Local Volatility Class Functions

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Constructor Functions

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

Python: McpLocalVol(*args)

• Function: Constructs a local volatility object.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting the following three parameter passing methods:
    1. FX Rate Parameters:
       • ReferenceDate: Trading or valuation date.
       • Spot: Spot price.
       • ExpiryDates: Array of expiry dates.
       • OptionTypes: Array of option types.
       • Strikes: Array of strike prices.
       • Premiums: Array of option premiums.
       • PremiumAdjusted: Whether to adjust premiums (default False).
       • DomesticCurve: Interest rate curve object for Ccy2.
       • ForeignCurve: Interest rate curve object for Ccy1.
       • FXForwardCurve: Forward curve object.
       • CalculatedTarget: Calculation target (enumeration value).
       • LocalVolModel: Model (enumeration value).
       • LogLevel: Log level (enumeration value).
       • TraceFile: Log file path (optional).
       • Calendar: Holiday calendar object.
       • DateAdjusterRule: Adjustment rule (enumeration value).
       • SpotDate: Value date.
       • ImpVols: Array of implied volatilities.
       • MiniStrikeSize: Minimum strike size (default: strikes smaller than this value are not calculated).
       • UsingImpVols: Whether to use implied volatilities (default True).
    2. Index Parameters:
       • ReferenceDate: Trading or valuation date.
       • Spot: Spot price.
       • ExpiryDates: Array of expiry dates.
       • OptionTypes: Array of option types.
       • Strikes: Array of strike prices.
       • Premiums: Array of option premiums.
       • RiskFreeRateCurve: Risk-free rate curve object.
       • Dividend: Dividend.
       • LocalVolModel: Model (enumeration value).
       • LogLevel: Log level (enumeration value).
       • TraceFile: Log file path (optional).
       • Calendar: Holiday calendar object.
       • DateAdjusterRule: Adjustment rule (enumeration value).
       • SpotDate: Value date.
       • ImpVols: Array of implied volatilities.
       • MiniStrikeSize: Minimum strike size (default: strikes smaller than this value are not calculated).
       • UsingImpVols: Whether to use implied volatilities (default True).
    3. Commodity Parameters:
       • ReferenceDate: Trading or valuation date.
       • ExpiryDates: Array of expiry dates.
       • OptionTypes: Array of option types.
       • Strikes: Array of strike prices.
       • Premiums: Array of option premiums.
       • RiskFreeRateCurve: Risk-free rate curve object.
       • ForwardCurve: Forward curve object.
       • LocalVolModel: Model (enumeration value).
       • LogLevel: Log level (enumeration value).
       • TraceFile: Log file path (optional).
       • Calendar: Holiday calendar object.
       • DateAdjusterRule: Adjustment rule (enumeration value).
       • SpotDate: Value date.
       • ImpVols: Array of implied volatilities.
       • MiniStrikeSize: Minimum strike size (default: strikes smaller than this value are not calculated).
       • UsingImpVols: Whether to use implied volatilities (default True).
  • fmt: Parameter format (default DT|VP|HD),Excel-specific parameters.
• Returns: Local volatility object.

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Utility Functions

Excel: =HmReport(obj)

• Function: Generates a calibration report for the local volatility.
• Parameters:
  • obj: Local volatility object.
• Returns: Calibration report.

Excel: =LocalVolGetForward(vs, expiryOrDeliveryDate, isDeliveryDate)

Python: GetForward(expiryOrDeliveryDate, isDeliveryDate)

• Function: Retrieves the forward price using the local volatility.
• Parameters:
  • vs: Local volatility object,Python API does not require this parameter.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Whether it is a delivery date (True or False).
• Returns: Forward price.

Excel: =LocalVolGetUnderlyingRate(vs, expiryOrDeliveryDate, isDeliveryDate)

Python: GetUnderlyingRate(expiryOrDeliveryDate, isDeliveryDate)

• Function: Retrieves the UnderlyingRate using the local volatility.
• Parameters:
  • vs: Local volatility object,Python API does not require this parameter.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Whether it is a delivery date (True or False).
• Returns: UnderlyingRate.

Excel: =LocalVolGetRiskFreeRate(vs, expiryOrDeliveryDate, isDeliveryDate)

Python: GetRiskFreeRate(expiryOrDeliveryDate, isDeliveryDate)

• Function: Retrieves the RiskFreeRate using the local volatility.
• Parameters:
  • vs: Local volatility object,Python API does not require this parameter.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Whether it is a delivery date (True or False).
• Returns: RiskFreeRate.

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Notes

1. Parameter Format: The fmt parameter specifies the parameter format, with a default value of DT|VP|HD.
2. Enumeration Values: Some parameters (e.g., LocalVolModel, LogLevel) are enumeration values and should refer to specific definitions.
3. Default Values: Parameters not explicitly stated usually have default values and can be adjusted as needed.