Overview

functions to construct and use SmileSection objects.

Function List

Function Documentation

qlFlatSmileSection

string returnValue
 
qlFlatSmileSection(
        string ObjectId
        long OptionDate
        double Volatility
        string DayCounter
        long RefDate
        double AtmValue
        string VolatilityType
        double Displacement
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FlatSmileSection and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OptionDate	smile's expiry as date.
Volatility	volatilities.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
RefDate	ref date.
AtmValue	Current value of the underlying.
VolatilityType	Volatility type: Normal or ShiftedLognormal. Default value = ShiftedLognormal.
Displacement	Shift for the lognormal model. Default value = 0.00.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlInterpolatedSmileSection

string returnValue
 
qlInterpolatedSmileSection(
        string ObjectId
        long OptionDate
        vector<double> Strikes
        vector<string> StdDevs
        string AtmLevel
        string DayCounter
        string VolatilityType
        double Displacement
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class InterpolatedSmileSection and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OptionDate	smile's expiry as date.
Strikes	strikes.
StdDevs	standard deviations (i.e. volatilities times square root of time to option expiry).
AtmLevel	Current value of the underlying.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
VolatilityType	Volatility type: Normal or ShiftedLognormal. Default value = ShiftedLognormal.
Displacement	Shift for the lognormal model. Default value = 0.00.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSabrInterpolatedSmileSection

string returnValue
 
qlSabrInterpolatedSmileSection(
        string ObjectId
        long OptionDate
        double ForwardRate
        vector<double> Strike
        bool FloatingStrike
        double AtmVolatility
        vector<double> VolatilitySpreads
        double Alpha
        double Beta
        double Nu
        double Rho
        bool AlphaIsFixed
        bool BetaIsFixed
        bool NuIsFixed
        bool RhoIsFixed
        bool VegaWeighted
        string EndCriteria
        string Method
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SabrInterpolatedSmileSection and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OptionDate	smile's expiry as Date.
ForwardRate	Atm forward rate.
Strike	strikes.
FloatingStrike	Strikes are floating or fixed.
AtmVolatility	atm volatility.
VolatilitySpreads	volatilities spread at option expiries.
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 = false.
EndCriteria	EndCriteria object ID. Default value = .
Method	OptimizationMethod object ID. Default value = .
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSabrInterpolatedSmileSection1

string returnValue
 
qlSabrInterpolatedSmileSection1(
        string ObjectId
        long OptionDate
        string ForwardRate
        vector<double> Strike
        bool FloatingStrike
        string AtmVolatility
        vector<string> VolatilitySpreads
        double Alpha
        double Beta
        double Nu
        double Rho
        bool AlphaIsFixed
        bool BetaIsFixed
        bool NuIsFixed
        bool RhoIsFixed
        bool VegaWeighted
        string EndCriteria
        string Method
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SabrInterpolatedSmileSection and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OptionDate	smile's expiry as Date.
ForwardRate	Atm forward rate quote.
Strike	strikes.
FloatingStrike	Strikes are floating or fixed.
AtmVolatility	atm volatility quote.
VolatilitySpreads	volatilities spread quotes at option expiries.
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 = false.
EndCriteria	EndCriteria object ID. Default value = .
Method	OptimizationMethod object ID. Default value = .
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSabrInterpolatedSmileSectionAlpha

double returnValue
 
qlSabrInterpolatedSmileSectionAlpha(
        string ObjectId
        any Trigger)

Description:

Returns the alpha of the SABR fit for the given SabrInterpolatedSmileSection object.

Supported Platforms:

Excel

Parameters

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

qlSabrInterpolatedSmileSectionBeta

double returnValue
 
qlSabrInterpolatedSmileSectionBeta(
        string ObjectId
        any Trigger)

Description:

Returns the beta of the SABR fit.

Supported Platforms:

Excel

Parameters

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

qlSabrInterpolatedSmileSectionEndCriteria

string returnValue
 
qlSabrInterpolatedSmileSectionEndCriteria(
        string ObjectId
        any Trigger)

Description:

Returns the optimization end criteria of the SABR fit for the given SabrInterpolatedSmileSection object.

Supported Platforms:

Excel

Parameters

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

qlSabrInterpolatedSmileSectionError

double returnValue
 
qlSabrInterpolatedSmileSectionError(
        string ObjectId
        any Trigger)

Description:

Returns the error of the SABR fit for the given SabrInterpolatedSmileSection object.

Supported Platforms:

Excel

Parameters

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

qlSabrInterpolatedSmileSectionMaxError

double returnValue
 
qlSabrInterpolatedSmileSectionMaxError(
        string ObjectId
        any Trigger)

Description:

Returns the max error of the SABR fit for the given SabrInterpolatedSmileSection object.

Supported Platforms:

Excel

Parameters

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

qlSabrInterpolatedSmileSectionNu

double returnValue
 
qlSabrInterpolatedSmileSectionNu(
        string ObjectId
        any Trigger)

Description:

Returns the nu of the SABR fit for the given SabrInterpolatedSmileSection object.

Supported Platforms:

Excel

Parameters

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

qlSabrInterpolatedSmileSectionRho

double returnValue
 
qlSabrInterpolatedSmileSectionRho(
        string ObjectId
        any Trigger)

Description:

Returns the rho of the SABR fit for the given SabrInterpolatedSmileSection object.

Supported Platforms:

Excel

Parameters

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

qlSabrSmileSection

string returnValue
 
qlSabrSmileSection(
        string ObjectId
        double OptionTime
        vector<double> Strikes
        vector<string> StdDevs
        string Forward
        double Alpha
        double Beta
        double Nu
        double Rho
        bool AlphaIsFixed
        bool BetaIsFixed
        bool NuIsFixed
        bool RhoIsFixed
        bool VegaWeighted
        string EndCriteria
        string Method
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SabrSmileSection and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OptionTime	smile's expiry as time.
Strikes	strikes.
StdDevs	standard deviations (i.e. volatilities times square root of time to option expiry).
Forward	atm 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 = false.
EndCriteria	EndCriteria object ID. Default value = .
Method	Optimization Method. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSmileSectionAtmLevel

double returnValue
 
qlSmileSectionAtmLevel(
        string ObjectId
        any Trigger)

Description:

Returns the current value of the SmileSection underlying.

Supported Platforms:

Excel

Parameters

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

qlSmileSectionDayCounter

string returnValue
 
qlSmileSectionDayCounter(
        string ObjectId
        any Trigger)

Description:

Returns the DayCounter of the SmileSection object.

Supported Platforms:

Excel

Parameters

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

qlSmileSectionExerciseDate

long returnValue
 
qlSmileSectionExerciseDate(
        string ObjectId
        any Trigger)

Description:

Returns the exercise date of the SmileSection object.

Supported Platforms:

Excel

Parameters

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

qlSmileSectionFromSabrVolSurface

string returnValue
 
qlSmileSectionFromSabrVolSurface(
        string ObjectId
        string SabrVolSurface
        double OptionTime
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SmileSectionFromSabrVolSurface and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
SabrVolSurface	SabrVolSurface object ID.
OptionTime	smile's expiry as date.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSmileSectionVariance

double returnValue
 
qlSmileSectionVariance(
        string ObjectId
        double Strike
        any Trigger)

Description:

Returns the variance at a given strike from the SmileSection object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SmileSection object
Strike	strike. Default value = QuantLib::Null<QuantLib::Real>().
Trigger	dependency tracking trigger

qlSmileSectionVolatility

double returnValue
 
qlSmileSectionVolatility(
        string ObjectId
        double Strike
        any Trigger)

Description:

Returns the volatility at a given strike from the SmileSection object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SmileSection object
Strike	strike. Default value = QuantLib::Null<QuantLib::Real>().
Trigger	dependency tracking trigger