Overview

functions to construct and use SwaptionVolatilityStructure objects.

Function List

qlConstantSwaptionVolatility ()
qlDenseSabrParameters ()
qlMarketVolCube ()
qlRelinkableHandleSwaptionVolatilityStructure ()
qlSmileSectionByCube ()
qlSmileSectionByCube2 ()
qlSparseSabrParameters ()
qlSpreadedSwaptionVolatility ()
qlSwaptionVTSBlackVariance ()
qlSwaptionVTSBlackVariance2 ()
qlSwaptionVTSBusinessDayConvention ()
qlSwaptionVTSMatrix ()
qlSwaptionVTSMatrixLocate ()
qlSwaptionVTSMatrixOptionDates ()
qlSwaptionVTSMatrixOptionTenors ()
qlSwaptionVTSMatrixSwapTenors ()
qlSwaptionVTSMaxSwapTenor ()
qlSwaptionVTSOptionDateFromTenor ()
qlSwaptionVTSSwapLength ()
qlSwaptionVTSSwapLength2 ()
qlSwaptionVTSVolatility ()
qlSwaptionVTSVolatility2 ()
qlSwaptionVTSatmStrike ()
qlSwaptionVTSatmStrike2 ()
qlSwaptionVolCube1 ()
qlSwaptionVolCube2 ()
qlVolCubeAtmCalibrated ()

Function Documentation

qlConstantSwaptionVolatility

string returnValue
 
qlConstantSwaptionVolatility(
        string ObjectId
        long NDays
        string Calendar
        string BusinessDayConvention
        string Volatility
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ConstantSwaptionVolatility and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
NDays	number of days to advance from EvaluationDate: it fixes the date at which the variance = 0.0. Default value = 0.
Calendar	holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries.
BusinessDayConvention	Business day convention used for calculating the exercise dates from the expiries.
Volatility	cap/floor constant volatility Quote.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDenseSabrParameters

vector<vector<any> > returnValue
 
qlDenseSabrParameters(
        string ObjectId
        any Trigger)

Description:

returns results of Sabr calibration for the given SwaptionVolCube1 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::SwaptionVolCube1 object
Trigger	dependency tracking trigger

qlMarketVolCube

vector<vector<any> > returnValue
 
qlMarketVolCube(
        string ObjectId
        any Trigger)

Description:

returns the market volatility cube for the given SwaptionVolCube1 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::SwaptionVolCube1 object
Trigger	dependency tracking trigger

qlRelinkableHandleSwaptionVolatilityStructure

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

Description:

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

Supported Platforms:

Excel, C++

Parameters

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

qlSmileSectionByCube

string returnValue
 
qlSmileSectionByCube(
        string ObjectId
        string VolCube
        long OptionDate
        string SwapTenor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SmileSectionByCube and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
VolCube	Swaption volatility cube object ID.
OptionDate	smile's expiry as date.
SwapTenor	smile's underlying swap length.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSmileSectionByCube2

string returnValue
 
qlSmileSectionByCube2(
        string ObjectId
        string VolCube
        string OptionDate
        string SwapTenor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SmileSectionByCube and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
VolCube	Swaption volatility cube object ID.
OptionDate	smile's expiry as period.
SwapTenor	smile's underlying swap length.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSparseSabrParameters

vector<vector<any> > returnValue
 
qlSparseSabrParameters(
        string ObjectId
        any Trigger)

Description:

returns results of Sabr calibration for the given SwaptionVolCube1 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::SwaptionVolCube1 object
Trigger	dependency tracking trigger

qlSpreadedSwaptionVolatility

string returnValue
 
qlSpreadedSwaptionVolatility(
        string ObjectId
        string BaseVolStructure
        string Spread
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SpreadedSwaptionVolatility and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
BaseVolStructure	Base SwaptionVolatilityStructure object ID.
Spread	spread.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwaptionVTSBlackVariance

vector<double> returnValue
 
qlSwaptionVTSBlackVariance(
        string ObjectId
        vector<long> OptionDate
        string SwapTenor
        double Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns variance from the given SwaptionVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityStructure object
OptionDate	swaption expiry date.
SwapTenor	underlying swap tenor.
Strike	swaption strike vector.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlSwaptionVTSBlackVariance2

vector<double> returnValue
 
qlSwaptionVTSBlackVariance2(
        string ObjectId
        vector<string> OptionTenor
        string SwapTenor
        double Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns variance from the given SwaptionVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityStructure object
OptionTenor	swaption option tenor.
SwapTenor	underlying swap tenor.
Strike	swaption strike vector.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlSwaptionVTSBusinessDayConvention

string returnValue
 
qlSwaptionVTSBusinessDayConvention(
        string ObjectId
        any Trigger)

Description:

Returns the business day convention used for option date calculation by the given SwaptionVolatilityStructure object.

Supported Platforms:

Excel

Parameters

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

qlSwaptionVTSMatrix

string returnValue
 
qlSwaptionVTSMatrix(
        string ObjectId
        string Calendar
        string BusinessDayConvention
        vector<string> OptionTenors
        vector<string> SwapTenors
        vector<vector<string> > Volatilities
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SwaptionVolatilityMatrix and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Calendar	holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries.
BusinessDayConvention	Business day convention used for calculating the exercise dates from the expiries.
OptionTenors	swaption expiries as periods.
SwapTenors	underlying swap lengths.
Volatilities	vol quotes.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwaptionVTSMatrixLocate

vector<long> returnValue
 
qlSwaptionVTSMatrixLocate(
        string ObjectId
        long OptionDate
        string SwapTenor
        any Trigger)

Description:

Returns the lower indexes of surrounding volatility matrix corners for the given SwaptionVolatilityMatrix object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::SwaptionVolatilityMatrix object
OptionDate	swaption expiry date.
SwapTenor	Underlying swap length as period (e.g. 5Y).
Trigger	dependency tracking trigger

qlSwaptionVTSMatrixOptionDates

vector<long> returnValue
 
qlSwaptionVTSMatrixOptionDates(
        string ObjectId
        any Trigger)

Description:

Returns the vector of swaption exercise dates for the given SwaptionVolatilityDiscrete object.

Supported Platforms:

Excel

Parameters

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

qlSwaptionVTSMatrixOptionTenors

vector<string> returnValue
 
qlSwaptionVTSMatrixOptionTenors(
        string ObjectId
        any Trigger)

Description:

Returns the vector of swaption exercise tenors for the given SwaptionVolatilityDiscrete object.

Supported Platforms:

Excel

Parameters

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

qlSwaptionVTSMatrixSwapTenors

vector<string> returnValue
 
qlSwaptionVTSMatrixSwapTenors(
        string ObjectId
        any Trigger)

Description:

Returns the vector of underlying swap tenors for the given SwaptionVolatilityDiscrete object.

Supported Platforms:

Excel

Parameters

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

qlSwaptionVTSMaxSwapTenor

string returnValue
 
qlSwaptionVTSMaxSwapTenor(
        string ObjectId
        any Trigger)

Description:

Returns the max swap tenor (i.e. length) for which the given SwaptionVolatilityStructure object can return vols.

Supported Platforms:

Excel

Parameters

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

qlSwaptionVTSOptionDateFromTenor

vector<long> returnValue
 
qlSwaptionVTSOptionDateFromTenor(
        string ObjectId
        vector<string> OptionTenor
        any Trigger)

Description:

Returns the option date corresponding to a given option tenor, taking calendar and business day convention into account, for the given SwaptionVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityStructure object
OptionTenor	swaption option tenor.
Trigger	dependency tracking trigger

qlSwaptionVTSSwapLength

vector<double> returnValue
 
qlSwaptionVTSSwapLength(
        string ObjectId
        vector<string> SwapTenor
        any Trigger)

Description:

Returns the swap length corresponding to a given swap tenor for the given SwaptionVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityStructure object
SwapTenor	swap tenor.
Trigger	dependency tracking trigger

qlSwaptionVTSSwapLength2

double returnValue
 
qlSwaptionVTSSwapLength2(
        string ObjectId
        long SwapStart
        long SwapEnd
        any Trigger)

Description:

Returns the swap length corresponding to a given swap start/end dates for the given SwaptionVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityStructure object
SwapStart	swap start date.
SwapEnd	swap end date.
Trigger	dependency tracking trigger

qlSwaptionVTSVolatility

vector<double> returnValue
 
qlSwaptionVTSVolatility(
        string ObjectId
        long OptionDate
        string SwapTenor
        vector<double> Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns volatility from the given SwaptionVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityStructure object
OptionDate	swaption expiry date.
SwapTenor	Underlying swap length as period (e.g. 5Y).
Strike	swaption strike.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlSwaptionVTSVolatility2

vector<double> returnValue
 
qlSwaptionVTSVolatility2(
        string ObjectId
        string OptionTenor
        string SwapTenor
        vector<double> Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns volatility from the given SwaptionVolatilityStructure object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityStructure object
OptionTenor	swaption option tenor.
SwapTenor	Underlying swap length as period (e.g. 5Y).
Strike	swaption strike.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlSwaptionVTSatmStrike

vector<double> returnValue
 
qlSwaptionVTSatmStrike(
        string ObjectId
        vector<long> OptionDate
        string SwapTenor
        any Trigger)

Description:

Returns the at-the-money swaption strike, for a given exercise date and underlying swap length, for the given SwaptionVolatilityCube object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityCube object
OptionDate	swaption expiry date.
SwapTenor	Underlying swap length as period (e.g. 5Y).
Trigger	dependency tracking trigger

qlSwaptionVTSatmStrike2

vector<double> returnValue
 
qlSwaptionVTSatmStrike2(
        string ObjectId
        vector<string> OptionTenor
        string SwapTenor
        any Trigger)

Description:

Returns the at-the-money swaption strike, for a given option tenor and underlying swap length, for the given SwaptionVolatilityCube object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwaptionVolatilityCube object
OptionTenor	swaption's option tenor.
SwapTenor	Underlying swap length as period (e.g. 5Y).
Trigger	dependency tracking trigger

qlSwaptionVolCube1

string returnValue
 
qlSwaptionVolCube1(
        string ObjectId
        string AtmVolStructure
        vector<string> OptionTenors
        vector<string> SwapTenors
        vector<double> StrikeSpreads
        vector<vector<string> > SpreadVols
        string SwapIndexBase
        string ShortSwapIndexBase
        bool VegaWeightedSmileFit
        vector<vector<string> > Guess
        vector<bool> IsFixed
        bool IsAtmCalibrated
        string EndCriteria
        double MaxErrorTol
        string OptMethod
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SwaptionVolCube1 and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
AtmVolStructure	At-the-money volatility structure.
OptionTenors	smile cube's expiries as periods.
SwapTenors	smile cube's underlying swap lengths.
StrikeSpreads	smile cube's strike spreads over the ATM strike rate.
SpreadVols	matrix of spread vol quotes.
SwapIndexBase	Base SwapIndex object ID.
ShortSwapIndexBase	Short base SwapIndex object ID.
VegaWeightedSmileFit	if TRUE the smile fit is weighted using options' vega. Default value = true.
Guess	matrix of parameters guess quotes.
IsFixed	if TRUE parameter guess is not calibrated.
IsAtmCalibrated	if TRUE the cube is calibrated to atm matrix .
EndCriteria	EndCriteria object ID. Default value = .
MaxErrorTol	max error tolerance. Default value = QuantLib::Null<QuantLib::Real>().
OptMethod	Optmization method object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwaptionVolCube2

string returnValue
 
qlSwaptionVolCube2(
        string ObjectId
        string AtmVolStructure
        vector<string> OptionTenor
        vector<string> SwapTenor
        vector<double> StrikeSpreads
        vector<vector<string> > SpreadVols
        string SwapIndexBase
        string ShortSwapIndexBase
        bool VegaWeightedSmileFit
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SwaptionVolCube2 and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
AtmVolStructure	At-the-money volatility structure.
OptionTenor	smile cube's expiries as periods.
SwapTenor	smile cube's underlying swap lengths.
StrikeSpreads	smile cube's strike spreads over the ATM strike rate.
SpreadVols	matrix of spread vol quotes.
SwapIndexBase	Base SwapIndex object ID.
ShortSwapIndexBase	Short base SwapIndex object ID.
VegaWeightedSmileFit	if TRUE the smile fit is weighted using options' vega. Default value = true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlVolCubeAtmCalibrated

vector<vector<any> > returnValue
 
qlVolCubeAtmCalibrated(
        string ObjectId
        any Trigger)

Description:

returns the volatility cube calibrated to ATM matrix for the given SwaptionVolCube1 object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::SwaptionVolCube1 object
Trigger	dependency tracking trigger