VectorVolFXCorr




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CapeTools Volatility Curves function list

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Creates a 2 column curve of Volatility-FX correlations where the first column is Forward dates (in Tenors), the 2nd column, correlation values.

These correlation values are between forward rate volatilities and spot FX rates.

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 : "VVolFXCorr"



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


High level graphic of VectorVolFXCorr() 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

    2 column range of Forward periods (in Tenor format - 2M, 6M, 2Y etc...) and correlations.
  5. DayCount parameter

    DayCounter to use
  6. Cal parameter

    Calendar to use for the adjustment of dates that lands on a holiday or weekend, if you use the EmptyCalendar() function, no adjustments will be made
  7. InterpType parameter

    Interpolation method to use when interpolating the curve for vols, - LINEAR, LOGLINEAR, CUBIC.


Extended information

Function Syntax

VB Syntax 


String CTVolatiltyCurves.VectorVolFXCorr( _
String Key, _
Long Reload, _
String ValueDate, _
Variant FXCorr, _
DayCountEnum DayCount, _
String Cal, _
InterpEnum InterpType)


Excel Spreadsheet Syntax 


=CT.CRV.VectorVolFXCorr(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell ValueDate,
XLRange FXCorr,
Excel String Cell DayCount,
Excel String Cell Cal,
Excel String Cell InterpType)


C++ Syntax 


static std::string VectorVolFXCorr(
std::string Key,
long Reload,
std::string ValueDate,
CTRangeDataCPP FXCorr,
DayCountEnum DayCount,
std::string Cal,
InterpEnum InterpType);


DotNET Syntax 


System.String CTVolatiltyCurvesSA.VectorVolFXCorr(
System.String Key,
System.Int32 Reload,
System.String ValueDate,
CTRangeData FXCorr,
CTIEnums.DayCountEnum DayCount,
System.String Cal,
CTIEnums.InterpEnum InterpType);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
ValueDateStringTRUE
FXCorrRangeFALSE
DayCountDayCountEnumFALSE
CalStringTRUE
InterpTypeInterpEnumFALSE

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
KeyFALSEMyVectorFXCorrCurve
ReloadFALSE1
ValueDateFALSEValueDateNAME.EXTTAG.TICKER (from a function call)
FXCorrFALSEVectorVolFXCorr_FXCorr_Range (creates a range object)
DayCountFALSEACT360
CalFALSECalNAME.EXTTAG.TICKER (from a function call)
InterpTypeTRUELINEAR


Example range for parameter : FXCorr

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

6M0.08
12M0.07
18M0.07
24M0.08
30M0.08
36M0.08
42M0.11
48M0.11
54M0.11
60M0.12
66M0.1
72M0.12
78M0.15
84M0.15
90M0.14
96M0.16
102M0.15
108M0.14
114M0.17
120M0.18
126M0.15

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


CTQL.CTRangeData VectorVolFXCorr_FXCorr = new CTQL.CTRangeData();

System.Text.StringBuilder VectorVolFXCorr_FXCorr_builder =
new System.Text.StringBuilder(100);

VectorVolFXCorr_FXCorr_builder.Append("{");
VectorVolFXCorr_FXCorr_builder.Append("'6M'	 | 0.08 ;");
VectorVolFXCorr_FXCorr_builder.Append("'12M'	 | 0.07 ;");
VectorVolFXCorr_FXCorr_builder.Append("'18M'	 | 0.07 ;");
VectorVolFXCorr_FXCorr_builder.Append("'24M'	 | 0.08 ;");
VectorVolFXCorr_FXCorr_builder.Append("'30M'	 | 0.08 ;");
VectorVolFXCorr_FXCorr_builder.Append("'36M'	 | 0.08 ;");
VectorVolFXCorr_FXCorr_builder.Append("'42M'	 | 0.11 ;");
VectorVolFXCorr_FXCorr_builder.Append("'48M'	 | 0.11 ;");
VectorVolFXCorr_FXCorr_builder.Append("'54M'	 | 0.11 ;");
VectorVolFXCorr_FXCorr_builder.Append("'60M'	 | 0.12 ;");
VectorVolFXCorr_FXCorr_builder.Append("'66M'	 | 0.1 ;");
VectorVolFXCorr_FXCorr_builder.Append("'72M'	 | 0.12 ;");
VectorVolFXCorr_FXCorr_builder.Append("'78M'	 | 0.15 ;");
VectorVolFXCorr_FXCorr_builder.Append("'84M'	 | 0.15 ;");
VectorVolFXCorr_FXCorr_builder.Append("'90M'	 | 0.14 ;");
VectorVolFXCorr_FXCorr_builder.Append("'96M'	 | 0.16 ;");
VectorVolFXCorr_FXCorr_builder.Append("'102M'	 | 0.15 ;");
VectorVolFXCorr_FXCorr_builder.Append("'108M'	 | 0.14 ;");
VectorVolFXCorr_FXCorr_builder.Append("'114M'	 | 0.17 ;");
VectorVolFXCorr_FXCorr_builder.Append("'120M'	 | 0.18 ;");
VectorVolFXCorr_FXCorr_builder.Append("'126M'	 | 0.15");
VectorVolFXCorr_FXCorr_builder.Append("}");

// Parse the string into the Range object.
VectorVolFXCorr_FXCorr.RangeFromStr( VectorVolFXCorr_FXCorr_builder.ToString() );


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 VectorVolFXCorr() 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 VectorVolFXCorr() function call


MyVectorFXCorrCurve_2.VVolFXCorr.0

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