Market Model Volatility

Overview

functions to construct and use Market Model Volatility objects.

Function List

qlMarketModelLmExtLinearExponentialVolModel ()
qlPiecewiseConstantAbcdVariance ()
qlPiecewiseConstantVarianceRateTimes ()
qlPiecewiseConstantVarianceTotalVariance ()
qlPiecewiseConstantVarianceTotalVolatility ()
qlPiecewiseConstantVarianceVariance ()
qlPiecewiseConstantVarianceVariances ()
qlPiecewiseConstantVarianceVolatilities ()
qlPiecewiseConstantVarianceVolatility ()

Function Documentation

qlMarketModelLmExtLinearExponentialVolModel

string returnValue
 
qlMarketModelLmExtLinearExponentialVolModel(
        string ObjectId
        vector<double> FixingTimes
        double A
        double B
        double C
        double D
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LmExtLinearExponentialVolModel and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
FixingTimes	rate fixing times.
A	a parameter.
B	b parameter.
C	c parameter.
D	d parameter.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPiecewiseConstantAbcdVariance

string returnValue
 
qlPiecewiseConstantAbcdVariance(
        string ObjectId
        double A
        double B
        double C
        double D
        long ResetIndex
        vector<double> RateTimes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class PiecewiseConstantAbcdVariance and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
A	coefficient in abcd vol parametrization. Used as guess if the object is later calibrated. Default value = -0.06.
B	coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.17.
C	coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.54.
D	coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated. Default value = 0.17.
ResetIndex	Index that defines the reset time of rate.
RateTimes	rate fixing times.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPiecewiseConstantVarianceRateTimes

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

Description:

Returns the rate time of the PiecewiseConstantVariance object.

Supported Platforms:

Excel

Parameters

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

qlPiecewiseConstantVarianceTotalVariance

double returnValue
 
qlPiecewiseConstantVarianceTotalVariance(
        string ObjectId
        long TimeIndex
        any Trigger)

Description:

Returns the total variance at a given time index of the PiecewiseConstantVariance object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::PiecewiseConstantVariance object
TimeIndex	time index.
Trigger	dependency tracking trigger

qlPiecewiseConstantVarianceTotalVolatility

double returnValue
 
qlPiecewiseConstantVarianceTotalVolatility(
        string ObjectId
        long TimeIndex
        any Trigger)

Description:

Returns the total volatility at a given time index of the PiecewiseConstantVariance object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::PiecewiseConstantVariance object
TimeIndex	time index.
Trigger	dependency tracking trigger

qlPiecewiseConstantVarianceVariance

double returnValue
 
qlPiecewiseConstantVarianceVariance(
        string ObjectId
        long TimeIndex
        any Trigger)

Description:

Returns the piecewise constant variance at a given time index.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::PiecewiseConstantVariance object
TimeIndex	time index.
Trigger	dependency tracking trigger

qlPiecewiseConstantVarianceVariances

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

Description:

Returns the piecewise constant variances.

Supported Platforms:

Excel

Parameters

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

qlPiecewiseConstantVarianceVolatilities

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

Description:

Returns the piecewise constant volatilities.

Supported Platforms:

Excel

Parameters

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

qlPiecewiseConstantVarianceVolatility

double returnValue
 
qlPiecewiseConstantVarianceVolatility(
        string ObjectId
        long TimeIndex
        any Trigger)

Description:

Returns the piecewise constant volatility at a given time index.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::PiecewiseConstantVariance object
TimeIndex	time index.
Trigger	dependency tracking trigger