Equity/Commodity Volatility Surface Related Functions

Visit the Mathema Option Pricing System for foreign exchange options and structured product valuation!

Constructor Functions

Excel: =McpVolSurface2(args1, args2, args3, args4, args5, fmt='VP')

Python: McpVolSurface2(*args)

• Function: Constructs a commodity volatility surface.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting the following parameter passing methods:
    • Equity Product Parameters:
      • ReferenceDate: Trading or valuation date.
      • BidSpot: Bid-side spot price.
      • AskSpot: Ask-side spot price.
      • ExpiryDates: Array of expiry dates.
      • BidStrikes: Array of bid-side strike prices.
      • BidOptionTypes: Array of bid-side option types.
      • BidPremiums: Array of bid-side option premiums.
      • AskStrikes: Array of ask-side strike prices.
      • AskOptionTypes: Array of ask-side option types.
      • AskPremiums: Array of ask-side option premiums.
      • RiskFreeRateCurve2: Risk-free rate curve object.
      • Dividend: Dividend.
      • SmileInterp: Interpolation method (enumeration value).
      • Calendar: Holiday calendar object.
      • DateAdjusterRule: Adjustment rule (default ModifiedFollowing).
      • BidImpVols: Array of bid-side implied volatilities.
      • AskImpVols: Array of ask-side implied volatilities.
      • SpotDate: Value date.
      • MiniStrikeSize: Minimum strike size (default: strikes smaller than this value are not calculated).
    • Futures Product Parameters:
      • Similar to equity products, but with the addition of a ForwardCurve2 object.
  • fmt: Parameter format (default VP),Excel-specific parameters.
• Returns: Commodity volatility surface object.

---

Equity/Commodity Utility Functions

Excel: =VolSurface2GetSpot(Vs, BidMidAsk)

Python: GetSpot(bidMidAsk)

• Function: Retrieves the spot price for the specified direction from a two-sided commodity volatility surface.
• Parameters:
  • Vs: Two-sided commodity volatility surface object,Python API does not require this parameter.
  • BidMidAsk: Specified direction (bid, mid, or ask).
• Returns: Spot price for the specified direction.

Excel: =VolSurfaceGetSpot(Vs)

• Function: Retrieves the spot price from a one-sided commodity volatility surface.
• Parameters:
  • Vs: One-sided commodity volatility surface object.
• Returns: Spot price.

Excel: =VolSurface2GetATMVol(vs, expiryDate, bidMidAsk)

• Function: Retrieves the ATM volatility for the specified expiry date and direction from a two-sided commodity volatility surface.
• Parameters:
  • vs: Two-sided commodity volatility surface object.
  • expiryDate: Expiry date.
  • bidMidAsk: Specified direction (bid, mid, or ask).
• Returns: ATM volatility for the specified direction.

Excel: =VolSurfaceGetATMVol(vs, expiryDate)

• Function: Retrieves the ATM volatility for the specified expiry date from a one-sided commodity volatility surface.
• Parameters:
  • vs: One-sided commodity volatility surface object.
  • expiryDate: Expiry date.
• Returns: ATM volatility.

Excel: =VolSurface2GetVolatility(vs, strike, maturityDate, bidMidAsk, midForward)

• Function: Retrieves the volatility for the specified expiry date and direction from a two-sided commodity volatility surface.
• Parameters:
  • vs: Two-sided commodity volatility surface object.
  • strike: Strike price.
  • maturityDate: Maturity date.
  • bidMidAsk: Specified direction (bid, mid, or ask).
  • midForward: Mid forward price.
• Returns: Volatility for the specified direction.

Excel: =VolSurfaceGetVolatility(vs, strike, expiryDate, forward)

• Function: Retrieves the volatility for the specified expiry date from a one-sided commodity volatility surface.
• Parameters:
  • vs: One-sided commodity volatility surface object.
  • strike: Strike price.
  • expiryDate: Expiry date.
  • forward: Forward price.
• Returns: Volatility.

Excel: =VolSurface2ExpiryDates(vs, bidMidAsk, fmt='V')

• Function: Retrieves the expiry dates for the specified direction from a volatility surface.
• Parameters:
  • vs: Volatility surface.
  • bidMidAsk: Specified direction (bid, mid, or ask).
  • fmt: Parameter format (default V).
• Returns: Array of expiry dates.

Excel: =VolSurface2GetReferenceDate(vs)

• Function: Retrieves the reference date from a volatility surface.
• Parameters:
  • vs: Volatility surface.
• Returns: Reference date.

Excel: =VolSurface2GetSpotDate(vs)

• Function: Retrieves the spot date from a volatility surface.
• Parameters:
  • vs: Volatility surface.
• Returns: Spot date.

Excel: =VolSurface2GetForward(vs, expiryOrDeliveryDate, isDeliveryDate, bidMidAsk)

• Function: Retrieves the forward price for the specified expiry or delivery date and direction from a volatility surface.
• Parameters:
  • vs: Volatility surface.
  • expiryOrDeliveryDate: Expiry or delivery date.
  • isDeliveryDate: Boolean indicating whether expiryOrDeliveryDate is a delivery date (true) or expiry date (false).
  • bidMidAsk: Specified direction (bid, mid, or ask).
• Returns: Forward price.

Excel: =VolSurface2Strikes(vs, bidMidAsk, fmt='V')

• Function: Retrieves the strike prices for the specified direction from a volatility surface.
• Parameters:
  • vs: Volatility surface.
  • bidMidAsk: Specified direction (bid, mid, or ask).
  • fmt: Parameter format (default V).
• Returns: Array of strike prices.

---

Notes

1. Parameter Format: The fmt parameter specifies the parameter format, with a default value of VP or DT|VP|HD.
2. Enumeration Values: Some parameters (e.g., SmileInterpMethod, DeltaType) 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.