SABRCalibInst

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

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. ValueDate parameter
   
   
   Valuation Date (typically equal to Today's date)
4. ExerciseDate parameter
   
   
   Exercise date of the Volatility point that you want to calibrate.
5. StrikeArray parameter
   
   
   An array range of strike values that corresponds to the volatility smile curve.
6. VolArray parameter
   
   
   The volatility smile. The points must correspond to the strikes within the 'StrikeArray' parameter.
7. ATMRate parameter
   
   
   The At-the-money Forward rate for the underlying instrument (ie - Forward of a 6M rate starting after the exercise date, if the underlying is the 6M rate).
8. DayCount parameter
   
   
   The DayCounter to use for the calculation of the option maturity year fraction between the ValueDate and the Exercise Date.

String CTSABRCalibration.SABRCalibInst( _
String Key, _
Long Reload, _
Long ValueDate, _
Long ExerciseDate, _
Variant StrikeArray, _
Variant VolArray, _
Double ATMRate, _
DayCountEnum DayCount)

=CT.CAL.SABRCalibInst(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel Numeric Cell ValueDate,
Excel Numeric Cell ExerciseDate,
XLRange StrikeArray,
XLRange VolArray,
Excel Numeric Cell ATMRate,
Excel String Cell DayCount)

static std::string SABRCalibInst(
std::string Key,
long Reload,
long ValueDate,
long ExerciseDate,
CTRangeDataCPP StrikeArray,
CTRangeDataCPP VolArray,
double ATMRate,
DayCountEnum DayCount);

System.String CTSABRCalibrationSA.SABRCalibInst(
System.String Key,
System.Int32 Reload,
System.Int32 ValueDate,
System.Int32 ExerciseDate,
CTRangeData StrikeArray,
CTRangeData VolArray,
System.Double ATMRate,
CTIEnums.DayCountEnum DayCount);

CTQL.CTRangeData SABRCalibInst_StrikeArray;


double[] arrBSABRCalibInst_StrikeArray = {
0.02,
0.025,
0.03,
0.035,
0.04,
0.045,
0.05,
0.055,
0.06,
0.065,
0.07,
0.075  //  Array Data

};

CTQL.DoubleVector arrSABRCalibInst_StrikeArray =
new  CTQL.DoubleVector(arrBSABRCalibInst_StrikeArray);

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

CTQL.CTRangeData SABRCalibInst_VolArray;


double[] arrBSABRCalibInst_VolArray = {
0.29,
0.275,
0.265,
0.242,
0.23,
0.22,
0.22,
0.25,
0.29,
0.31,
0.34,
0.37  //  Array Data

};

CTQL.DoubleVector arrSABRCalibInst_VolArray =
new  CTQL.DoubleVector(arrBSABRCalibInst_VolArray);

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

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