IVSwaption





http://www.QuantTools.com
CapeTools Query Curves function list

Welcome | Documentation format | QuantTools Groups | QuantTools Categories | Licence

Key TAGs | Excel Index | API Index



Returns the implied vanilla swaption volatility.

This function requires the input of a discounting YieldCurve object key, which must have been produced via a call to one of the YieldCurve (CapeTools Curves, CapeTools XCCY Curves or CapeTools Bond Curves) or Credit Default Curves (CapeTools Credit Curves) category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'YCKey' parameter of this function.

This function requires the input of a Index object key, which must have been produced via a call to one of the index creation objects present within the CapeTools Indexes category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'FLTIndexKey' parameter of this function.



Note: Within Excel, the function is named - CT.MKT.IVSwaption




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



Parameter Description


  1. Premium parameter

    Premium value of the swaption.
  2. Notional parameter

    Notional amount of the swap.
  3. ExerciseDate parameter

    The Exercise Date of the Swaption (Usually a few days before the start date of the underlying swap).
  4. startDate parameter

    Start date of the swap.
  5. matDate parameter

    Unadjusted maturity date of the swap.
  6. FLTDayCount parameter

    Daycounter required for year length calculations. Used for each cashflow period of the FLOAT side of the swap.
  7. FLTMargin parameter

    Flat spread that will be added onto the rate fixings (float side of the swap).
  8. FLTIndexKey parameter

    Index Key to an already constructed Index object. Used for calculating the floating fixing rates.
  9. FIXCouponFreq parameter

    The Frequency of the FIX leg coupon payments.
  10. FIXBusDayConv parameter

    Business Day Convention to use (FIX leg).
  11. FIXDayCount parameter

    Daycounter required for year length calculations. Used for each cashflow period of the FIX side of the swap.
  12. FIXCalKey parameter

    Key to an already constructed Calendar object. Used to adjust dates for holidays (FIX leg).
  13. FIXCoupon parameter

    Fixed rate coupon.
  14. YCKey parameter

    Key to an already constructed YieldCurve object. Used for discounting cashflows.


Extended information

Function Syntax

VB Syntax


Double CTQryCurves.IVSwaption( _
Double Premium, _
Double Notional, _
Long ExerciseDate, _
Long startDate, _
Long matDate, _
DayCountEnum FLTDayCount, _
Double FLTMargin, _
String FLTIndexKey, _
FreqEnum FIXCouponFreq, _
BDCEnum FIXBusDayConv, _
DayCountEnum FIXDayCount, _
String FIXCalKey, _
Double FIXCoupon, _
String YCKey)


Excel Spreadsheet Syntax


=CT.MKT.IVSwaption(
Excel Numeric Cell Premium,
Excel Numeric Cell Notional,
Excel Numeric Cell ExerciseDate,
Excel Numeric Cell startDate,
Excel Numeric Cell matDate,
Excel String Cell FLTDayCount,
Excel Numeric Cell FLTMargin,
Excel String Cell FLTIndexKey,
Excel String Cell FIXCouponFreq,
Excel String Cell FIXBusDayConv,
Excel String Cell FIXDayCount,
Excel String Cell FIXCalKey,
Excel Numeric Cell FIXCoupon,
Excel String Cell YCKey)


C++ Syntax


static double IVSwaption(
double Premium,
double Notional,
long ExerciseDate,
long startDate,
long matDate,
DayCountEnum FLTDayCount,
double FLTMargin,
std::string FLTIndexKey,
FreqEnum FIXCouponFreq,
BDCEnum FIXBusDayConv,
DayCountEnum FIXDayCount,
std::string FIXCalKey,
double FIXCoupon,
std::string YCKey);


DotNET Syntax


System.Double CTQryCurvesSA.IVSwaption(
System.Double Premium,
System.Double Notional,
System.Int32 ExerciseDate,
System.Int32 startDate,
System.Int32 matDate,
CTIEnums.DayCountEnum FLTDayCount,
System.Double FLTMargin,
System.String FLTIndexKey,
CTIEnums.FreqEnum FIXCouponFreq,
CTIEnums.BDCEnum FIXBusDayConv,
CTIEnums.DayCountEnum FIXDayCount,
System.String FIXCalKey,
System.Double FIXCoupon,
System.String YCKey);

Parameter data types

ArgNameArgTypeIsKey
PremiumDoubleFALSE
NotionalDoubleFALSE
ExerciseDateLongFALSE
startDateLongFALSE
matDateLongFALSE
FLTDayCountDayCountEnumFALSE
FLTMarginDoubleFALSE
FLTIndexKeyStringTRUE
FIXCouponFreqFreqEnumFALSE
FIXBusDayConvBDCEnumFALSE
FIXDayCountDayCountEnumFALSE
FIXCalKeyStringTRUE
FIXCouponDoubleFALSE
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
PremiumFALSE1000000
NotionalFALSE50000000
ExerciseDateFALSE19/Jul/2006 (serial date type)
startDateFALSE21/Jul/2006 (serial date type)
matDateFALSE21/Jul/2011 (serial date type)
FLTDayCountFALSEACT365F
FLTMarginFALSE0.0000
FLTIndexKeyFALSEFLTIndexKeyNAME.EXTTAG.TICKER (from a function call)
FIXCouponFreqFALSES
FIXBusDayConvFALSEModifiedFollowing
FIXDayCountFALSEACT365F
FIXCalKeyFALSEFIXCalKeyNAME.EXTTAG.TICKER (from a function call)
FIXCouponFALSE0.037
YCKeyFALSEYCKeyNAME.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.Curves20 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 IVSwaption() 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 IVSwaption() function call


0.235195823528212

Copyright (c) 2003-2007 CapeTools - All Rights Reserved.