SABRBeta




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Returns the Beta value given an interest rate SABR volatility VOL Key.

This function requires the input of a SABRVolCurve object key, which must have been produced via a call to the SABRVolCurve() function.

This function would have returned a string 'KEY' which is to be passed to the 'VCKey' parameter of this function.



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


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



Parameter Description


  1. UnderlyingStart parameter

    For accurate interpolations, the system internally assumes that the underlying start date is computed as 'TodayDate + OptionMaturityLength + Number of SettleDays'.
  2. UnderlyingEnd parameter

    The end date of the underlying. (ie, for an option on a 5Y swap, this would be 5 years after the Underlying Start date).
  3. VCKey parameter

    Key to an already constructed interest rate SABR VolCurve object.


Extended information

Function Syntax

VB Syntax 


Double CTQryCurves.SABRBeta( _
Long UnderlyingStart, _
Long UnderlyingEnd, _
String VCKey)


Excel Spreadsheet Syntax 


=CT.MKT.SABRBeta(
Excel Numeric Cell UnderlyingStart,
Excel Numeric Cell UnderlyingEnd,
Excel String Cell VCKey)


C++ Syntax 


static double SABRBeta(
long UnderlyingStart,
long UnderlyingEnd,
std::string VCKey);


DotNET Syntax 


System.Double CTQryCurvesSA.SABRBeta(
System.Int32 UnderlyingStart,
System.Int32 UnderlyingEnd,
System.String VCKey);

Parameter data types

ArgNameArgTypeIsKey
UnderlyingStartLongFALSE
UnderlyingEndLongFALSE
VCKeyStringTRUE

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
UnderlyingStartFALSE21/Jan/2006 (serial date type)
UnderlyingEndFALSE21/Jul/2006 (serial date type)
VCKeyFALSEVCKeyNAME.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 SABRBeta() 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 SABRBeta() function call


0.7

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