functions to construct and use Market Model Volatility objects.
The first step is to load the QuantLib package.
In[1]:=
Needs["QuantLib`"]
Within the MarketModelVolatility part there are several constructors and member functions available
In[2]:=
Select[Category[MarketModelVolatility],QLConstructor[#]&]
Out[2]=
In[3]:=
Select[Category[MarketModelVolatility],QLMember[#]&]
Out[3]=
In[13]:=
In[15]:=
obj=PiecewiseConstantAbcdVariance[ResetIndex,RateTimes]
Out[15]=
MarketModelLmExtLinearExponentialVolModel
In[7]:=
In[12]:=
obj=MarketModelLmExtLinearExponentialVolModel[FixingTimes,a,b,c,d]
Out[12]=
PiecewiseConstantVarianceVariances
In[23]:=
PiecewiseConstantVarianceVariances[obj]
PiecewiseConstantVarianceVolatilities
PiecewiseConstantVarianceVolatilities[obj]
PiecewiseConstantVarianceRateTimes
PiecewiseConstantVarianceRateTimes[obj]
PiecewiseConstantVarianceVariance
In[24]:=
PiecewiseConstantVarianceVariance[obj,TimeIndex]
PiecewiseConstantVarianceVolatility
PiecewiseConstantVarianceVolatility[obj,TimeIndex]
PiecewiseConstantVarianceTotalVariance
PiecewiseConstantVarianceTotalVariance[obj,TimeIndex]
PiecewiseConstantVarianceTotalVolatility
PiecewiseConstantVarianceTotalVolatility[obj,TimeIndex]