[Quantlib-users] QLXL: Cap vs. Caplet vols

[Brian Phelan]

Hi,

I'm trying to price caps off normal (bp) vols using the Bachelier model w/
QuantLibXL. I've used the qlStrippedOptionlet
and qlStrippedOptionletAdapter functions to create the vol surface from imp
vols but now realize that the pricing engine prices each caplet with the
vol for that tenor/strike as opposed to using a constant vol for the entire
cap.

Could someone point me to the functions for build a cap vol surface rather
than a caplet vol surface please?


Thanks,
Brian

[Brian Phelan]

Hi,

So I've solved the below issue by using the qlBachelierCapFloorEngine2
function with qlCapFloorTermVolSurface and qlCapFloorTermVTSVolatility to
get the vol.

Next question is can I pass ATM vols to the vol surface?


Thanks,
Brian

Post by Brian Phelan
Hi,
I'm trying to price caps off normal (bp) vols using the Bachelier model w/
QuantLibXL. I've used the qlStrippedOptionlet
and qlStrippedOptionletAdapter functions to create the vol surface from imp
vols but now realize that the pricing engine prices each caplet with the
vol for that tenor/strike as opposed to using a constant vol for the entire
cap.
Could someone point me to the functions for build a cap vol surface rather
than a caplet vol surface please?
Thanks,
Brian

[Luigi Ballabio]

Not that I know of, unless it was added to the Excel addin. In the
underlying C++ library you can either use a surface, like you did, or an
ATM curve.

Luigi

Post by Brian Phelan
Hi,
So I've solved the below issue by using the qlBachelierCapFloorEngine2
function with qlCapFloorTermVolSurface and qlCapFloorTermVTSVolatility to
get the vol.
Next question is can I pass ATM vols to the vol surface?
Thanks,
Brian

Post by Brian Phelan
Hi,
I'm trying to price caps off normal (bp) vols using the Bachelier model
w/ QuantLibXL. I've used the qlStrippedOptionlet
and qlStrippedOptionletAdapter functions to create the vol surface from imp
vols but now realize that the pricing engine prices each caplet with the
vol for that tenor/strike as opposed to using a constant vol for the entire
cap.
Could someone point me to the functions for build a cap vol surface
rather than a caplet vol surface please?
Thanks,
Brian

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
https://lists.sourceforge.net/lists/listinfo/quantlib-users