Interest rate option Related Functions

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Construction Functions

Excel: =McpCapVolStripping(MarketQuotes, args)

• Function: Strips/constructs a Cap volatility surface.
• Parameters:
  • MarketQuotes: Volatility market data.
  • args: Parameters.
• Returns: A constructed Cap volatility surface object.

Excel: =McpCapFloor(args1, args2, args3, args4, args5, fmt='VP')

• Function: Constructs a CapFloor object.
• Parameters:
  • args1~args5: Parameters required for construction.
  • fmt: Parameter format, default value is 'VP'.
• Returns: A CapFloor object for subsequent calculations.

Excel: =McpSwaptionCube1(StrikeOrSpreads, AtmVols, args)

• Function: Constructs a SwaptionCube1 object.
• Parameters:
  • StrikeOrSpreads: Volatility.
  • AtmVols: At-the-money volatility.
  • args: Other arguments.
• Returns: A SwaptionCube1 object.

Excel: =McpSwaption(args1, args2, args3, args4, args5, fmt='VP')

• Function: Constructs a Swaption object.
• Parameters:
  • args1~args5: Construction arguments.
  • fmt: Format, default value is 'VP'.
• Returns: A Swaption object.

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Usage Functions

Excel: =CapFloorPrice(obj)

• Function: Calculates Price.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated Price.

Excel: =CapFloorSpotDelta(obj)

• Function: Calculates SpotDelta.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated SpotDelta.

Excel: =CapFloorFwdDelta(obj)

• Function: Calculates FwdDelta.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated FwdDelta.

Excel: =CapFloorSpotGamma(obj)

• Function: Calculates SpotGamma.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated SpotGamma.

Excel: =CapFloorFwdGamma(obj)

• Function: Calculates FwdGamma.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated FwdGamma.

Excel: =CapFloorSpotVega(obj)

• Function: Calculates SpotVega.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated SpotVega.

Excel: =CapFloorFwdVega(obj)

• Function: Calculates FwdVega.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated FwdVega.

Excel: =CapFloorGetCaplet(obj, idx)

• Function: Calculates the pricing information for a specific Caplet (or Floorlet).
• Parameters:
  • obj: CapFloor object.
  • idx: Index value.
• Returns: Pricing information for the specified Caplet/Floorlet.

Excel: =CapfloorletFixingDate(obj)

• Function: Calculates the Fixing Date.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated Fixing Date.

Excel: =CapfloorletCalcStartDate(obj)

• Function: Calculates the Calculation Start Date.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated Calculation Start Date.

Excel: =CapfloorletCalcEndDate(obj)

• Function: Calculates the Calculation End Date.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated Calculation End Date.

Excel: =CvsATMRate(cvs, expiryDate)

• Function: Calculates the ATMRate.
• Parameters:
  • cvs: CapVol volatility object.
  • expiryDate: Expiry date.
• Returns: The calculated ATMRate.

Excel: =CvsYieldVolAtTandK(cvs, capletExpiry, strike)

• Function: Calculates the Vol.
• Parameters:
  • cvs: CapVol volatility object.
  • expiryDate: Expiry date.
  • strike: Strike price.
• Returns: The calculated volatility.

Excel: =CapfloorletPrice(obj)

• Function: Calculates the Price for a Caplet/Floorlet.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated Price.

Excel: =CapFloorletSpotDelta(obj)

• Function: Calculates SpotDelta.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated SpotDelta.

Excel: =CapFloorletFwdDelta(obj)

• Function: Calculates FwdDelta.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated FwdDelta.

Excel: =CapFloorletSpotGamma(obj)

• Function: Calculates SpotGamma.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated SpotGamma.

Excel: =CapFloorletFwdGamma(obj)

• Function: Calculates FwdGamma.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated FwdGamma.

Excel: =CapFloorletSpotVega(obj)

• Function: Calculates SpotVega.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated SpotVega.

Excel: =CapFloorletFwdVega(obj)

• Function: Calculates FwdVega.
• Parameters:
  • obj: CapFloor object.
• Returns: The calculated FwdVega.

Excel: =ScAtmStrike(sc, expiryDate, maturity)

• Function: Calculates the At-the-Money Strike for a given tenor.
• Parameters:
  • sc: A SwaptionCube object.
  • expiryDate: Expiry date of the underlying.
  • maturity: End date of the interest rate swap.
• Returns: The Atm Strike value.

Excel: =ScAtmVol(sc, expiryDate, maturity)

• Function: Calculates the At-the-Money Volatility for a given tenor.
• Parameters:
  • sc: A SwaptionCube object.
  • expiryDate: Expiry date of the underlying.
  • maturity: End date of the interest rate swap.
• Returns: The Atm Volatility value.

Excel: =SwaptionPrice1(obj)

• Function: Calculates the price of a Swaption.
• Parameters:
  • obj: A Swaption object.
• Returns: The price.

Excel: =SwaptionNPV(obj)

• Function: Calculates the Net Present Value (NPV) of an interest rate swap (VanillaSwap).
• Parameters:
  • obj: A VanillaSwap object.
• Returns: The NPV value.

Excel: =SwaptionDV01(obj)

• Function: Calculates the DV01 of an interest rate swap (VanillaSwap).
• Parameters:
  • obj: A VanillaSwap object.
• Returns: The DV01 value.

Excel: =SwaptionDelta(obj)

• Function: Calculates the Delta of an interest rate swap (VanillaSwap).
• Parameters:
  • obj: A VanillaSwap object.
• Returns: The Delta value.

Excel: =SwaptionGamma(obj)

• Function: Calculates the Gamma of an interest rate swap (VanillaSwap).
• Parameters:
  • obj: A VanillaSwap object.
• Returns: The Gamma value.

Excel: =SwaptionVega(obj)

• Function: Calculates the Vega of an interest rate swap (VanillaSwap).
• Parameters:
  • obj: A VanillaSwap object.
• Returns: The Vega value.

Excel: =SwaptionTheta(obj)

• Function: Calculates the Theta of an interest rate swap (VanillaSwap).
• Parameters:
  • obj: A VanillaSwap object.
• Returns: The Theta value.