
        double Displacement
        any Trigger)

Description:

Returns the Z matrix to switch base from forward to constant maturity swap rates.

Supported Platforms:

Excel, Calc

Parameters

CurveState	CurveState object ID.
SpanningForwards	number of forwards underlying the CMS.
Displacement	displacement. Default value = 0.0.
Trigger	dependency tracking trigger

qlCoinitialSwapForwardJacobian

vector<vector<double> > returnValue
 
qlCoinitialSwapForwardJacobian(
        string CurveState
        any Trigger)

Description:

Returns the jacobian between coinitial swap rates and forward rates.

Supported Platforms:

Excel, Calc

Parameters

CurveState	CurveState object ID.
Trigger	dependency tracking trigger

qlCoinitialSwapZedMatrix

vector<vector<double> > returnValue
 
qlCoinitialSwapZedMatrix(
        string CurveState
        double Displacement
        any Trigger)

Description:

Returns the Z matrix to switch base from forward to coinitial swap rates.

Supported Platforms:

Excel, Calc

Parameters

CurveState	CurveState object ID.
Displacement	displacement. Default value = 0.0.
Trigger	dependency tracking trigger

qlCotSwapToFwdAdapter

string returnValue
 
qlCotSwapToFwdAdapter(
        string ObjectId
        string CoterminalModel
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CotSwapToFwdAdapter and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
CoterminalModel	CoTerminal Swap Market Model ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCoterminalSwapForwardJacobian

vector<vector<double> > returnValue
 
qlCoterminalSwapForwardJacobian(
        string CurveState
        any Trigger)

Description:

Returns the jacobian between coterminal swap rates and forward rates.

Supported Platforms:

Excel, Calc

Parameters

CurveState	CurveState object ID.
Trigger	dependency tracking trigger

qlCoterminalSwapZedMatrix

vector<vector<double> > returnValue
 
qlCoterminalSwapZedMatrix(
        string CurveState
        double Displacement
        any Trigger)

Description:

Returns the Z matrix to switch base from forward to coterminal swap rates.

Supported Platforms:

Excel, Calc

Parameters

CurveState	CurveState object ID.
Displacement	displacement. Default value = 0.0.
Trigger	dependency tracking trigger

qlFlatVol

string returnValue
 
qlFlatVol(
        string ObjectId
        vector<double> Volatilities
        string Correlations
        string EvolutionDescription
        long Factors
        vector<double> InitialRates
        vector<double> Displacements
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FlatVol and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Volatilities	volatilities.
Correlations	PiecewiseConstantCorrelation object ID.
EvolutionDescription	EvolutionDescription object.
Factors	number of factors to be retained in the simulation.
InitialRates	initial rates.
Displacements	displacements.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFlatVolFactory

string returnValue
 
qlFlatVolFactory(
        string ObjectId
        double LongTermCorr
        double Beta
        vector<double> Times
        vector<double> Volatilities
        string YieldCurve
        double Displacement
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FlatVolFactory and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
LongTermCorr	Long term correlation L in rho=L+(1-L)*exp(-beta*abs(Ti-Tj)).
Beta	beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj)).
Times	times.
Volatilities	volatilities.
YieldCurve	discounting yield term structure object ID.
Displacement	displacement. Default value = 0.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFwdPeriodAdapter

string returnValue
 
qlFwdPeriodAdapter(
        string ObjectId
        string LargeModel
        long Period
        long Offset
        vector<double> Displacements
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FwdPeriodAdapter and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
LargeModel	large MarketModel ID.
Period	target period (e.g. 2 if going from semiannual LMM to annual LMM).
Offset	rate index offset, in order to pin down swaption coterminal to the last rate time.
Displacements	displacements.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFwdToCotSwapAdapter

string returnValue
 
qlFwdToCotSwapAdapter(
        string ObjectId
        string ForwardModel
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FwdToCotSwapAdapter and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
ForwardModel	Forward Rate Market Model ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMarketModelCovariance

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

Description:

Returns the covariance matrix for the i-th step.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::MarketModel object
Index	evolution step index.
Trigger	dependency tracking trigger

qlMarketModelDisplacements

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

Description:

rates' displacemets for the MarketModel object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelInitialRates

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

Description:

initial rates for the MarketModel object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelNumberOfFactors

long returnValue
 
qlMarketModelNumberOfFactors(
        string ObjectId
        any Trigger)

Description:

number of factors for the MarketModel object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelNumberOfRates

long returnValue
 
qlMarketModelNumberOfRates(
        string ObjectId
        any Trigger)

Description:

number of rates for the MarketModel object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelNumberOfSteps

long returnValue
 
qlMarketModelNumberOfSteps(
        string ObjectId
        any Trigger)

Description:

number of steps for the MarketModel object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelPseudoRoot

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

Description:

Returns the pseudo root for the i-th step.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::MarketModel object
Index	evolution step index.
Trigger	dependency tracking trigger

qlMarketModelTimeDependentVolatility

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

Description:

Returns the time dependent vol for rate i.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelTotalCovariance

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

Description:

Returns the covariance matrix from start up to the i-th step.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::MarketModel object
Index	evolution step index.
Trigger	dependency tracking trigger

qlPseudoRootFacade

string returnValue
 
qlPseudoRootFacade(
        string ObjectId
        string Calibrator
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class PseudoRootFacade and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Calibrator	CTSMMCapletCalibration ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRateInstVolDifferences

vector<double> returnValue
 
qlRateInstVolDifferences(
        string MarketModel1
        string MarketModel2
        long Index
        any Trigger)

Description:

Compute the differences between volatilities at each evolution step.

Supported Platforms:

Excel, Calc

Parameters

MarketModel1	First Market Model.
MarketModel2	Second Market Model.
Index	Forward Rate index.
Trigger	dependency tracking trigger

qlRateVolDifferences

vector<double> returnValue
 
qlRateVolDifferences(
        string MarketModel1
        string MarketModel2
        any Trigger)

Description:

Compute the differences between all implied forwards volatilities.

Supported Platforms:

Excel, Calc

Parameters

MarketModel1	First Market Model.
MarketModel2	Second Market Model.
Trigger	dependency tracking trigger

qlSwapDerivative

double returnValue
 
qlSwapDerivative(
        string CurveState
        long StartIndex
        long EndIndex
        long FwdRateIndex
        any Trigger)

Description:

returns derivative of swap-rate to underlying forward rate.

Supported Platforms:

Excel, Calc

Parameters

CurveState	CurveState object ID.
StartIndex	start index.
EndIndex	end index.
FwdRateIndex	forward rate index. Default value = 0.
Trigger	dependency tracking trigger