Volatilities

Overview

functions to construct and use volatility objects.

Function List

qlAbcdAtmVolCurve ()
qlAbcdAtmVolCurveA ()
qlAbcdAtmVolCurveB ()
qlAbcdAtmVolCurveC ()
qlAbcdAtmVolCurveD ()
qlAbcdAtmVolCurveK ()
qlAbcdAtmVolCurveKatOptionTenors ()
qlAbcdAtmVolCurveMaxError ()
qlAbcdAtmVolCurveOptionDates ()
qlAbcdAtmVolCurveOptionTenors ()
qlAbcdAtmVolCurveOptionTenorsInInterpolation ()
qlAbcdAtmVolCurveOptionTimes ()
qlAbcdAtmVolCurveRmsError ()
qlAtmCurve ()
qlBlackAtmVolCurveAtmVariance ()
qlBlackAtmVolCurveAtmVariance2 ()
qlBlackAtmVolCurveAtmVariance3 ()
qlBlackAtmVolCurveAtmVol ()
qlBlackAtmVolCurveAtmVol2 ()
qlBlackAtmVolCurveAtmVol3 ()
qlBlackConstantVol ()
qlBlackVarianceSurface ()
qlBlackVolTermStructureBlackForwardVariance ()
qlBlackVolTermStructureBlackForwardVol ()
qlBlackVolTermStructureBlackVariance ()
qlBlackVolTermStructureBlackVol ()
qlSabrVolSurface ()
qlSabrVolatility ()
qlVolatilitySpreads ()
qlVolatilitySpreads2 ()
qlVolatilityTermStructureBusinessDayConvention ()
qlVolatilityTermStructureMaxStrike ()
qlVolatilityTermStructureMinStrike ()
qlVolatilityTermStructureOptionDateFromTenor ()

Function Documentation

qlAbcdAtmVolCurve

string returnValue
 
qlAbcdAtmVolCurve(
        string ObjectId
        long SettlementDays
        string Calendar
        vector<string> OptionTenors
        vector<string> VolatilitiesQuotes
        vector<bool> InclusionInInterpolation
        string Convention
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class AbcdAtmVolCurve and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
SettlementDays	settlement days.
Calendar	holiday calendar (e.g. TARGET).
OptionTenors	options tenors.
VolatilitiesQuotes	volatilities quotes.
InclusionInInterpolation	inclusion flags. If omitted, all volatilities are interpolated.
Convention	business day convention (e.g. Following).
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlAbcdAtmVolCurveA

double returnValue
 
qlAbcdAtmVolCurveA(
        string ObjectId
        any Trigger)

Description:

Returns the a coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveB

double returnValue
 
qlAbcdAtmVolCurveB(
        string ObjectId
        any Trigger)

Description:

Returns the b coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveC

double returnValue
 
qlAbcdAtmVolCurveC(
        string ObjectId
        any Trigger)

Description:

Returns the c coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveD

double returnValue
 
qlAbcdAtmVolCurveD(
        string ObjectId
        any Trigger)

Description:

Returns the d coefficient in the abcd vol parametrization.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveK

double returnValue
 
qlAbcdAtmVolCurveK(
        string ObjectId
        double Time
        any Trigger)

Description:

Returns the k adjustments factors needed to match the input Black vols at a given time.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::AbcdAtmVolCurve object
Time	time.
Trigger	dependency tracking trigger

qlAbcdAtmVolCurveKatOptionTenors

vector<double> returnValue
 
qlAbcdAtmVolCurveKatOptionTenors(
        string ObjectId
        any Trigger)

Description:

Returns the k adjustments factors needed to match the input Black vols.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveMaxError

double returnValue
 
qlAbcdAtmVolCurveMaxError(
        string ObjectId
        any Trigger)

Description:

Returns the max error between the abcd implied Black vols and the given Black vols vector.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveOptionDates

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

Description:

Returns the options dates of the atm volatility curve.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveOptionTenors

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

Description:

Returns the options tenors of the atm volatility curve.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveOptionTenorsInInterpolation

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

Description:

Returns the options tenors used in the fitting of the atm volatility curve.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveOptionTimes

vector<double> returnValue
 
qlAbcdAtmVolCurveOptionTimes(
        string ObjectId
        any Trigger)

Description:

Returns the options times to maturity of the atm volatility curve.

Supported Platforms:

Excel

Parameters

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

qlAbcdAtmVolCurveRmsError

double returnValue
 
qlAbcdAtmVolCurveRmsError(
        string ObjectId
        any Trigger)

Description:

Returns the root mean squared error between the abcd implied Black vols and the given Black vols vector.

Supported Platforms:

Excel

Parameters

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

qlAtmCurve

string returnValue
 
qlAtmCurve(
        string ObjectId
        any Trigger)

Description:

Returns the Atm volatility curve.

Supported Platforms:

Excel

Parameters

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

qlBlackAtmVolCurveAtmVariance

double returnValue
 
qlBlackAtmVolCurveAtmVariance(
        string ObjectId
        long OptionDate
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the spot at-the-money (no-smile) variance at a given option date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackAtmVolCurve object
OptionDate	The date at which the volatility is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackAtmVolCurveAtmVariance2

double returnValue
 
qlBlackAtmVolCurveAtmVariance2(
        string ObjectId
        string OptionTenor
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the spot at-the-money (no-smile) variance at a given option tenor.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackAtmVolCurve object
OptionTenor	The tenor at which the volatility is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackAtmVolCurveAtmVariance3

double returnValue
 
qlBlackAtmVolCurveAtmVariance3(
        string ObjectId
        double OptionTime
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the spot at-the-money (no-smile) variance at a given option time.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackAtmVolCurve object
OptionTime	The time at which the volatility is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackAtmVolCurveAtmVol

double returnValue
 
qlBlackAtmVolCurveAtmVol(
        string ObjectId
        long OptionDate
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the spot at-the-money (no-smile) volatility at a given option date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackAtmVolCurve object
OptionDate	The date at which the volatility is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackAtmVolCurveAtmVol2

double returnValue
 
qlBlackAtmVolCurveAtmVol2(
        string ObjectId
        string OptionTenor
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the spot at-the-money (no-smile) volatility at a given option tenor.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackAtmVolCurve object
OptionTenor	The time at which the volatility is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackAtmVolCurveAtmVol3

double returnValue
 
qlBlackAtmVolCurveAtmVol3(
        string ObjectId
        double OptionTime
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the spot at-the-money (no-smile) volatility at a given option time.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackAtmVolCurve object
OptionTime	The time at which the volatility is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackConstantVol

string returnValue
 
qlBlackConstantVol(
        string ObjectId
        long SettlementDate
        string Calendar
        double Volatility
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackConstantVol and return its id

Supported Platforms:

Excel, C, Calc, Guile, C++

Parameters

ObjectId	id of object to be created
SettlementDate	settlement date.
Calendar	holiday calendar (e.g. TARGET).
Volatility	volatility.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackVarianceSurface

string returnValue
 
qlBlackVarianceSurface(
        string ObjectId
        long SettlementDate
        string Calendar
        vector<long> Dates
        vector<double> Strikes
        vector<vector<double> > Volatilities
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackVarianceSurface and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
SettlementDate	settlement date.
Calendar	holiday calendar (e.g. TARGET).
Dates	dates.
Strikes	strikes.
Volatilities	volatilities.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBlackVolTermStructureBlackForwardVariance

double returnValue
 
qlBlackVolTermStructureBlackForwardVariance(
        string ObjectId
        long ForwardDate
        long OptionDate
        double Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the black forward (at-the-money) variance at a given option date and strike.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackVolTermStructure object
ForwardDate	The forward date at which the volatility is evaluated.
OptionDate	The date at which the variance is evaluated.
Strike	The strike at which the variance is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackVolTermStructureBlackForwardVol

double returnValue
 
qlBlackVolTermStructureBlackForwardVol(
        string ObjectId
        long ForwardDate
        long OptionDate
        double Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the black forward (at-the-money) volatility at a given option date and strike.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackVolTermStructure object
ForwardDate	The forward date at which the volatility is evaluated.
OptionDate	The option date at which the volatility is evaluated.
Strike	The strike at which the volatility is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackVolTermStructureBlackVariance

double returnValue
 
qlBlackVolTermStructureBlackVariance(
        string ObjectId
        long OptionDate
        double Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the black spot variance at a given option date and strike.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackVolTermStructure object
OptionDate	The date at which the variance is evaluated.
Strike	The strike at which the variance is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlBlackVolTermStructureBlackVol

double returnValue
 
qlBlackVolTermStructureBlackVol(
        string ObjectId
        long OptionDate
        double Strike
        bool AllowExtrapolation
        any Trigger)

Description:

Returns the black spot volatility at a given option date and strike.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::BlackVolTermStructure object
OptionDate	The date at which the volatility is evaluated.
Strike	The strike at which the volatility is evaluated.
AllowExtrapolation	Extrapolation Flag (TRUE allows extrapolation). Default value = false.
Trigger	dependency tracking trigger

qlSabrVolSurface

string returnValue
 
qlSabrVolSurface(
        string ObjectId
        string InterestRateIndex
        string BlackAtmVolCurve
        vector<string> OptionTenors
        vector<double> AtmRateSpreads
        vector<vector<string> > VolatilitiesQuotes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SabrVolSurface and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
InterestRateIndex	interest rate index object ID.
BlackAtmVolCurve	the atm volatility curve.
OptionTenors	options tenors.
AtmRateSpreads	spreads.
VolatilitiesQuotes	volatilities quotes.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSabrVolatility

double returnValue
 
qlSabrVolatility(
        double Strike
        double Forward
        double ExpTime
        double Alpha
        double Beta
        double Nu
        double Rho
        any Trigger)

Description:

Sabr formula for smile volatility.

Supported Platforms:

Excel

Parameters

Strike	option strike.
Forward	underlying forward value.
ExpTime	expiry time (in years).
Alpha	alpha.
Beta	beta.
Nu	nu.
Rho	rho.
Trigger	dependency tracking trigger

qlVolatilitySpreads

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

Description:

Returns the volatilities spread at a given date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SabrVolSurface object
OptionDate	The date at which the volatility is evaluated.
Trigger	dependency tracking trigger

qlVolatilitySpreads2

vector<double> returnValue
 
qlVolatilitySpreads2(
        string ObjectId
        string OptionTenor
        any Trigger)

Description:

Returns the volatilities spread at a given date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SabrVolSurface object
OptionTenor	The tenor at which the volatility is evaluated.
Trigger	dependency tracking trigger

qlVolatilityTermStructureBusinessDayConvention

string returnValue
 
qlVolatilityTermStructureBusinessDayConvention(
        string ObjectId
        any Trigger)

Description:

Returns the business day convention used in tenor to date conversion.

Supported Platforms:

Excel

Parameters

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

qlVolatilityTermStructureMaxStrike

double returnValue
 
qlVolatilityTermStructureMaxStrike(
        string ObjectId
        any Trigger)

Description:

Returns the maximum strike for which the given VolatilityTermStructure can return vols.

Supported Platforms:

Excel

Parameters

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

qlVolatilityTermStructureMinStrike

double returnValue
 
qlVolatilityTermStructureMinStrike(
        string ObjectId
        any Trigger)

Description:

Returns the minimum strike for which the given VolatilityTermStructure can return vols.

Supported Platforms:

Excel

Parameters

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

qlVolatilityTermStructureOptionDateFromTenor

long returnValue
 
qlVolatilityTermStructureOptionDateFromTenor(
        string ObjectId
        string Tenor
        any Trigger)

Description:

Returns the option date corrisponding to a given option tenor.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::VolatilityTermStructure object
Tenor	option tenor.
Trigger	dependency tracking trigger