CapeTools Calibration Instruments
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In total there are 11 functions present within the CapeTools Calibration Instruments category of functions.
General Description
Functions to help construct calibration instruments.
The following calibration utility functions can be used to help generate swaption calibration dates.
- GenStartDiagOSDates()
- GenEndDiagOSDates()
The following interest rate calibration functions create arrays of calibration instruments.
- CFCalibInst() (for an array of Caplet/Floorlet instruments)
- CFCalibInst2() (for an array of Caplet/Floorlet instruments)
- CFCalibInst3() (for an array of Caplet/Floorlet instruments)
- CapFloorCalibInst() (for an array of CapFloor instruments)
- OSCalibInst1() (for an array of Swaption instruments)
- OSCalibInst2() (for an array of Swaption instruments)
- OSCalibInst3() (for an array of Swaption instruments)
- MixedCalibInst() (for an array of both Swaption and Caplet/Floorlet instruments)
- MixedCalibInst2() (for an array of both Swaption and Caplet/Floorlet instruments)
Function list.
- CFCalibInst - Creates an array of Caplet/Floorlet calibration instruments.
- CFCalibInst2 - Creates an array of Caplet/Floorlet calibration instruments.
- CFCalibInst3 - Creates an array of Caplet/Floorlet calibration instruments.
- CapFloorCalibInst - Creates an array of CAP/FLOOR calibration instruments (rather than a portfolio of individual caplets/floorlets with their own strikes and volatilities - see CFCalibInst(), CFCalibInst2() and CFCalibInst3()).
- GenEndDiagOSDates - Given a start date, end date and a frequency, this function will generate diagonal calibration Swaption dates.
- GenStartDiagOSDates - Given a start date, end date and a frequency, this function will generate diagonal calibration Swaption dates.
- MixedCalibInst - Creates a collection of calibration instruments which can be both Swaption and CapFloor instruments.
- MixedCalibInst2 - Creates a collection of calibration instruments which can be both Swaption and CapFloor instruments.
- OSCalibInst - Creates an array of Swaption calibration instruments.
- OSCalibInst2 - Creates an array of Swaption calibration instruments given a Leg key.
- OSCalibInst3 - Creates an array of Swaption calibration instruments.
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