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]=
In[3]:=
Select[Category[Volatilities],QLMember[#]&]
Out[3]=
In[4]:=
Select[Category[Volatilities],QLProcedure[#]&]
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In[5]:=
In[8]:=
obj=BlackConstantVol[SettlementDate,Volatility]
Out[8]=
BlackVarianceSurface
obj=BlackVarianceSurface[SettlementDate,Calendar,Dates,Strikes,Volatilities]
AbcdAtmVolCurve
obj=AbcdAtmVolCurve[SettlementDays,Calendar,OptionTenors,VolatilitiesQuotes,InclusionInInterpolation,Convention]
SabrVolSurface
obj=SabrVolSurface[InterestRateIndex,BlackAtmVolCurve,OptionTenors,AtmRateSpreads,VolatilitiesQuotes]
VolatilityTermStructureBusinessDayConvention
VolatilityTermStructureBusinessDayConvention[obj]
VolatilityTermStructureOptionDateFromTenor
VolatilityTermStructureOptionDateFromTenor[obj,Tenor]
VolatilityTermStructureMinStrike
VolatilityTermStructureMinStrike[obj]
VolatilityTermStructureMaxStrike
VolatilityTermStructureMaxStrike[obj]
BlackAtmVolCurveAtmVol
In[9]:=
In[10]:=
BlackAtmVolCurveAtmVol[obj,OptionDate]
BlackAtmVolCurveAtmVol2
BlackAtmVolCurveAtmVol2[obj,OptionTenor]
BlackAtmVolCurveAtmVol3
BlackAtmVolCurveAtmVol3[obj,OptionTime]
BlackAtmVolCurveAtmVariance
BlackAtmVolCurveAtmVariance[obj,OptionDate]
BlackAtmVolCurveAtmVariance2
BlackAtmVolCurveAtmVariance2[obj,OptionTenor]
BlackAtmVolCurveAtmVariance3
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
AbcdAtmVolCurveK[obj,Time]
VolatilitySpreads
VolatilitySpreads[obj,OptionDate]
VolatilitySpreads2
VolatilitySpreads2[obj,OptionTenor]
AtmCurve
AtmCurve[obj]
SabrVolatility
In[11]:=
In[18]:=
SabrVolatility[Strike,forward,ExpTime,alpha,beta,nu,rho]
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