SABRCalibInst2




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Creates an array of SABR Vol points in order to calibrate the ATMVol, Alpha, Beta and Rho parameters of the SABR model.

The Forward rate (determined by the provided dates) is retrieved via the provided YieldCurve.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "SABRCAL2"



Note: Within Excel, the function is named - CT.CAL.SABRCalibInst2


High level graphic of SABRCalibInst2() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  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. ExerciseDate parameter

    Exercise date of the Volatility point that you want to calibrate.
  4. FwdStartDate parameter

    Start date of the underlying Forward instrument. (Deposits or Swaps). The details that define the underlying Deposit or Swap are retrieved from the YieldCurve.
  5. FwdEndDate parameter

    End date of the underlying Forward instrument. (Deposits or Swaps). The details that define the underlying Deposit or Swap are retrieved from the YieldCurve.
  6. StrikeArray parameter

    An array range of strike values that corresponds to the volatility smile curve.
  7. VolArray parameter

    The volatility smile. The points must correspond to the strikes within the 'StrikeArray' parameter.
  8. DayCount parameter

    The DayCounter to use for the calculation of the option maturity year fraction between the ValueDate and the Exercise Date.
  9. YCKey parameter

    Key to an already constructed YieldCurve object. The underlying Rate will be computed via this object.


Extended information

Function Syntax

VB Syntax 


String CTSABRCalibration.SABRCalibInst2( _
String Key, _
Long Reload, _
Long ExerciseDate, _
Long FwdStartDate, _
Long FwdEndDate, _
Variant StrikeArray, _
Variant VolArray, _
DayCountEnum DayCount, _
String YCKey)


Excel Spreadsheet Syntax 


=CT.CAL.SABRCalibInst2(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel Numeric Cell ExerciseDate,
Excel Numeric Cell FwdStartDate,
Excel Numeric Cell FwdEndDate,
XLRange StrikeArray,
XLRange VolArray,
Excel String Cell DayCount,
Excel String Cell YCKey)


C++ Syntax 


static std::string SABRCalibInst2(
std::string Key,
long Reload,
long ExerciseDate,
long FwdStartDate,
long FwdEndDate,
CTRangeDataCPP StrikeArray,
CTRangeDataCPP VolArray,
DayCountEnum DayCount,
std::string YCKey);


DotNET Syntax 


System.String CTSABRCalibrationSA.SABRCalibInst2(
System.String Key,
System.Int32 Reload,
System.Int32 ExerciseDate,
System.Int32 FwdStartDate,
System.Int32 FwdEndDate,
CTRangeData StrikeArray,
CTRangeData VolArray,
CTIEnums.DayCountEnum DayCount,
System.String YCKey);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
ExerciseDateLongFALSE
FwdStartDateLongFALSE
FwdEndDateLongFALSE
StrikeArrayRangeFALSE
VolArrayRangeFALSE
DayCountDayCountEnumFALSE
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
KeyFALSEMySABRCalibInst2
ReloadFALSE1
ExerciseDateFALSE21/Oct/2005 (serial date type)
FwdStartDateFALSE21/Oct/2005 (serial date type)
FwdEndDateFALSE21/Jan/2006 (serial date type)
StrikeArrayFALSESABRCalibInst2_StrikeArray_Range (creates a range object)
VolArrayFALSESABRCalibInst2_VolArray_Range (creates a range object)
DayCountFALSEACT360
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)


Example range for parameter : StrikeArray

Within Excel, a range such as this can be passed directly into the StrikeArray parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : StrikeArray 


CTQL.CTRangeData SABRCalibInst2_StrikeArray;


double[] arrBSABRCalibInst2_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 arrSABRCalibInst2_StrikeArray =
new  CTQL.DoubleVector(arrBSABRCalibInst2_StrikeArray);

// Second parameter determines whether the array is a column array (false) or a row array (true)
SABRCalibInst2_StrikeArray = new  CTQL.CTRangeData(arrSABRCalibInst2_StrikeArray, false);

Example range for parameter : VolArray

Within Excel, a range such as this can be passed directly into the VolArray parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : VolArray 


CTQL.CTRangeData SABRCalibInst2_VolArray;


double[] arrBSABRCalibInst2_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 arrSABRCalibInst2_VolArray =
new  CTQL.DoubleVector(arrBSABRCalibInst2_VolArray);

// Second parameter determines whether the array is a column array (false) or a row array (true)
SABRCalibInst2_VolArray = new  CTQL.CTRangeData(arrSABRCalibInst2_VolArray, false);


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.Models20 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 SABRCalibInst2() 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 SABRCalibInst2() function call


MySABRCalibInst2_2.SABRCAL2.0

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