VolFXCorrMatrix




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CapeTools Volatility Curves function list

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Creates a Volatility-FX correlation matrix.

Rows are maturities (in tenor format), columns are Underlying lengths (Tenor format).

You must decorate the FX correlation matrix with header and row information.

Row headers are option Maturity tenors from the calculation date, Column headers are Underlying length values (Tenor format).

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 : "MVolFXCORR"



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


High level graphic of VolFXCorrMatrix() 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. SettleDays parameter

    Number of days between the Exercise date of the options and the STARTDATE of the instrument.
  5. CorrRange parameter

    A matrix of Volatility-FX correlation values (ie 0.2, -0.86 etc...) and header, row information. The Header row vector represents forward starting periods, the header columns represent Underlying length (ie a typical example of an element within this vector would be 5Y, for a 5 year swap). Together (3M, 5Y), within the matrix will represent the correlation between the forward volatility and FX rate of a 5Y swap starting in 3M.
  6. BusDayConv parameter

    Business Day Convention. treatment of date adjustments
  7. DayCount parameter

    DayCounter used for the calculation of option maturity in year units.
  8. 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
  9. InterpType parameter

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


Extended information

Function Syntax

VB Syntax 


String CTVolatiltyCurves.VolFXCorrMatrix( _
String Key, _
Long Reload, _
String ValueDate, _
Long SettleDays, _
Variant CorrRange, _
BDCEnum BusDayConv, _
DayCountEnum DayCount, _
String Cal, _
InterpEnum InterpType)


Excel Spreadsheet Syntax 


=CT.CRV.VolFXCorrMatrix(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell ValueDate,
Excel Numeric Cell SettleDays,
XLRange CorrRange,
Excel String Cell BusDayConv,
Excel String Cell DayCount,
Excel String Cell Cal,
Excel String Cell InterpType)


C++ Syntax 


static std::string VolFXCorrMatrix(
std::string Key,
long Reload,
std::string ValueDate,
long SettleDays,
CTRangeDataCPP CorrRange,
BDCEnum BusDayConv,
DayCountEnum DayCount,
std::string Cal,
InterpEnum InterpType);


DotNET Syntax 


System.String CTVolatiltyCurvesSA.VolFXCorrMatrix(
System.String Key,
System.Int32 Reload,
System.String ValueDate,
System.Int32 SettleDays,
CTRangeData CorrRange,
CTIEnums.BDCEnum BusDayConv,
CTIEnums.DayCountEnum DayCount,
System.String Cal,
CTIEnums.InterpEnum InterpType);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
ValueDateStringTRUE
SettleDaysLongFALSE
CorrRangeRangeFALSE
BusDayConvBDCEnumFALSE
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
KeyFALSEMyFXCorrMatrix
ReloadFALSE1
ValueDateFALSEValueDateNAME.EXTTAG.TICKER (from a function call)
SettleDaysFALSE2
CorrRangeFALSEVolFXCorrMatrix_CorrRange_Range (creates a range object)
BusDayConvFALSEModifiedFollowing
DayCountFALSEACT365F
CalFALSECalNAME.EXTTAG.TICKER (from a function call)
InterpTypeTRUELINEAR


Example range for parameter : CorrRange

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

Mat\Und3M6M9M12M2Y4Y6Y8Y10Y12Y14Y16Y
3M0.10.120.130.120.130.110.110.120.110.090.10.09
6M0.070.060.060.040.060.070.070.090.10.080.090.11
9M0.120.130.130.130.110.10.10.110.130.130.120.1
12M0.110.110.120.120.110.120.110.110.10.10.10.12
2Y0.110.10.090.10.080.080.090.110.120.120.130.12
4Y0.140.150.130.150.140.150.150.130.130.110.110.1
6Y0.10.10.090.10.090.10.110.090.090.090.070.06
8Y0.070.070.080.080.080.080.080.090.10.10.120.11
10Y0.10.110.10.080.070.050.040.020.030.030.020.02
12Y0.010.030.040.040.050.060.060.050.030.020.030.05
14Y0.050.040.050.060.080.10.10.090.10.090.10.08
16Y0.070.070.060.070.070.070.060.070.070.060.070.08
18Y0.10.120.10.10.110.090.080.080.090.090.070.09
20Y0.090.10.080.060.080.090.10.10.110.130.140.15
22Y0.150.140.120.110.090.080.080.060.060.050.070.08

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


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

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

VolFXCorrMatrix_CorrRange_builder.Append("{");
VolFXCorrMatrix_CorrRange_builder.Append("'Mat\\Und'	 | '3M'	 | '6M'	 | '9M'	 | '12M'	 | '2Y'	 | '4Y'	 | '6Y'	 | '8Y'	 | '10Y'	 | '12Y'	 | '14Y'	 | '16Y' ;");
VolFXCorrMatrix_CorrRange_builder.Append("'3M'	 | 0.1	 | 0.12	 | 0.13	 | 0.12	 | 0.13	 | 0.11	 | 0.11	 | 0.12	 | 0.11	 | 0.09	 | 0.1	 | 0.09 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'6M'	 | 0.07	 | 0.06	 | 0.06	 | 0.04	 | 0.06	 | 0.07	 | 0.07	 | 0.09	 | 0.1	 | 0.08	 | 0.09	 | 0.11 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'9M'	 | 0.12	 | 0.13	 | 0.13	 | 0.13	 | 0.11	 | 0.1	 | 0.1	 | 0.11	 | 0.13	 | 0.13	 | 0.12	 | 0.1 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'12M'	 | 0.11	 | 0.11	 | 0.12	 | 0.12	 | 0.11	 | 0.12	 | 0.11	 | 0.11	 | 0.1	 | 0.1	 | 0.1	 | 0.12 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'2Y'	 | 0.11	 | 0.1	 | 0.09	 | 0.1	 | 0.08	 | 0.08	 | 0.09	 | 0.11	 | 0.12	 | 0.12	 | 0.13	 | 0.12 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'4Y'	 | 0.14	 | 0.15	 | 0.13	 | 0.15	 | 0.14	 | 0.15	 | 0.15	 | 0.13	 | 0.13	 | 0.11	 | 0.11	 | 0.1 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'6Y'	 | 0.1	 | 0.1	 | 0.09	 | 0.1	 | 0.09	 | 0.1	 | 0.11	 | 0.09	 | 0.09	 | 0.09	 | 0.07	 | 0.06 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'8Y'	 | 0.07	 | 0.07	 | 0.08	 | 0.08	 | 0.08	 | 0.08	 | 0.08	 | 0.09	 | 0.1	 | 0.1	 | 0.12	 | 0.11 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'10Y'	 | 0.1	 | 0.11	 | 0.1	 | 0.08	 | 0.07	 | 0.05	 | 0.04	 | 0.02	 | 0.03	 | 0.03	 | 0.02	 | 0.02 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'12Y'	 | 0.01	 | 0.03	 | 0.04	 | 0.04	 | 0.05	 | 0.06	 | 0.06	 | 0.05	 | 0.03	 | 0.02	 | 0.03	 | 0.05 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'14Y'	 | 0.05	 | 0.04	 | 0.05	 | 0.06	 | 0.08	 | 0.1	 | 0.1	 | 0.09	 | 0.1	 | 0.09	 | 0.1	 | 0.08 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'16Y'	 | 0.07	 | 0.07	 | 0.06	 | 0.07	 | 0.07	 | 0.07	 | 0.06	 | 0.07	 | 0.07	 | 0.06	 | 0.07	 | 0.08 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'18Y'	 | 0.1	 | 0.12	 | 0.1	 | 0.1	 | 0.11	 | 0.09	 | 0.08	 | 0.08	 | 0.09	 | 0.09	 | 0.07	 | 0.09 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'20Y'	 | 0.09	 | 0.1	 | 0.08	 | 0.06	 | 0.08	 | 0.09	 | 0.1	 | 0.1	 | 0.11	 | 0.13	 | 0.14	 | 0.15 ;");
VolFXCorrMatrix_CorrRange_builder.Append("'22Y'	 | 0.15	 | 0.14	 | 0.12	 | 0.11	 | 0.09	 | 0.08	 | 0.08	 | 0.06	 | 0.06	 | 0.05	 | 0.07	 | 0.08");
VolFXCorrMatrix_CorrRange_builder.Append("}");

// Parse the string into the Range object.
VolFXCorrMatrix_CorrRange.RangeFromStr( VolFXCorrMatrix_CorrRange_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 VolFXCorrMatrix() 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 VolFXCorrMatrix() function call


MyFXCorrMatrix_3.MVolFXCORR.0

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