SABRVol3




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 volatility given the parameters of a SABR model.

Can be used for both equity or interest rate type instruments.



Note: Within Excel, the function is named - CT.MKT.SABRVol3


High level graphic of SABRVol3() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. OptionMat parameter

    The option maturity (exercise time) in years.
  2. ATMVol parameter

    At the money volatility.
  3. ALPHA parameter

    wing value, affects the tails of the smile.
  4. BETA parameter

    slope value, affects the distribution of the Fwds.
  5. RHO parameter

    Correlation between Fwds and vols.
  6. Strike parameter

    The strike value.
  7. Fwd parameter

    Forward value.


Extended information

Function Syntax

VB Syntax 


Double CTQryCurves.SABRVol3( _
Double OptionMat, _
Double ATMVol, _
Double ALPHA, _
Double BETA, _
Double RHO, _
Double Strike, _
Double Fwd)


Excel Spreadsheet Syntax 


=CT.MKT.SABRVol3(
Excel Numeric Cell OptionMat,
Excel Numeric Cell ATMVol,
Excel Numeric Cell ALPHA,
Excel Numeric Cell BETA,
Excel Numeric Cell RHO,
Excel Numeric Cell Strike,
Excel Numeric Cell Fwd)


C++ Syntax 


static double SABRVol3(
double OptionMat,
double ATMVol,
double ALPHA,
double BETA,
double RHO,
double Strike,
double Fwd);


DotNET Syntax 


System.Double CTQryCurvesSA.SABRVol3(
System.Double OptionMat,
System.Double ATMVol,
System.Double ALPHA,
System.Double BETA,
System.Double RHO,
System.Double Strike,
System.Double Fwd);

Parameter data types

ArgNameArgTypeIsKey
OptionMatDoubleFALSE
ATMVolDoubleFALSE
ALPHADoubleFALSE
BETADoubleFALSE
RHODoubleFALSE
StrikeDoubleFALSE
FwdDoubleFALSE

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
OptionMatFALSE0.5
ATMVolFALSE0.25
ALPHAFALSE0.4
BETAFALSE0.95
RHOFALSE-0.2
StrikeFALSE0.05
FwdFALSE0.035


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 SABRVol3() 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.


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 SABRVol3() function call


0.291253820316928

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