Overview

functions to construct and use PricingEngine objects.

Function List

Function Documentation

qlAnalyticCapFloorEngine

string returnValue
 
qlAnalyticCapFloorEngine(
        string ObjectId
        string HandleModel
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class AnalyticCapFloorEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
HandleModel	affine model (providing a discount bond option pricing formula) object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBachelierBlackFormula

double returnValue
 
qlBachelierBlackFormula(
        string OptionType
        double Strike
        double AtmForwardValue
        double StdDev
        double Deflator
        any Trigger)

Description:

Black style formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier.

Supported Platforms:

Excel

Parameters

OptionType	option type (i.e. Call or Put).
Strike	option strike.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized ABSOLUTE volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Trigger	dependency tracking trigger

qlBachelierBlackFormula2

double returnValue
 
qlBachelierBlackFormula2(
        string Payoff
        double AtmForwardValue
        double StdDev
        double Deflator
        any Trigger)

Description:

Black style formula when forward is normal rather than log-normal, i.e. essentially the model of Bachelier. It uses a PlainVanillaPayoff object as input.

Supported Platforms:

Excel

Parameters

Payoff	PlainVanillaPayoff object ID.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized ABSOLUTE volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Trigger	dependency tracking trigger

qlBachelierBlackFormulaImpliedVol

double returnValue
 
qlBachelierBlackFormulaImpliedVol(
        string OptionType
        double Strike
        double AtmForwardValue
        double TimeToExpiry
        double OptionPrice
        double Deflator
        any Trigger)

Description:

Normal implied volatility.

Supported Platforms:

Excel

Parameters

OptionType	option type (i.e. Call or Put).
Strike	option strike.
AtmForwardValue	underlying asset at-the-money forward value.
TimeToExpiry	time to expiry as year fraction.
OptionPrice	option price.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Trigger	dependency tracking trigger

qlBachelierCapFloorEngine

string returnValue
 
qlBachelierCapFloorEngine(
        string ObjectId
        string YieldCurve
        string VolTS
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BachelierCapFloorEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting YieldTermStructure object ID.
VolTS	OptionletVolatilityStructure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBachelierCapFloorEngine2

string returnValue
 
qlBachelierCapFloorEngine2(
        string ObjectId
        string YieldCurve
        string Vol
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BachelierCapFloorEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting YieldTermStructure object ID.
Vol	Term (i.e. flat) volatility.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBinomialPricingEngine

string returnValue
 
qlBinomialPricingEngine(
        string ObjectId
        string EngineID
        string ProcessID
        long TimeSteps
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class PricingEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
EngineID	engine type.
ProcessID	GeneralizedBlackScholesProcess object ID.
TimeSteps	#/time steps.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackCalculator

string returnValue
 
qlBlackCalculator(
        string ObjectId
        string OptionType
        double Strike
        double AtmForwardValue
        double StdDev
        double Deflator
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackCalculator and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OptionType	option type (i.e. Call or Put).
Strike	option strike.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackCalculator2

string returnValue
 
qlBlackCalculator2(
        string ObjectId
        string PayoffID
        double AtmForwardValue
        double StdDev
        double Deflator
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackCalculator and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
PayoffID	StrikedTypePayoff ID.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackCalculatorAlpha

double returnValue
 
qlBlackCalculatorAlpha(
        string ObjectId
        any Trigger)

Description:

returns the alpha of the internal formulation of the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorBeta

double returnValue
 
qlBlackCalculatorBeta(
        string ObjectId
        any Trigger)

Description:

returns the beta of the internal formulation of the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorDelta

double returnValue
 
qlBlackCalculatorDelta(
        string ObjectId
        double Spot
        any Trigger)

Description:

returns the sensitivity to change in the underlying spot price for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackCalculator object
Spot	spot value.
Trigger	dependency tracking trigger

qlBlackCalculatorDeltaForward

double returnValue
 
qlBlackCalculatorDeltaForward(
        string ObjectId
        any Trigger)

Description:

returns the sensitivity to change in the underlying forward price for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorDividendRho

double returnValue
 
qlBlackCalculatorDividendRho(
        string ObjectId
        double TimeToMaturity
        any Trigger)

Description:

returns the sensitivity to dividend/growth rate for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackCalculator object
TimeToMaturity	time to maturity in years.
Trigger	dependency tracking trigger

qlBlackCalculatorElasticity

double returnValue
 
qlBlackCalculatorElasticity(
        string ObjectId
        double Spot
        any Trigger)

Description:

returns the sensitivity in percent to a percent change in the underlying spot price for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackCalculator object
Spot	spot value.
Trigger	dependency tracking trigger

qlBlackCalculatorElasticityForward

double returnValue
 
qlBlackCalculatorElasticityForward(
        string ObjectId
        any Trigger)

Description:

returns the sensitivity in percent to a percent change in the underlying forward price for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorGamma

double returnValue
 
qlBlackCalculatorGamma(
        string ObjectId
        double Spot
        any Trigger)

Description:

returns the second order derivative with respect to change in the underlying spot price for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackCalculator object
Spot	spot value.
Trigger	dependency tracking trigger

qlBlackCalculatorGammaForward

double returnValue
 
qlBlackCalculatorGammaForward(
        string ObjectId
        any Trigger)

Description:

returns the second order derivative with respect to change in the underlying forward price for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorItmAssetProbability

double returnValue
 
qlBlackCalculatorItmAssetProbability(
        string ObjectId
        any Trigger)

Description:

returns the probability of being in the money in the asset martingale measure for the given BlackCalculator object. It is a risk-neutral probability, not the real world probability.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorItmCashProbability

double returnValue
 
qlBlackCalculatorItmCashProbability(
        string ObjectId
        any Trigger)

Description:

returns the probability of being in the money in the bond martingale measure for the given BlackCalculator object. It is a risk-neutral probability, not the real world probability.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorRho

double returnValue
 
qlBlackCalculatorRho(
        string ObjectId
        double TimeToMaturity
        any Trigger)

Description:

returns the sensitivity to discounting rate for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackCalculator object
TimeToMaturity	time to maturity in years.
Trigger	dependency tracking trigger

qlBlackCalculatorStrikeSensitivity

double returnValue
 
qlBlackCalculatorStrikeSensitivity(
        string ObjectId
        any Trigger)

Description:

returns the sensitivity to strike for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorTheta

double returnValue
 
qlBlackCalculatorTheta(
        string ObjectId
        double Spot
        double TimeToMaturity
        any Trigger)

Description:

returns the sensitivity to time to maturity for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackCalculator object
Spot	spot value.
TimeToMaturity	time to maturity in years.
Trigger	dependency tracking trigger

qlBlackCalculatorThetaPerDay

double returnValue
 
qlBlackCalculatorThetaPerDay(
        string ObjectId
        double Spot
        double TimeToMaturity
        any Trigger)

Description:

returns the sensitivity to time to maturity per day, assuming 365 days per year, for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackCalculator object
Spot	spot value.
TimeToMaturity	time to maturity in years.
Trigger	dependency tracking trigger

qlBlackCalculatorValue

double returnValue
 
qlBlackCalculatorValue(
        string ObjectId
        any Trigger)

Description:

returns the option value for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackCalculatorVega

double returnValue
 
qlBlackCalculatorVega(
        string ObjectId
        double TimeToMaturity
        any Trigger)

Description:

returns the sensitivity to volatility for the given BlackCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackCalculator object
TimeToMaturity	time to maturity in years.
Trigger	dependency tracking trigger

qlBlackCapFloorEngine

string returnValue
 
qlBlackCapFloorEngine(
        string ObjectId
        string YieldCurve
        string VolTS
        double Displacement
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackCapFloorEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting YieldTermStructure object ID.
VolTS	OptionletVolatilityStructure object ID.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackCapFloorEngine2

string returnValue
 
qlBlackCapFloorEngine2(
        string ObjectId
        string YieldCurve
        string Vol
        double Displacement
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackCapFloorEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting YieldTermStructure object ID.
Vol	Term (i.e. flat) volatility.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackFormula

double returnValue
 
qlBlackFormula(
        string OptionType
        double Strike
        double AtmForwardValue
        double StdDev
        double Deflator
        double Displacement
        any Trigger)

Description:

Black 1976 formula for option pricing, using displacement.

Supported Platforms:

Excel

Parameters

OptionType	option type (i.e. Call or Put).
Strike	option strike.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlBlackFormula2

double returnValue
 
qlBlackFormula2(
        string Payoff
        double AtmForwardValue
        double StdDev
        double Deflator
        double Displacement
        any Trigger)

Description:

Black 1976 formula for option pricing with displacement. It uses a PlainVanillaPayoff object as input.

Supported Platforms:

Excel

Parameters

Payoff	PlainVanillaPayoff object ID.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlBlackFormulaCashItmProbability

double returnValue
 
qlBlackFormulaCashItmProbability(
        string OptionType
        double Strike
        double AtmForwardValue
        double StdDev
        double Displacement
        any Trigger)

Description:

Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.

Supported Platforms:

Excel

Parameters

OptionType	option type (i.e. Call or Put).
Strike	option strike.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlBlackFormulaCashItmProbability2

double returnValue
 
qlBlackFormulaCashItmProbability2(
        string Payoff
        double AtmForwardValue
        double StdDev
        double Displacement
        any Trigger)

Description:

Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one. It uses a PlainVanillaPayoff object as input.

Supported Platforms:

Excel

Parameters

Payoff	PlainVanillaPayoff object ID.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlBlackFormulaImpliedStdDev

double returnValue
 
qlBlackFormulaImpliedStdDev(
        string OptionType
        double Strike
        double AtmForwardValue
        double OptionPrice
        double Deflator
        double Displacement
        double Guess
        double Accuracy
        long MaxIter
        any Trigger)

Description:

Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula with displacement.

Supported Platforms:

Excel

Parameters

OptionType	option type (i.e. Call or Put).
Strike	option strike.
AtmForwardValue	underlying asset at-the-money forward value.
OptionPrice	option price.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Guess	standard deviation guess. Default value = QuantLib::Null<QuantLib::Real>().
Accuracy	solver accuracy. Default value = 1.0e-6.
MaxIter	solver max iterations. Default value = 100.
Trigger	dependency tracking trigger

qlBlackFormulaImpliedStdDev2

double returnValue
 
qlBlackFormulaImpliedStdDev2(
        string PayoffID
        double AtmForwardValue
        double OptionPrice
        double Deflator
        double Displacement
        double Guess
        double Accuracy
        long MaxIter
        any Trigger)

Description:

Standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula. It uses a PlainVanillaPayoff object as input.

Supported Platforms:

Excel

Parameters

PayoffID	PlainVanillaPayoff object ID.
AtmForwardValue	underlying asset at-the-money forward value.
OptionPrice	option price.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Guess	standard deviation guess. Default value = QuantLib::Null<QuantLib::Real>().
Accuracy	standard deviation accuracy. Default value = 1.0e-6.
MaxIter	solver max iterations. Default value = 100.
Trigger	dependency tracking trigger

qlBlackFormulaImpliedStdDevApproximation

double returnValue
 
qlBlackFormulaImpliedStdDevApproximation(
        string OptionType
        double Strike
        double AtmForwardValue
        double OptionPrice
        double Deflator
        double Displacement
        any Trigger)

Description:

Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula.

Supported Platforms:

Excel

Parameters

OptionType	option type (i.e. Call or Put).
Strike	option strike.
AtmForwardValue	underlying asset at-the-money forward value.
OptionPrice	option price.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlBlackFormulaImpliedStdDevApproximation2

double returnValue
 
qlBlackFormulaImpliedStdDevApproximation2(
        string Payoff
        double AtmForwardValue
        double OptionPrice
        double Deflator
        double Displacement
        any Trigger)

Description:

Approximation for the standard deviation (annualized percentage volatility times the square root of time to option expiry) implied by the Black 1976 formula. It uses a PlainVanillaPayoff object as input.

Supported Platforms:

Excel

Parameters

Payoff	PlainVanillaPayoff object ID.
AtmForwardValue	underlying asset at-the-money forward value.
OptionPrice	option price.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlBlackFormulaStdDevDerivative

double returnValue
 
qlBlackFormulaStdDevDerivative(
        double Strike
        double AtmForwardValue
        double StdDev
        double Deflator
        double Displacement
        any Trigger)

Description:

Black 1976 formula for the derivative with respect to the standard deviation (annualized percentage volatility times the square root of time to option expiry), with displacement.

Supported Platforms:

Excel

Parameters

Strike	option strike.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlBlackFormulaStdDevDerivative2

double returnValue
 
qlBlackFormulaStdDevDerivative2(
        string PayoffID
        double AtmForwardValue
        double StdDev
        double Deflator
        double Displacement
        any Trigger)

Description:

Black 1976 formula for the derivative with respect to the standard deviation (annualized percentage volatility times the square root of time to option expiry). It uses a PlainVanillaPayoff object as input.

Supported Platforms:

Excel

Parameters

PayoffID	PlainVanillaPayoff object ID.
AtmForwardValue	underlying asset at-the-money forward value.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlBlackScholesCalculator

string returnValue
 
qlBlackScholesCalculator(
        string ObjectId
        string OptionType
        double Strike
        double Spot
        double Growth
        double StdDev
        double Deflator
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackScholesCalculator and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OptionType	option type (i.e. Call or Put).
Strike	option strike.
Spot	spot value.
Growth	growth discount factor. Default value = 1.0.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackScholesCalculator2

string returnValue
 
qlBlackScholesCalculator2(
        string ObjectId
        string PayoffID
        double Spot
        double Growth
        double StdDev
        double Deflator
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackScholesCalculator and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
PayoffID	StrikedTypePayoff ID.
Spot	spot value.
Growth	growth discount factor. Default value = 1.0.
StdDev	standard deviation, i.e. annualized percentage volatility times the square root of time to option expiry.
Deflator	Deflator (usually the discount factor, or the annuity, etc.). Default value = 1.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackScholesCalculatorDelta

double returnValue
 
qlBlackScholesCalculatorDelta(
        string ObjectId
        any Trigger)

Description:

returns the sensitivity to change in the underlying spot price for the given BlackScholesCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackScholesCalculatorElasticity

double returnValue
 
qlBlackScholesCalculatorElasticity(
        string ObjectId
        any Trigger)

Description:

returns the sensitivity in percent to a percent change in the underlying spot price for the given BlackScholesCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackScholesCalculatorGamma

double returnValue
 
qlBlackScholesCalculatorGamma(
        string ObjectId
        any Trigger)

Description:

returns the second order derivative with respect to change in the underlying spot price for the given BlackScholesCalculator object.

Supported Platforms:

Excel

Parameters

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

qlBlackScholesCalculatorTheta

double returnValue
 
qlBlackScholesCalculatorTheta(
        string ObjectId
        double TimeToMaturity
        any Trigger)

Description:

returns the sensitivity to time to maturity for the given BlackScholesCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackScholesCalculator object
TimeToMaturity	time to maturity in years.
Trigger	dependency tracking trigger

qlBlackScholesCalculatorThetaPerDay

double returnValue
 
qlBlackScholesCalculatorThetaPerDay(
        string ObjectId
        double TimeToMaturity
        any Trigger)

Description:

returns the sensitivity to time to maturity per day, assuming 365 days per year, for the given BlackScholesCalculator object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackScholesCalculator object
TimeToMaturity	time to maturity in years.
Trigger	dependency tracking trigger

qlBlackSwaptionEngine

string returnValue
 
qlBlackSwaptionEngine(
        string ObjectId
        string YieldCurve
        string VolTS
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackSwaptionEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting yield term structure object ID.
VolTS	SwaptionVolatilityStructure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackSwaptionEngine2

string returnValue
 
qlBlackSwaptionEngine2(
        string ObjectId
        string YieldCurve
        string Vol
        double Displacement
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackSwaptionEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting yield term structure object ID.
Vol	swaption Black volatility.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBondEngine

string returnValue
 
qlBondEngine(
        string ObjectId
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BondEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting yield term structure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDiscountingSwapEngine

string returnValue
 
qlDiscountingSwapEngine(
        string ObjectId
        string YieldCurve
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DiscountingSwapEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting yield term structure object ID.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing it is assumed equal to the discounting yield term structure's reference date. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the discounting yield term structure's reference date. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlJamshidianSwaptionEngine

string returnValue
 
qlJamshidianSwaptionEngine(
        string ObjectId
        string Model
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class JamshidianSwaptionEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Model	Model object ID.
YieldCurve	yield term structure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlModelG2SwaptionEngine

string returnValue
 
qlModelG2SwaptionEngine(
        string ObjectId
        string Model
        double Range
        long Intervals
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class G2SwaptionEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Model	G2 Model object ID.
Range	Range.
Intervals	Intervals.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPricingEngine

string returnValue
 
qlPricingEngine(
        string ObjectId
        string EngineID
        string ProcessID
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class PricingEngine and return its id

Supported Platforms:

Excel, C, Calc, Guile, C++

Parameters

ObjectId	id of object to be created
EngineID	engine type.
ProcessID	GeneralizedBlackScholesProcess object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlTreeSwaptionEngine

string returnValue
 
qlTreeSwaptionEngine(
        string ObjectId
        string Model
        long Nsteps
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class TreeSwaptionEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Model	Model object ID.
Nsteps	Number of time steps.
YieldCurve	yield term structure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag