Foreign Exchange Volatility Surface Related Functions

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Construction Functions

Excel: =McpFXVolSurface2(args1, args2, args3, args4, args5, fmt='VP')

Python: McpFXVolSurface2(*args)

• Function: Constructs a bilateral foreign exchange volatility surface (using bilateral interest rate and forward curves).
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting the following three input methods:
    1. First Parameter Set:
       • ReferenceDate: Trade date or valuation date.
       • Tenors: Array of tenors.
       • DeltaStrings: Array of delta types (e.g., 25RR, 25BF, ATM, 25CALL, 25PUT).
       • BidVolatilities: Bid-side volatilities.
       • AskVolatilities: Ask-side volatilities.
       • FxForwardPointsCurve2: Forward curve object.
       • ForeignCurve2: Interest rate curve object for currency 1.
       • DomesticCurve2: Interest rate curve object for currency 2.
       • CalculatedTarget: Calculation target (enumeration value).
       • SmileInterpMethod: Interpolation method (enumeration value).
       • Calendar: Holiday calendar object (default is empty).
       • DateAdjusterRule: Adjustment rule (enumeration value).
       • DeltaType: Delta type (enumeration value).
       • PremiumAdjusted: Whether to adjust for premium (default is True).
       • IsATMFwd: Whether it is ATM forward (default is False).
       • SpotDate: Spot value date (default is 1901-01-01).
       • FXVolInterpType: Volatility interpolation type (default is SPLINE_VOLATILITY).
       • DayCounter: Day count convention.
    2. Second Parameter Set:
       • Similar to the first set but adds DeltaTypes and AtmVolTypes arrays.
    3. Third Parameter Set:
       • ReferenceDate: Trade date or valuation date.
       • FXVolSurface2_1: Volatility surface object 1.
       • FXVolSurface2_2: Volatility surface object 2.
       • Correlation: Correlation coefficient.
       • IsCur1Direct: Whether currency pair 1 is a direct quote.
       • IsCur2Direct: Whether currency pair 2 is a direct quote.
       • Calendar: Holiday calendar object (default is empty).
       • DateAdjusterRule: Adjustment rule (enumeration value).
       • CalculatedTarget: Calculation target (enumeration value).
       • SmileInterpMethod: Interpolation method (enumeration value).
       • UsingExternalForwardPointCurve: Whether to use an external forward curve.
       • ExternalForwardPointCurve2: External forward curve object.
       • DeltaType: Delta type (enumeration value).
       • PremiumAdjusted: Whether to adjust for premium (default is True).
       • IsATMFwd: Whether it is ATM forward (default is False).
       • SpotDate: Spot value date (default is 1901-01-01).
       • CrossFXSpot: Whether to use cross-calculated spot rate (default is True).
       • BidFXSpotRate: Bid-side spot rate (default is 0).
       • AskFXSpotRate: Ask-side spot rate (default is 0).
       • SwapPointScaleFactor: Swap point scaling factor (default is 10000).
       • QuoteUnit: Quote unit (default is 1).
       • QuoteUnit1: Quote unit for currency pair 1 (default is 1).
       • QuoteUnit2: Quote unit for currency pair 2 (default is 1).
  • fmt: Parameter format (default is VP),Excel-specific parameters.
• Returns: Bilateral foreign exchange volatility surface object.

Excel: =McpFXVolSurface(args1, args2, args3, args4, args5, fmt='DT|VP|HD')

Python: McpFXVolSurface(*args)

• Function: Constructs a unilateral foreign exchange volatility surface (using unilateral interest rate and forward curves).
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting the following five input methods:
    1. First Parameter Set:
       • ReferenceDate: Trade date or valuation date.
       • spotPx: Spot price.
       • Tenors: Array of tenors.
       • DeltaStrings: Array of delta types.
       • Strikes: Array of strike prices.
       • Volatilities: Array of volatilities.
       • ForeignCurve: Interest rate curve object for currency 1.
       • DomesticCurve: Interest rate curve object for currency 2.
       • Calendar: Holiday calendar object.
       • DateAdjusterRule: Adjustment rule (enumeration value).
       • DeltaType: Delta type (enumeration value).
       • SmileInterpMethod: Interpolation method (enumeration value).
       • FxForwardPointsCurve: Forward curve object.
       • PremiumAdjusted: Whether to adjust for premium (default is True).
       • IsATMFwd: Whether it is ATM forward (default is False).
       • SpotDate: Spot value date.
       • CalculatedTarget: Calculation target (default is CCY1).
    2. Second Parameter Set:
       • Similar to the first set but uses MaturityDates instead of Tenors.
    3. Third Parameter Set:
       • Similar to the first set but adds FXVolInterpType (default is SPLINE_VOLATILITY).
    4. Fourth Parameter Set:
       • Similar to the first set but adds DeltaTypes and AtmVolTypes arrays.
    5. Fifth Parameter Set:
       • Similar to the first set but adds FXVolInterpType and DeltaTypes.
  • fmt: Parameter format (default is DT|VP|HD),Excel-specific parameters.
• Returns: Unilateral foreign exchange volatility surface object.

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Foreign Exchange Usage Functions

Excel: =FXVolSurface2GetReferenceDate(vs)

Python: GetReferenceDate()

• Function: Retrieves the reference date from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object,Python API does not require this parameter.
• Returns: Reference date.

Excel: =FXVolSurfaceGetReferenceDate(vs)

Python: GetReferenceDate()

• Function: Retrieves the reference date from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object,Python API does not require this parameter.
• Returns: Reference date.

Excel: =FXVolSurface2GetSpotDate(vs)

Python: GetSpotDate()

• Function: Retrieves the spot date from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object,Python API does not require this parameter.
• Returns: Spot date.

Excel: =FXVolSurfaceGetSpotDate(vs)

Python: GetSpotDate()

• Function: Retrieves the spot date from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object,Python API does not require this parameter.
• Returns: Spot date.

Excel: =FXVolSurface2GetStrike(vs, deltaString, tenor, bidMidAsk)

Python: GetStrike(*args)

• Function: Retrieves the strike price for a specified delta, tenor, and direction from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object.
  • deltaString: Delta value.
  • tenor: Tenor.
  • bidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the vs parameter, other parameters are the same as those in Excel.
• Returns: Strike price.

Excel: =FXVolSurfaceGetStrike(vs, deltaString, tenor)

Python: GetStrike(deltaString, tenor)

• Function: Retrieves the strike price for a specified delta and tenor from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object,Python API does not require this parameter.
  • deltaString: Delta value.
  • tenor: Tenor.
• Returns: Strike price.

Excel: =FXVolSurface2GetSpot(Vs, BidMidAsk)

Python: GetSpot(*args)

• Function: Retrieves the spot price for a specified direction from a bilateral volatility surface.
• Parameters:
  • Vs: Bilateral volatility surface object.
  • BidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the Vs parameter, other parameters are the same as those in Excel.
• Returns: Spot price for the specified direction.

Excel: =FXVolSurfaceGetSpot(Vs)

Python: GetSpot()

• Function: Retrieves the spot price from a unilateral volatility surface.
• Parameters:
  • Vs: Unilateral volatility surface object,Python API does not require this parameter.
• Returns: Spot price.

Excel: =FXVolSurface2GetATMVol(vs, expiryDate, bidMidAsk)

Python: GetATMVol(*args)

• Function: Retrieves the ATM volatility for a specified expiry date and direction from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object.
  • expiryDate: Expiry date.
  • bidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the vs parameter, other parameters are the same as those in Excel.
• Returns: ATM volatility for the specified direction.

Excel: =FXVolSurfaceGetATMVol(vs, expiryDate)

Python: GetATMVol(expiryDate)

• Function: Retrieves the ATM volatility for a specified expiry date from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object,Python API does not require this parameter.
  • expiryDate: Expiry date.
• Returns: ATM volatility.

Excel: =FXVolSurface2GetVolatility(vs, strike, expiryDate, bidMidAsk, midForward=0.0, bidInputDeltaVolPair='', askInputDeltaVolPair='')

Python: GetVolatility(*args)

• Function: Retrieves the volatility for a specified strike, expiry date, and direction from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object.
  • strike: Strike price.
  • expiryDate: Expiry date.
  • bidMidAsk: Specifies the direction (bid, mid, or ask).
  • midForward: Mid forward price.
  • bidInputDeltaVolPair: Bid-side delta value and corresponding implied volatility.
  • askInputDeltaVolPair: Ask-side delta value and corresponding implied volatility.
  • *args：is a dictionary, does not require the vs parameter, other parameters are the same as those in Excel.
• Returns: Volatility for the specified direction.

Excel: =FXVolSurfaceGetVolatility(vs, strike, expiryDate, forward=0.0, inputDeltaVolPair='')

Python: GetVolatility(*args)

• Function: Retrieves the volatility for a specified strike and expiry date from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object.
  • strike: Strike price.
  • expiryDate: Expiry date.
  • forward: Forward price.
  • InputDeltaVolPair: Delta value and corresponding implied volatility.
  • *args：is a dictionary, does not require the vs parameter, other parameters are the same as those in Excel.
• Returns: Volatility.

Excel: =FXVolSurface2GetForeignRate(vs, expiryOrDeliveryDate, isDeliveryDate, bidMidAsk)

Python: GetForeignRate(*args)

• Function: Retrieves the foreign currency rate for a specified expiry or delivery date and direction from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true for delivery date, false for expiry date).
  • bidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the vs parameter, other parameters are the same as those in Excel.
• Returns: Foreign currency rate.

Excel: =FXVolSurfaceGetForeignRate(vs, expiryOrDeliveryDate, isDeliveryDate)

Python: GetForeignRate(expiryOrDeliveryDate, isDeliveryDate=False)

• Function: Retrieves the foreign currency rate for a specified expiry or delivery date from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object,Python API does not require this parameter.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true for delivery date, false for expiry date).
• Returns: Foreign currency rate.

Excel: =FXVolSurface2GetDomesticRate(vs, expiryOrDeliveryDate, isDeliveryDate, bidMidAsk)

Python: GetDomesticRate(*args)

• Function: Retrieves the domestic currency rate for a specified expiry or delivery date and direction from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true for delivery date, false for expiry date).
  • bidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the vs parameter, other parameters are the same as those in Excel.
• Returns: Domestic currency rate.

Excel: =FXVolSurfaceGetDomesticRate(vs, expiryOrDeliveryDate, isDeliveryDate)

Python: GetDomesticRate(expiryOrDeliveryDate, isDeliveryDate=False)

• Function: Retrieves the domestic currency rate for a specified expiry or delivery date from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object,Python API does not require this parameter.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true for delivery date, false for expiry date).
• Returns: Domestic currency rate.

Excel: =FXVolSurface2GetForward(vs, expiryOrDeliveryDate, isDeliveryDate, bidMidAsk)

Python: GetForward(*args)

• Function: Retrieves the forward rate for a specified expiry or delivery date and direction from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true for delivery date, false for expiry date).
  • bidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the vs parameter, other parameters are the same as those in Excel.
• Returns: Forward rate.

Excel: =FXVolSurfaceGetForward(vs, expiryOrDeliveryDate, isDeliveryDate)

Python: GetForward(expiryOrDeliveryDate, isDeliveryDate=False)

• Function: Retrieves the forward rate for a specified expiry or delivery date from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object,Python API does not require this parameter.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true for delivery date, false for expiry date).
• Returns: Forward rate.

Excel: =FXVolSurface2GetForwardPoint(vs, expiryOrDeliveryDate, isDeliveryDate, bidMidAsk)

Python: GetForwardPoint(*args)

• Function: Retrieves the forward points for a specified expiry or delivery date and direction from a bilateral volatility surface.
• Parameters:
  • vs: Bilateral volatility surface object.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true for delivery date, false for expiry date).
  • bidMidAsk: Specifies the direction (bid, mid, or ask).
  • *args：is a dictionary, does not require the vs parameter, other parameters are the same as those in Excel
• Returns: Forward points.

Excel: =FXVolSurfaceGetForwardPoint(vs, expiryOrDeliveryDate, isDeliveryDate)

Python: GetForwardPoint(expiryOrDeliveryDate, isDeliveryDate)

• Function: Retrieves the forward points for a specified expiry or delivery date from a unilateral volatility surface.
• Parameters:
  • vs: Unilateral volatility surface object，Python API does not require this parameter..
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true for delivery date, false for expiry date).
• Returns: Forward points.

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