Short Rate Models

Overview

functions to construct and use short-rate model objects.

Function List

qlFuturesConvexityBias ()
qlHullWhite ()
qlModelG2 ()
qlModelG2A ()
qlModelG2B ()
qlModelG2eta ()
qlModelG2rho ()
qlModelG2sigma ()
qlVasicek ()
qlVasicekA ()
qlVasicekB ()
qlVasicekLambda ()
qlVasicekSigma ()

Function Documentation

qlFuturesConvexityBias

double returnValue
 
qlFuturesConvexityBias(
        double FuturesPrice
        double T1
        double T2
        double Sigma
        double A
        any Trigger)

Description:

Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997.

Supported Platforms:

Excel

Parameters

FuturesPrice	Futures price (e.g. 94.56).
T1	Maturity date of the futures contract in years(e.g. 5.0).
T2	Maturity of the underlying Libor deposit in years (e.g. 5.25).
Sigma	Hull-White volatility (e.g. 0.015).
A	Hull-White mean reversion. Default value = 0.03.
Trigger	dependency tracking trigger

qlHullWhite

string returnValue
 
qlHullWhite(
        string ObjectId
        string YieldCurve
        double A
        double Sigma
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class HullWhite and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
YieldCurve	YieldTermStructure object ID.
A	a.
Sigma	volatility.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlModelG2

string returnValue
 
qlModelG2(
        string ObjectId
        string YieldCurve
        double A
        double Sigma
        double B
        double Eta
        double Correlation
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class G2 and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
YieldCurve	YieldTermStructure object ID.
A	drift of x(t) dynamics with r(t)= x(t) + y(t). Default value = 0.1.
Sigma	volatility of x(t) dynamics with r(t)= x(t) + y(t). Default value = 0.01.
B	drift of y(t) dynamics with r(t)= x(t) + y(t). Default value = 0.1.
Eta	volatility of y(t) dynamics with r(t)= x(t) + y(t). Default value = 0.01.
Correlation	Correlation between x(t) and y(t) Default value = -0.75.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlModelG2A

double returnValue
 
qlModelG2A(
        string ObjectId
        any Trigger)

Description:

returns the drift of x(t) dynamics with r(t) = x(t) + y(t).

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::G2 object
Trigger	dependency tracking trigger

qlModelG2B

double returnValue
 
qlModelG2B(
        string ObjectId
        any Trigger)

Description:

returns the drift of y(t) dynamics with r(t) = x(t) + y(t).

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::G2 object
Trigger	dependency tracking trigger

qlModelG2eta

double returnValue
 
qlModelG2eta(
        string ObjectId
        any Trigger)

Description:

returns the volatility of y(t) dynamics with r(t) = x(t) + y(t).

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::G2 object
Trigger	dependency tracking trigger

qlModelG2rho

double returnValue
 
qlModelG2rho(
        string ObjectId
        any Trigger)

Description:

returns the correlation between x(t) and y(t) with r(t) = x(t) + y(t).

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::G2 object
Trigger	dependency tracking trigger

qlModelG2sigma

double returnValue
 
qlModelG2sigma(
        string ObjectId
        any Trigger)

Description:

returns the volatility of x(t) dynamics with r(t) = x(t) + y(t).

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::G2 object
Trigger	dependency tracking trigger

qlVasicek

string returnValue
 
qlVasicek(
        string ObjectId
        double R0
        double A
        double B
        double Sigma
        double Lambda
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Vasicek and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
R0	initial value. Default value = 0.05.
A	mean reverting speed. Default value = 0.1.
B	short-rate limit value. Default value = 0.05.
Sigma	volatility. Default value = 0.01.
Lambda	risk premium. Default value = 0.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlVasicekA

double returnValue
 
qlVasicekA(
        string ObjectId
        any Trigger)

Description:

returns mean reverting speed a, with dr(t) = a(b-r(t))dt + sigma dW(t).

Supported Platforms:

Excel, Calc

Parameters

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

qlVasicekB

double returnValue
 
qlVasicekB(
        string ObjectId
        any Trigger)

Description:

returns short-rate limit value b, with dr(t) = a(b-r(t))dt + sigma dW(t).

Supported Platforms:

Excel, Calc

Parameters

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

qlVasicekLambda

double returnValue
 
qlVasicekLambda(
        string ObjectId
        any Trigger)

Description:

returns the risk premium.

Supported Platforms:

Excel, Calc

Parameters

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

qlVasicekSigma

double returnValue
 
qlVasicekSigma(
        string ObjectId
        any Trigger)

Description:

returns the volatility sigma, with dr(t) = a(b-r(t))dt + sigma dW(t).

Supported Platforms:

Excel, Calc

Parameters

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