MixedCalibInst2




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Creates a collection of calibration instruments which can be both Swaption and CapFloor instruments.

There are parameters for leg objects in which both caplets/floorlets and Swaption instruments will be derived from.

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.

The details of the underlying swap will be extracted from the VolCurve (via the SwapTemplate object that was passed into the VolCurve creation function).

If you indicate 0.0 for any of the cells within the CFStrikeRange (OSStrikeRange) range, then the ATM forwards (swaps) will be computed 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 : "MIXCAL2"



Note: Within Excel, the function is named - CT.CAL.MixedCalibInst2


High level graphic of MixedCalibInst2() 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. CFLegKey parameter

    Key value to an already created leg object (ie : CreateFloatLeg() ).
  4. CFStrikeRange parameter

    A range of strike values that corresponds to each caplet/floorlet. Or you can enter a single value which will be applied to all the caplets/floorlets.
  5. CFVCKey parameter

    Key to an already created VolCurve object. Caplet/Floorlet vols will be extracted from this object.
  6. CFTypes parameter

    Are we pricing Caplets (CAPLET) or Floorlets (FLOORLET). This is a range object so each row can contain either one of the possible choices.
  7. OSLegKey parameter

    Key value to an already created leg object (ie : CreateFloatLeg() ). Diagonal Swaption instruments will be derived from this leg.
  8. OSStrikeRange parameter

    A range of strike values that corresponds to each Swaption needed to be calibrated.
  9. OSPayRec parameter

    Whether we are receiving or paying the fixed leg of the swap. Can be different for each row.
  10. OSVCKey parameter

    Key to an already created VolCurve object. Swaption vols will be extracted from this object.
  11. YCKey parameter

    Key to an already constructed YieldCurve object.


Extended information

Function Syntax

VB Syntax 


String CTCalibrationInsts.MixedCalibInst2( _
String Key, _
Long Reload, _
String CFLegKey, _
Variant CFStrikeRange, _
String CFVCKey, _
Variant CFTypes, _
String OSLegKey, _
Variant OSStrikeRange, _
Variant OSPayRec, _
String OSVCKey, _
String YCKey)


Excel Spreadsheet Syntax 


=CT.CAL.MixedCalibInst2(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell CFLegKey,
XLRange CFStrikeRange,
Excel String Cell CFVCKey,
XLRange CFTypes,
Excel String Cell OSLegKey,
XLRange OSStrikeRange,
XLRange OSPayRec,
Excel String Cell OSVCKey,
Excel String Cell YCKey)


C++ Syntax 


static std::string MixedCalibInst2(
std::string Key,
long Reload,
std::string CFLegKey,
CTRangeDataCPP CFStrikeRange,
std::string CFVCKey,
CTRangeDataCPP CFTypes,
std::string OSLegKey,
CTRangeDataCPP OSStrikeRange,
CTRangeDataCPP OSPayRec,
std::string OSVCKey,
std::string YCKey);


DotNET Syntax 


System.String CTCalibrationInstsSA.MixedCalibInst2(
System.String Key,
System.Int32 Reload,
System.String CFLegKey,
CTRangeData CFStrikeRange,
System.String CFVCKey,
CTRangeData CFTypes,
System.String OSLegKey,
CTRangeData OSStrikeRange,
CTRangeData OSPayRec,
System.String OSVCKey,
System.String YCKey);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
CFLegKeyStringTRUE
CFStrikeRangeRangeFALSE
CFVCKeyStringTRUE
CFTypesRangeFALSE
OSLegKeyStringTRUE
OSStrikeRangeRangeFALSE
OSPayRecRangeFALSE
OSVCKeyStringTRUE
YCKeyStringTRUE

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
KeyFALSEMyMixedCalibInst
ReloadFALSE1
CFLegKeyFALSECFLegKeyNAME.EXTTAG.TICKER (from a function call)
CFStrikeRangeTRUEMixedCalibInst2_CFStrikeRange_Range (creates a range object)
CFVCKeyFALSECFVCKeyNAME.EXTTAG.TICKER (from a function call)
CFTypesFALSEMixedCalibInst2_CFTypes_Range (creates a range object)
OSLegKeyFALSEOSLegKeyNAME.EXTTAG.TICKER (from a function call)
OSStrikeRangeTRUEMixedCalibInst2_OSStrikeRange_Range (creates a range object)
OSPayRecFALSEMixedCalibInst2_OSPayRec_Range (creates a range object)
OSVCKeyFALSEOSVCKeyNAME.EXTTAG.TICKER (from a function call)
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)


Example range for parameter : CFStrikeRange

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


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

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


CTQL.CTRangeData MixedCalibInst2_CFStrikeRange;

MixedCalibInst2_CFStrikeRange = new  CTQL.CTRangeData(0.025);

Example range for parameter : CFTypes

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


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

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


CTQL.CTRangeData MixedCalibInst2_CFTypes;

MixedCalibInst2_CFTypes = new  CTQL.CTRangeData("CAPLET");

Example range for parameter : OSStrikeRange

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


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

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


CTQL.CTRangeData MixedCalibInst2_OSStrikeRange;

MixedCalibInst2_OSStrikeRange = new  CTQL.CTRangeData(0.04);

Example range for parameter : OSPayRec

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


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

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


CTQL.CTRangeData MixedCalibInst2_OSPayRec;

MixedCalibInst2_OSPayRec = new  CTQL.CTRangeData("PAY");


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 MixedCalibInst2() 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 MixedCalibInst2() function call


MyMixedCalibInst_9.MIXCAL2.0

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