Quotes

Overview

quotes objects.

Function List

qlBucketAnalysis ()
qlBucketAnalysisDelta ()
qlBucketAnalysisDelta2 ()
qlCompositeQuote ()
qlEurodollarFuturesImpliedStdDevQuote ()
qlForwardSwapQuote ()
qlForwardValueQuote ()
qlFuturesConvAdjustmentQuote ()
qlFuturesConvAdjustmentQuoteFuturesValue ()
qlFuturesConvAdjustmentQuoteImmDate ()
qlFuturesConvAdjustmentQuoteMeanReversion ()
qlFuturesConvAdjustmentQuoteVolatility ()
qlImpliedStdDevQuote ()
qlLastFixingQuote ()
qlLastFixingQuoteReferenceDate ()
qlQuoteIsValid ()
qlQuoteValue ()
qlRelinkableHandleQuote ()
qlSimpleQuote ()
qlSimpleQuoteReset ()
qlSimpleQuoteSetTickValue ()
qlSimpleQuoteSetValue ()
qlSimpleQuoteTickValue ()

Function Documentation

qlBucketAnalysis

vector<vector<double> > returnValue
 
qlBucketAnalysis(
        vector<vector<string> > SimpleQuote
        vector<string> Instruments
        vector<double> Quantities
        double Shift
        string SensitivityAnalysis
        any Trigger)

Description:

delta NPV bucket sensitivity analysis for a (single/vector/matrix) SimpleQuote.

Supported Platforms:

Excel

Parameters

SimpleQuote	simple quotes.
Instruments	instruments.
Quantities	quantities.
Shift	shift. Default value = 0.0001.
SensitivityAnalysis	SensitivityAnalysis type. Default value = Centered.
Trigger	dependency tracking trigger

qlBucketAnalysisDelta

vector<double> returnValue
 
qlBucketAnalysisDelta(
        string SimpleQuote
        vector<string> Parameters
        double Shift
        string SensitivityAnalysis
        any Trigger)

Description:

Parameters' bucket analysis delta for a single SimpleQuote.

Supported Platforms:

Excel

Parameters

SimpleQuote	simple quote.
Parameters	parameters vector.
Shift	shift. Default value = 0.0001.
SensitivityAnalysis	SensitivityAnalysis type. Default value = Centered.
Trigger	dependency tracking trigger

qlBucketAnalysisDelta2

vector<vector<double> > returnValue
 
qlBucketAnalysisDelta2(
        vector<string> SimpleQuote
        vector<string> Parameters
        double Shift
        string SensitivityAnalysis
        any Trigger)

Description:

Parameters' bucket analysis delta for a SimpleQuote vector.

Supported Platforms:

Excel

Parameters

SimpleQuote	simple quote.
Parameters	parameters vector.
Shift	shift. Default value = 0.0001.
SensitivityAnalysis	SensitivityAnalysis type. Default value = Centered.
Trigger	dependency tracking trigger

qlCompositeQuote

string returnValue
 
qlCompositeQuote(
        string ObjectId
        string Element1
        string Element2
        string Operator
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CompositeQuote and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Element1	the first, i.e. x, value in the f(x,y) expression.
Element2	the second, i.e. y, value in the f(x,y) expression.
Operator	the operator to be applied, e.g. ""+"" or ""-"".
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEurodollarFuturesImpliedStdDevQuote

string returnValue
 
qlEurodollarFuturesImpliedStdDevQuote(
        string ObjectId
        string AtmForwardValue
        string CallPrice
        string PutPrice
        double Strike
        double Guess
        double Accuracy
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class EurodollarFuturesImpliedStdDevQuote and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
AtmForwardValue	underlying asset at-the-money forward value.
CallPrice	call option price.
PutPrice	put option price.
Strike	option strike.
Guess	implied volatility guess. Default value = QuantLib::Null<QuantLib::Real>().
Accuracy	standard deviation accuracy. Default value = 1e-6.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlForwardSwapQuote

string returnValue
 
qlForwardSwapQuote(
        string ObjectId
        string SwapIndex
        string Spread
        string ForwardStart
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ForwardSwapQuote and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
SwapIndex	floating SwapIndex object ID.
Spread	floating leg spread.
ForwardStart	forward start period.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlForwardValueQuote

string returnValue
 
qlForwardValueQuote(
        string ObjectId
        string IborIndex
        long FixingDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ForwardValueQuote and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
IborIndex	floating IborIndex object ID.
FixingDate	Fixing Date.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFuturesConvAdjustmentQuote

string returnValue
 
qlFuturesConvAdjustmentQuote(
        string ObjectId
        string IborIndex
        string ImmCode
        string FuturesQuote
        string Volatility
        string MeanReversion
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FuturesConvAdjustmentQuote and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
IborIndex	floating IborIndex object ID.
ImmCode	futures IMM code (e.g. H9).
FuturesQuote	futures quote.
Volatility	HullWhite volatility.
MeanReversion	HullWhite mean reversion.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFuturesConvAdjustmentQuoteFuturesValue

double returnValue
 
qlFuturesConvAdjustmentQuoteFuturesValue(
        string ObjectId
        any Trigger)

Description:

Return the value of futures underlying.

Supported Platforms:

Excel

Parameters

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

qlFuturesConvAdjustmentQuoteImmDate

long returnValue
 
qlFuturesConvAdjustmentQuoteImmDate(
        string ObjectId
        any Trigger)

Description:

Return the IMM date of futures.

Supported Platforms:

Excel

Parameters

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

qlFuturesConvAdjustmentQuoteMeanReversion

double returnValue
 
qlFuturesConvAdjustmentQuoteMeanReversion(
        string ObjectId
        any Trigger)

Description:

Return the value of HW mean reversion.

Supported Platforms:

Excel

Parameters

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

qlFuturesConvAdjustmentQuoteVolatility

double returnValue
 
qlFuturesConvAdjustmentQuoteVolatility(
        string ObjectId
        any Trigger)

Description:

Return the value of HW volatility.

Supported Platforms:

Excel

Parameters

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

qlImpliedStdDevQuote

string returnValue
 
qlImpliedStdDevQuote(
        string ObjectId
        string OptionType
        string AtmForwardValue
        string OptionPrice
        double Strike
        double Guess
        double Accuracy
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ImpliedStdDevQuote and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OptionType	option type (i.e. Call or Put).
AtmForwardValue	underlying asset at-the-money forward value.
OptionPrice	option price.
Strike	option strike.
Guess	implied volatility guess. Default value = QuantLib::Null<QuantLib::Real>().
Accuracy	iv accuracy. Default value = 1e-6.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlLastFixingQuote

string returnValue
 
qlLastFixingQuote(
        string ObjectId
        string Index
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LastFixingQuote and return its id

Supported Platforms:

Excel, C++

Parameters

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

qlLastFixingQuoteReferenceDate

long returnValue
 
qlLastFixingQuoteReferenceDate(
        string ObjectId
        any Trigger)

Description:

Return the date of the last fixing

Supported Platforms:

Excel

Parameters

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

qlQuoteIsValid

bool returnValue
 
qlQuoteIsValid(
        string ObjectId
        any Trigger)

Description:

Returns TRUE if the given Quote object has a valid value.

Supported Platforms:

Excel, Calc

Parameters

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

qlQuoteValue

double returnValue
 
qlQuoteValue(
        string ObjectId
        any Trigger)

Description:

Returns the current value of the given Quote object.

Supported Platforms:

Excel, Calc

Parameters

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

qlRelinkableHandleQuote

string returnValue
 
qlRelinkableHandleQuote(
        string ObjectId
        string CurrentLink
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RelinkableHandleImpl<QuantLibAddin::Quote, QuantLib::Quote> and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
CurrentLink	Quote object ID. If omitted, nothing is linked by the RelinkableHandle. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSimpleQuote

string returnValue
 
qlSimpleQuote(
        string ObjectId
        double Value
        double TickValue
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SimpleQuote and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Value	quote. Default value = QuantLib::Null<QuantLib::Real>().
TickValue	tick value used for sensitivity analysis.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSimpleQuoteReset

void returnValue
 
qlSimpleQuoteReset(
        string ObjectId
        any Trigger)

Description:

resets the given SimpleQuote object to the uninitialized state.

Supported Platforms:

Excel, Calc

Parameters

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

qlSimpleQuoteSetTickValue

void returnValue
 
qlSimpleQuoteSetTickValue(
        string ObjectId
        double Value
        any Trigger)

Description:

sets the tick value of the given SimpleQuote object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::SimpleQuote object
Value	the new tick value.
Trigger	dependency tracking trigger

qlSimpleQuoteSetValue

double returnValue
 
qlSimpleQuoteSetValue(
        string ObjectId
        double Value
        any Trigger)

Description:

sets a new value to the given SimpleQuote object and returns the difference with the previous value.

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of existing QuantLibAddin::SimpleQuote object
Value	the new value. Default value = QuantLib::Null<QuantLib::Real>().
Trigger	dependency tracking trigger

qlSimpleQuoteTickValue

double returnValue
 
qlSimpleQuoteTickValue(
        string ObjectId
        any Trigger)

Description:

returns the tick value of the given SimpleQuote object.

Supported Platforms:

Excel

Parameters

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