Volatility

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]=

MarketModelVolatility.HTML_1.gif

In[3]:=

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

Out[3]=

MarketModelVolatility.HTML_2.gif

Constructors

PiecewiseConstantAbcdVariance

MarketModelVolatility.HTML_3.gif

MarketModelVolatility.HTML_4.gif

In[13]:=

MarketModelVolatility.HTML_5.gif

In[15]:=

obj=PiecewiseConstantAbcdVariance[ResetIndex,RateTimes]

Out[15]=

MarketModelVolatility.HTML_6.gif

MarketModelLmExtLinearExponentialVolModel

MarketModelVolatility.HTML_7.gif

In[7]:=

MarketModelVolatility.HTML_8.gif

In[12]:=

obj=MarketModelLmExtLinearExponentialVolModel[FixingTimes,a,b,c,d]

Out[12]=

MarketModelVolatility.HTML_9.gif

Member function

PiecewiseConstantVarianceVariances

In[23]:=

PiecewiseConstantVarianceVariances[obj]

PiecewiseConstantVarianceVolatilities

PiecewiseConstantVarianceVolatilities[obj]

PiecewiseConstantVarianceRateTimes

PiecewiseConstantVarianceRateTimes[obj]

PiecewiseConstantVarianceVariance

MarketModelVolatility.HTML_10.gif

In[24]:=

MarketModelVolatility.HTML_11.gif

PiecewiseConstantVarianceVariance[obj,TimeIndex]

PiecewiseConstantVarianceVolatility

MarketModelVolatility.HTML_12.gif

MarketModelVolatility.HTML_13.gif

PiecewiseConstantVarianceVolatility[obj,TimeIndex]

PiecewiseConstantVarianceTotalVariance

MarketModelVolatility.HTML_14.gif

MarketModelVolatility.HTML_15.gif

PiecewiseConstantVarianceTotalVariance[obj,TimeIndex]

PiecewiseConstantVarianceTotalVolatility

MarketModelVolatility.HTML_16.gif

MarketModelVolatility.HTML_17.gif

PiecewiseConstantVarianceTotalVolatility[obj,TimeIndex]

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