Volatilities

functions to construct and use volatility objects.

The first step is to load the QuantLib package.

In[1]:=

Needs["QuantLib`"]

Within the Volatilities part there are several constructors and member functions available

In[2]:=

Select[Category[Volatilities],QLConstructor[#]&]

Out[2]=

Volatilities.HTML_1.gif

In[3]:=

Select[Category[Volatilities],QLMember[#]&]

Out[3]=

Volatilities.HTML_2.gif

In[4]:=

Select[Category[Volatilities],QLProcedure[#]&]

Out[4]=

Volatilities.HTML_3.gif

Constructors

BlackConstantVol

Volatilities.HTML_4.gif

Volatilities.HTML_5.gif

In[5]:=

Volatilities.HTML_6.gif

In[8]:=

obj=BlackConstantVol[SettlementDate,Volatility]

Out[8]=

Volatilities.HTML_7.gif

BlackVarianceSurface

Volatilities.HTML_8.gif

Volatilities.HTML_9.gif

Volatilities.HTML_10.gif

obj=BlackVarianceSurface[SettlementDate,Calendar,Dates,Strikes,Volatilities]

AbcdAtmVolCurve

Volatilities.HTML_11.gif

Volatilities.HTML_12.gif

Volatilities.HTML_13.gif

obj=AbcdAtmVolCurve[SettlementDays,Calendar,OptionTenors,VolatilitiesQuotes,InclusionInInterpolation,Convention]

SabrVolSurface

Volatilities.HTML_14.gif

Volatilities.HTML_15.gif

obj=SabrVolSurface[InterestRateIndex,BlackAtmVolCurve,OptionTenors,AtmRateSpreads,VolatilitiesQuotes]

Member function

VolatilityTermStructureBusinessDayConvention

VolatilityTermStructureBusinessDayConvention[obj]

VolatilityTermStructureOptionDateFromTenor

Volatilities.HTML_16.gif

Volatilities.HTML_17.gif

VolatilityTermStructureOptionDateFromTenor[obj,Tenor]

VolatilityTermStructureMinStrike

VolatilityTermStructureMinStrike[obj]

VolatilityTermStructureMaxStrike

VolatilityTermStructureMaxStrike[obj]

BlackAtmVolCurveAtmVol

Volatilities.HTML_18.gif

Volatilities.HTML_19.gif

In[9]:=

Volatilities.HTML_20.gif

In[10]:=

BlackAtmVolCurveAtmVol[obj,OptionDate]

BlackAtmVolCurveAtmVol2

Volatilities.HTML_21.gif

Volatilities.HTML_22.gif

Volatilities.HTML_23.gif

BlackAtmVolCurveAtmVol2[obj,OptionTenor]

BlackAtmVolCurveAtmVol3

Volatilities.HTML_24.gif

Volatilities.HTML_25.gif

Volatilities.HTML_26.gif

BlackAtmVolCurveAtmVol3[obj,OptionTime]

BlackAtmVolCurveAtmVariance

Volatilities.HTML_27.gif

Volatilities.HTML_28.gif

Volatilities.HTML_29.gif

BlackAtmVolCurveAtmVariance[obj,OptionDate]

BlackAtmVolCurveAtmVariance2

Volatilities.HTML_30.gif

Volatilities.HTML_31.gif

Volatilities.HTML_32.gif

BlackAtmVolCurveAtmVariance2[obj,OptionTenor]

BlackAtmVolCurveAtmVariance3

Volatilities.HTML_33.gif

Volatilities.HTML_34.gif

Volatilities.HTML_35.gif

BlackAtmVolCurveAtmVariance3[obj,OptionTime]

AbcdAtmVolCurveOptionTenors

AbcdAtmVolCurveOptionTenors[obj]

AbcdAtmVolCurveOptionTenorsInInterpolation

AbcdAtmVolCurveOptionTenorsInInterpolation[obj]

AbcdAtmVolCurveOptionDates

AbcdAtmVolCurveOptionDates[obj]

AbcdAtmVolCurveOptionTimes

AbcdAtmVolCurveOptionTimes[obj]

AbcdAtmVolCurveRmsError

AbcdAtmVolCurveRmsError[obj]

AbcdAtmVolCurveMaxError

AbcdAtmVolCurveMaxError[obj]

AbcdAtmVolCurveA

AbcdAtmVolCurveA[obj]

AbcdAtmVolCurveB

AbcdAtmVolCurveB[obj]

AbcdAtmVolCurveC

AbcdAtmVolCurveC[obj]

AbcdAtmVolCurveD

AbcdAtmVolCurveD[obj]

AbcdAtmVolCurveKatOptionTenors

AbcdAtmVolCurveKatOptionTenors[obj]

AbcdAtmVolCurveK

Volatilities.HTML_36.gif

Volatilities.HTML_37.gif

AbcdAtmVolCurveK[obj,Time]

VolatilitySpreads

Volatilities.HTML_38.gif

Volatilities.HTML_39.gif

VolatilitySpreads[obj,OptionDate]

VolatilitySpreads2

Volatilities.HTML_40.gif

Volatilities.HTML_41.gif

VolatilitySpreads2[obj,OptionTenor]

AtmCurve

AtmCurve[obj]

Procedures

SabrVolatility

Volatilities.HTML_42.gif

In[11]:=

Volatilities.HTML_43.gif

In[18]:=

SabrVolatility[Strike,forward,ExpTime,alpha,beta,nu,rho]

Out[18]=

Volatilities.HTML_44.gif

Spikey Created with Wolfram Mathematica 7.0