Overview

functions to construct and use Swaption objects.

Function List

qlMakeSwaption ()
qlSwaption ()
qlSwaptionImpliedVolatility ()
qlSwaptionSettlementType ()
qlSwaptionType ()

Function Documentation

qlMakeSwaption

string returnValue
 
qlMakeSwaption(
        string ObjectId
        string SwapIndex
        string OptionTenor
        double Strike
        string PricingEngineID
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Swaption and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
SwapIndex	SwapIndex object ID.
OptionTenor	option tenor as Period (e.g. '5Y').
Strike	strike. Default value = QuantLib::Null<QuantLib::Rate>().
PricingEngineID	Swaption PricingEngine object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwaption

string returnValue
 
qlSwaption(
        string ObjectId
        string VanillaSwap
        string Exercise
        string SettlementType
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Swaption and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
VanillaSwap	underlying (vanilla) swap object ID.
Exercise	Exercise object ID.
SettlementType	settlement type (Physical, Cash).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwaptionImpliedVolatility

double returnValue
 
qlSwaptionImpliedVolatility(
        string ObjectId
        double Price
        string YieldCurve
        double Guess
        double Accuracy
        long MaxIter
        double MinVol
        double MaxVol
        string VolatilityType
        double Displacement
        any Trigger)

Description:

Returns the volatility implied by the given price for the given Swaption object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Swaption object
Price	Price used to infer the implied volatility.
YieldCurve	discounting YieldTermStructure object ID.
Guess	Volatility guess. Default value = 0.10.
Accuracy	solver accuracy. Default value = 1.0e-6.
MaxIter	solver max iterations. Default value = 100.
MinVol	Minimum volatility, no lower solution. Default value = 1.0e-7.
MaxVol	Maximum volatility, no higher solution. Default value = 4.0.
VolatilityType	Volatility type. Default value = ShiftedLognormal.
Displacement	displacement in a displaced diffusion model. Default value = 0.0.
Trigger	dependency tracking trigger

qlSwaptionSettlementType

string returnValue
 
qlSwaptionSettlementType(
        string ObjectId
        any Trigger)

Description:

returns the settlement type (Cash or Delivery) for the given Swaption object.

Supported Platforms:

Excel, Calc

Parameters

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

qlSwaptionType

string returnValue
 
qlSwaptionType(
        string ObjectId
        any Trigger)

Description:

returns the type (Payer or Receiver) for the given Swaption object.

Supported Platforms:

Excel, Calc

Parameters

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