CapFloorCalibInst




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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()).

Each row within the 'PeriodsVols' parameter represents a single cap/floor along with a flat black vol (depending on the value of the 'Types' parameter).

The 'IndexKey' will determine the underlying rate.

To be used in the calibration of a ShortRate Model (ie BlackKarasinski, HullWhite, Vasicek, G2, LiborMarketModel).

The string 'Key' value returned from this function can be passed to the calibration functions (functions with a naming convention of Calibrate*() ) within the CapeTools IR Calibration or CapeTools LMM Calibration category of functions.

Not all calibration functions can be used with each model.

If you indicate 0.0 for any of the cells within the StrikeRange, then ATM forward rates will be computed for each cap/floor and used as the strike.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "CAPFLRCAL"



Note: Within Excel, the function is named - CT.CAL.CapFloorCalibInst


High level graphic of CapFloorCalibInst() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. PeriodsVols parameter

    A two column range of [NoOfPeriods cap/floor, Black Flat vols]. The NoOfPeriods column represents the number of fixing periods within the cap/Floor structure.
  4. StrikeRange parameter

    A range of strike values that corresponds to each cap/floor. Or you can enter a single value which will be applied to all the caps/floors.
  5. IndexKey parameter

    KEY to an already constructed Index object. This index will be used be the caplet/floorlet pricing functions.
  6. Types parameter

    Are we pricing Caps (CAPS) or Floors (FLOORS). This is a range object so each row can contain either one of the possible choices. Each row can also correspond to the rows within the 'DatesVols' parameter (if not providing a constant value for this range object).


Extended information

Function Syntax

VB Syntax 


String CTCalibrationInsts.CapFloorCalibInst( _
String Key, _
Long Reload, _
Variant PeriodsVols, _
Variant StrikeRange, _
String IndexKey, _
Variant Types)


Excel Spreadsheet Syntax 


=CT.CAL.CapFloorCalibInst(
Excel String Cell Key,
Excel Numeric Cell Reload,
XLRange PeriodsVols,
XLRange StrikeRange,
Excel String Cell IndexKey,
XLRange Types)


C++ Syntax 


static std::string CapFloorCalibInst(
std::string Key,
long Reload,
CTRangeDataCPP PeriodsVols,
CTRangeDataCPP StrikeRange,
std::string IndexKey,
CTRangeDataCPP Types);


DotNET Syntax 


System.String CTCalibrationInstsSA.CapFloorCalibInst(
System.String Key,
System.Int32 Reload,
CTRangeData PeriodsVols,
CTRangeData StrikeRange,
System.String IndexKey,
CTRangeData Types);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
PeriodsVolsRangeFALSE
StrikeRangeRangeFALSE
IndexKeyStringTRUE
TypesRangeFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyCapFloorCalibInst
ReloadFALSE1
PeriodsVolsFALSECapFloorCalibInst_PeriodsVols_Range (creates a range object)
StrikeRangeTRUECapFloorCalibInst_StrikeRange_Range (creates a range object)
IndexKeyFALSEIndexKeyNAME.EXTTAG.TICKER (from a function call)
TypesFALSECapFloorCalibInst_Types_Range (creates a range object)


Example range for parameter : PeriodsVols

Within Excel, a range such as this can be passed directly into the PeriodsVols parameter.

20.145708
30.158465
40.166248
50.168672
60.169007
70.167956
80.166261
90.164239
100.162082

Example C# API usage for setting the range data for parameter : PeriodsVols 


CTQL.CTRangeData CapFloorCalibInst_PeriodsVols = new CTQL.CTRangeData();

System.Text.StringBuilder CapFloorCalibInst_PeriodsVols_builder =
new System.Text.StringBuilder(100);

CapFloorCalibInst_PeriodsVols_builder.Append("{");
CapFloorCalibInst_PeriodsVols_builder.Append("2	 | 0.145708 ;");
CapFloorCalibInst_PeriodsVols_builder.Append("3	 | 0.158465 ;");
CapFloorCalibInst_PeriodsVols_builder.Append("4	 | 0.166248 ;");
CapFloorCalibInst_PeriodsVols_builder.Append("5	 | 0.168672 ;");
CapFloorCalibInst_PeriodsVols_builder.Append("6	 | 0.169007 ;");
CapFloorCalibInst_PeriodsVols_builder.Append("7	 | 0.167956 ;");
CapFloorCalibInst_PeriodsVols_builder.Append("8	 | 0.166261 ;");
CapFloorCalibInst_PeriodsVols_builder.Append("9	 | 0.164239 ;");
CapFloorCalibInst_PeriodsVols_builder.Append("10	 | 0.162082");
CapFloorCalibInst_PeriodsVols_builder.Append("}");

// Parse the string into the Range object.
CapFloorCalibInst_PeriodsVols.RangeFromStr( CapFloorCalibInst_PeriodsVols_builder.ToString() );

Example range for parameter : StrikeRange

Within Excel, a range such as this can be passed directly into the StrikeRange parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : StrikeRange 


CTQL.CTRangeData CapFloorCalibInst_StrikeRange;

CapFloorCalibInst_StrikeRange = new  CTQL.CTRangeData(0.00);

Example range for parameter : Types

Within Excel, a range such as this can be passed directly into the Types parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Types 


CTQL.CTRangeData CapFloorCalibInst_Types;

CapFloorCalibInst_Types = new  CTQL.CTRangeData("CAPS");


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Models20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the CapFloorCalibInst() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the CapFloorCalibInst() function call


MyCapFloorCalibInst_4.CAPFLRCAL.0

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