FlatVolFXCorr




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CapeTools Volatility Curves function list

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Creates a Volatility-FX Correlation object from a single input.

This correlation is between a forward rate volatility and a spot FX rate.

Used by the Quanto adjustment functions.

The string 'Key' resulting from a successful construction of this distribution object can be passed to the 'FXCorr' parameters of the following functions in order to assist in the Quanto adjustment calculation : PrcLegObject(), CompLegPayments(), FLTLegFixings() and all the functions present within the CapeTools IR Pricing and CapeTools IR Storage Pricing category of functions.



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 : "FVolFXCORR"



Note: Within Excel, the function is named - CT.CRV.FlatVolFXCorr


High level graphic of FlatVolFXCorr() 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. ValueDate parameter

    Key to an already created Valuation Date Object. (Via the ValueDateObj() function).
  4. FXCorr parameter

    Volatility-FX correlation, (ie, 0.5, -0.4 etc...)
  5. DayCount parameter

    DayCounter to use
  6. Cal parameter

    Calendar to use for the adjustment of the 'ValueDate' parameter.
  7. BusDayConv parameter

    Business Day Convention needed for the adjustment of the 'ValueDate' parameter.


Extended information

Function Syntax

VB Syntax 


String CTVolatiltyCurves.FlatVolFXCorr( _
String Key, _
Long Reload, _
String ValueDate, _
Double FXCorr, _
DayCountEnum DayCount, _
String Cal, _
BDCEnum BusDayConv)


Excel Spreadsheet Syntax 


=CT.CRV.FlatVolFXCorr(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell ValueDate,
Excel Numeric Cell FXCorr,
Excel String Cell DayCount,
Excel String Cell Cal,
Excel String Cell BusDayConv)


C++ Syntax 


static std::string FlatVolFXCorr(
std::string Key,
long Reload,
std::string ValueDate,
double FXCorr,
DayCountEnum DayCount,
std::string Cal,
BDCEnum BusDayConv);


DotNET Syntax 


System.String CTVolatiltyCurvesSA.FlatVolFXCorr(
System.String Key,
System.Int32 Reload,
System.String ValueDate,
System.Double FXCorr,
CTIEnums.DayCountEnum DayCount,
System.String Cal,
CTIEnums.BDCEnum BusDayConv);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
ValueDateStringTRUE
FXCorrDoubleFALSE
DayCountDayCountEnumFALSE
CalStringTRUE
BusDayConvBDCEnumFALSE

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
KeyFALSEMyFlatFXCorrCurve
ReloadFALSE1
ValueDateFALSEValueDateNAME.EXTTAG.TICKER (from a function call)
FXCorrFALSE0.5
DayCountFALSEACT365F
CalFALSECalNAME.EXTTAG.TICKER (from a function call)
BusDayConvFALSEModifiedFollowing


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 FlatVolFXCorr() 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 FlatVolFXCorr() function call


MyFlatFXCorrCurve_1.FVolFXCORR.0

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