IVOSBook




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CapeTools Swaption Portfolio function list

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Solves for the implied volatilies given an IVSwaption portfolio object.



Note: Within Excel, the function is named - CT.BOOK.IVOSBook


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



Parameter Description


  1. IVOSBookKey parameter

    Key Handle to an already constructed IVSwaption Portfolio (Book) object.


Extended information

Function Syntax

VB Syntax 


Variant CTOSPortfolio.IVOSBook( _
String IVOSBookKey)


Excel Spreadsheet Syntax 


=CT.BOOK.IVOSBook(
Excel String Cell IVOSBookKey)


C++ Syntax 


static CTRangeDataCPP IVOSBook(
std::string IVOSBookKey);


DotNET Syntax 


CTRangeData CTOSPortfolioSA.IVOSBook(
System.String IVOSBookKey);

Parameter data types

ArgNameArgTypeIsKey
IVOSBookKeyStringTRUE

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
IVOSBookKeyFALSEIVOSBookKeyNAME.EXTTAG.TICKER (from a function call)


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.IRPortfolio20 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 IVOSBook() 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 IVOSBook() function call


Example
ContractIDIV
OS-1234560.442505
OS : 19-Jul-2012 / 5.22%0.448646
OS : 19-Jul-2013 / 5.33%0.337746
OS : 19-Jul-2014 / 5.47%0.351332
OS : 19-Jul-2015 / 5.58%0.347662
OS : 19-Jul-2016 / 5.78%0.21825
OS : 19-Jul-2017 / 5.95%0.227208
OS : 19-Jul-2018 / 6.07%0.268128
OS : 19-Jul-2019 / 6.26%0.256167
OS : 19-Jul-2020 / 6.43%0.266383
OS : 19-Jul-2021 / 6.59%0.27662



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