OSCalibInst3




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Creates an array of Swaption calibration instruments.

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 StrikeRange, then the ATM swap rate 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 : "SWOPTCAL3"



Note: Within Excel, the function is named - CT.CAL.OSCalibInst3


High level graphic of OSCalibInst3() 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. SwapDates parameter

    A three column range. Range columns are 'startDate', 'endDate' and 'BlackVol'. Each row corresponds to a swap contract that will be created.
  4. StrikeRange parameter

    A range of strike values that corresponds to each Swaption needed to be calibrated.
  5. PayRec parameter

    Whether we are receiving or paying the fixed leg of the swap used within the calibrated Swaption instruments. Can be different for each row.
  6. YCKey parameter

    Key to an already constructed YieldCurve object.


Extended information

Function Syntax

VB Syntax 


String CTCalibrationInsts.OSCalibInst3( _
String Key, _
Long Reload, _
Variant SwapDates, _
Variant StrikeRange, _
Variant PayRec, _
String YCKey)


Excel Spreadsheet Syntax 


=CT.CAL.OSCalibInst3(
Excel String Cell Key,
Excel Numeric Cell Reload,
XLRange SwapDates,
XLRange StrikeRange,
XLRange PayRec,
Excel String Cell YCKey)


C++ Syntax 


static std::string OSCalibInst3(
std::string Key,
long Reload,
CTRangeDataCPP SwapDates,
CTRangeDataCPP StrikeRange,
CTRangeDataCPP PayRec,
std::string YCKey);


DotNET Syntax 


System.String CTCalibrationInstsSA.OSCalibInst3(
System.String Key,
System.Int32 Reload,
CTRangeData SwapDates,
CTRangeData StrikeRange,
CTRangeData PayRec,
System.String YCKey);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
SwapDatesRangeFALSE
StrikeRangeRangeFALSE
PayRecRangeFALSE
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
KeyFALSEMyOSCalibInst3
ReloadFALSE1
SwapDatesFALSEOSCalibInst3_SwapDates_Range (creates a range object)
StrikeRangeTRUEOSCalibInst3_StrikeRange_Range (creates a range object)
PayRecFALSEOSCalibInst3_PayRec_Range (creates a range object)
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)


Example range for parameter : SwapDates

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

21/Jul/200621/Jan/20070.170595
21/Jul/200621/Jul/20070.166844
21/Jul/200621/Jan/20080.158306
21/Jul/200621/Jul/20080.147444
21/Jul/200621/Jan/20090.13693
21/Jul/200621/Jul/20090.126833
21/Jul/200621/Jan/20100.118135
21/Jan/200721/Jul/20070.175963
21/Jan/200721/Jan/20080.166359
21/Jan/200721/Jul/20080.155203
21/Jan/200721/Jan/20090.143712
21/Jan/200721/Jul/20090.132769
21/Jan/200721/Jan/20100.122947
21/Jul/200721/Jan/20080.174455
21/Jul/200721/Jul/20080.162265
21/Jul/200721/Jan/20090.150539
21/Jul/200721/Jul/20090.138734
21/Jul/200721/Jan/20100.128215
21/Jan/200821/Jul/20080.164521
21/Jan/200821/Jan/20090.151223
21/Jan/200821/Jul/20090.13967
21/Jan/200821/Jan/20100.128632
21/Jul/200821/Jan/20090.158956
21/Jul/200821/Jul/20090.146036
21/Jul/200821/Jan/20100.134555
21/Jan/200921/Jul/20090.146036
21/Jan/200921/Jan/20100.134555

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


CTQL.CTRangeData OSCalibInst3_SwapDates = new CTQL.CTRangeData();

System.Text.StringBuilder OSCalibInst3_SwapDates_builder =
new System.Text.StringBuilder(100);

OSCalibInst3_SwapDates_builder.Append("{");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2006#	 | #21/Jan/2007#	 | 0.170595 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2006#	 | #21/Jul/2007#	 | 0.166844 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2006#	 | #21/Jan/2008#	 | 0.158306 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2006#	 | #21/Jul/2008#	 | 0.147444 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2006#	 | #21/Jan/2009#	 | 0.13693 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2006#	 | #21/Jul/2009#	 | 0.126833 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2006#	 | #21/Jan/2010#	 | 0.118135 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2007#	 | #21/Jul/2007#	 | 0.175963 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2007#	 | #21/Jan/2008#	 | 0.166359 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2007#	 | #21/Jul/2008#	 | 0.155203 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2007#	 | #21/Jan/2009#	 | 0.143712 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2007#	 | #21/Jul/2009#	 | 0.132769 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2007#	 | #21/Jan/2010#	 | 0.122947 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2007#	 | #21/Jan/2008#	 | 0.174455 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2007#	 | #21/Jul/2008#	 | 0.162265 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2007#	 | #21/Jan/2009#	 | 0.150539 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2007#	 | #21/Jul/2009#	 | 0.138734 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2007#	 | #21/Jan/2010#	 | 0.128215 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2008#	 | #21/Jul/2008#	 | 0.164521 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2008#	 | #21/Jan/2009#	 | 0.151223 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2008#	 | #21/Jul/2009#	 | 0.13967 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2008#	 | #21/Jan/2010#	 | 0.128632 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2008#	 | #21/Jan/2009#	 | 0.158956 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2008#	 | #21/Jul/2009#	 | 0.146036 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jul/2008#	 | #21/Jan/2010#	 | 0.134555 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2009#	 | #21/Jul/2009#	 | 0.146036 ;");
OSCalibInst3_SwapDates_builder.Append("#21/Jan/2009#	 | #21/Jan/2010#	 | 0.134555");
OSCalibInst3_SwapDates_builder.Append("}");

// Parse the string into the Range object.
OSCalibInst3_SwapDates.RangeFromStr( OSCalibInst3_SwapDates_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 OSCalibInst3_StrikeRange;

OSCalibInst3_StrikeRange = new  CTQL.CTRangeData(0.00);

Example range for parameter : PayRec

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


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

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


CTQL.CTRangeData OSCalibInst3_PayRec;


string[] arrBOSCalibInst3_PayRec = {
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY",
"PAY"  //  Array Data

};

CTQL.StringVector arrOSCalibInst3_PayRec =
new  CTQL.StringVector(arrBOSCalibInst3_PayRec);

// Second parameter determines whether the array is a column array (false) or a row array (true)
OSCalibInst3_PayRec = new  CTQL.CTRangeData(arrOSCalibInst3_PayRec, false);


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 OSCalibInst3() 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 OSCalibInst3() function call


MyOSCalibInst3_7.SWOPTCAL3.0

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