Interest Rate Option Volatility Cube Related Functions

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Construction Function

Excel: =McpSwaptionCube(StrikeOrSpreads, AtmVols, args)

Python: McpSwaptionCube(*args)

• Function: Constructs an interest rate option volatility cube object.
• Parameters:
  • StrikeOrSpreads: Array, representing the strike prices or spreads of the options.
  • AtmVols: Array, representing the volatilities of at-the-money (ATM) options.
  • args or *args: Parameter group, containing the following parameters:
    • ReferenceDate: Date, the reference date.
    • ExpiryTenorPillars: Array, the expiration tenor pillars.
    • VolSpreadOrVols: Array, the volatility spreads or volatilities.
    • AtmExpiryPillars: Array, the expiration tenor pillars for ATM options.
    • AtmMaturityPillars: Array, the maturity pillars for ATM options.
    • UsingSpread: Boolean, default value is True, indicating whether to use spreads.
    • StrikeInterpType: Enum, default value is SABR, indicating the strike interpolation type.
    • ExpiryMaturityInterpMethod: Enum, default value is LINEARINTERPOLATION, indicating the expiration-maturity interpolation method.
    • DayCounter: Enum, default value is Act365Fixed, indicating the day-counting method.
    • Calendar: Object, representing the calendar.
    • UnderlyingFixedPayFrequency: Enum, default value is Quarterly, indicating the fixed-rate payment frequency.
    • UnderlyingFloatFixingFrequency: Enum, default value is Quarterly, indicating the floating-rate fixing frequency.
    • UnderlyingFloatPayFrequency: Enum, default value is Quarterly, indicating the floating-rate payment frequency.
    • UnderlyingYieldCurve: Object, representing the underlying yield curve.
    • SABRApproxMethods: Float, default value is 0, indicating the SABR approximation method.
    • SABRSolverBump: Float, default value is 0.01, indicating the SABR solver bump.
    • SABRSolverTolerance: Float, default value is 0.0001, indicating the SABR solver tolerance.
    • SABRMaxIterations: Integer, default value is 200, indicating the maximum number of SABR iterations.
    • SABRDirectionMethod: Integer, default value is 0, indicating the SABR direction method.
    • SABRSolverNRanShakes: Integer, default value is 100, indicating the number of random shakes for the SABR solver.
    • SABRSolverShakeSize: Float, default value is 0.001, indicating the shake size for the SABR solver.
    • MaxSpreadToATM: Float, default value is 0.03, indicating the maximum spread relative to ATM.
• Returns: An interest rate option volatility cube object for subsequent calculations.