Excel functions: volatility

nqlAbcd

Initializes a new instance of the Abcd struct.

Argument	Description
a	a's guess, or null for the default, free (a number)
b	b's guess, or null for the default, free (a number)
c	c's guess, or null for the default, free (a number)
d	d's guess, or null for the default, free (a number)
aIsFixed	Whether a is fixed at its guess (TRUE or FALSE)
bIsFixed	Whether b is fixed at its guess (TRUE or FALSE)
cIsFixed	Whether c is fixed at its guess (TRUE or FALSE)
dIsFixed	Whether d is fixed at its guess (TRUE or FALSE)
vegaWeighted	Optional. Whether the errors are vega-weighted (TRUE or FALSE)
endCriteria	Optional. The end criteria, or null for QuantLib's default (a EndCriteria handle)
optMethod	Optional. The optimizer, or null for QuantLib's default (a OptimizationMethod handle)

Returns boxed. C#: Abcd

nqlAbcdAtmVolCurveA

Gets the fitted a.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns double (experimental). C#: A

nqlAbcdAtmVolCurveB

Gets the fitted b.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns double (experimental). C#: B

nqlAbcdAtmVolCurveC

Gets the fitted c.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns double (experimental). C#: C

nqlAbcdAtmVolCurveCreate

Creates the curve on the reference date the settlement days give from the context's evaluation date.

Argument	Description
settlementDays	The settlement days (a whole number)
calendar	The calendar (a Calendar handle or its name)
optionTenors	The option tenors, increasing from a positive first (a row or column)
vols	The volatilities, one per option tenor (a row or column)
context	The evaluation context (a EvaluationContext handle)
inclusionInInterpolationFlag	Optional. Whether each volatility is fitted, one flag for every tenor or one per tenor; null for QuantLib's default, every one (a row or column)
bdc	Optional. The business-day convention of the option dates (a BusinessDayConvention name)
dayCounter	Optional. The day counter, or null for QuantLib's default, Actual/365 (Fixed) (a DayCounter handle or its name)

Returns handle (experimental). C#: Create

nqlAbcdAtmVolCurveD

Gets the fitted d.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns double (experimental). C#: D

nqlAbcdAtmVolCurveEndCriteria

Gets the end criterion the fit met.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns enum (experimental). C#: EndCriteria

nqlAbcdAtmVolCurveK

The adjustment factors that match the fitted volatilities to the quotes.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns array:double (experimental). C#: K

nqlAbcdAtmVolCurveK2

The adjustment factor at a time, interpolated linearly between the fitted option times.

Argument	Description
self	a AbcdAtmVolCurve handle
t	The time (a number)

Returns double (experimental). C#: K

nqlAbcdAtmVolCurveMaxDate

Gets the latest date for which the curve can return values.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns date (experimental). C#: MaxDate

nqlAbcdAtmVolCurveMaxError

Gets the fit's largest absolute error.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns double (experimental). C#: MaxError

nqlAbcdAtmVolCurveMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns double (experimental). C#: MaxStrike

nqlAbcdAtmVolCurveMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns double (experimental). C#: MinStrike

nqlAbcdAtmVolCurveOptionDates

Gets the option dates.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns array:date (experimental). C#: OptionDates

nqlAbcdAtmVolCurveOptionTenors

Gets the option tenors.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns array:period (experimental). C#: OptionTenors

nqlAbcdAtmVolCurveOptionTenorsInInterpolation

Gets the option tenors whose volatilities the fit includes.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns array:period (experimental). C#: OptionTenorsInInterpolation

nqlAbcdAtmVolCurveOptionTimes

Gets the option times.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns array:double (experimental). C#: OptionTimes

nqlAbcdAtmVolCurveRmsError

Gets the fit's weighted root-mean-square error.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns double (experimental). C#: RmsError

nqlAbcdAtmVolCurveVolatilities

Gets the quoted volatilities, one per option tenor.

Argument	Description
self	a AbcdAtmVolCurve handle

Returns array:double (experimental). C#: Volatilities

nqlAbcdCalibration

Initializes a new instance of the AbcdCalibration class, not yet fitted.

Argument	Description
t	The maturities (a row or column)
blackVols	The Black volatilities, one per maturity (a row or column)
aGuess	Optional. a's guess (a number)
bGuess	Optional. b's guess (a number)
cGuess	Optional. c's guess, positive (a number)
dGuess	Optional. d's guess, non-negative (a number)
aIsFixed	Optional. Whether a is fixed at its guess (TRUE or FALSE)
bIsFixed	Optional. Whether b is fixed at its guess (TRUE or FALSE)
cIsFixed	Optional. Whether c is fixed at its guess (TRUE or FALSE)
dIsFixed	Optional. Whether d is fixed at its guess (TRUE or FALSE)
vegaWeighted	Optional. Whether the errors are weighted by the at-the-money vegas (TRUE or FALSE)
endCriteria	Optional. The end criteria, or null for QuantLib's EndCriteria(10000, 1000, 1e-8, 0.3e-4, 0.3e-4) (a EndCriteria handle)
method	Optional. The optimizer, or null for QuantLib's LevenbergMarquardt(1e-8, 1e-8, 1e-8, false) (a OptimizationMethod handle)

Returns handle. C#: AbcdCalibration

nqlAbcdCalibrationA

Gets a: the guess, or the fit.

Argument	Description
self	a AbcdCalibration handle

Returns double. C#: A

nqlAbcdCalibrationAIsFixed

Gets a value indicating whether a is fixed.

Argument	Description
self	a AbcdCalibration handle

Returns bool. C#: AIsFixed

nqlAbcdCalibrationB

Gets b: the guess, or the fit.

Argument	Description
self	a AbcdCalibration handle

Returns double. C#: B

nqlAbcdCalibrationBIsFixed

Gets a value indicating whether b is fixed.

Argument	Description
self	a AbcdCalibration handle

Returns bool. C#: BIsFixed

nqlAbcdCalibrationC

Gets c: the guess, or the fit.

Argument	Description
self	a AbcdCalibration handle

Returns double. C#: C

nqlAbcdCalibrationCIsFixed

Gets a value indicating whether c is fixed.

Argument	Description
self	a AbcdCalibration handle

Returns bool. C#: CIsFixed

nqlAbcdCalibrationCompute

The fit, from the guesses: QuantLib's compute() , the receiver unchanged.

Argument	Description
self	a AbcdCalibration handle

Returns handle. C#: Compute

nqlAbcdCalibrationD

Gets d: the guess, or the fit.

Argument	Description
self	a AbcdCalibration handle

Returns double. C#: D

nqlAbcdCalibrationDIsFixed

Gets a value indicating whether d is fixed.

Argument	Description
self	a AbcdCalibration handle

Returns bool. C#: DIsFixed

nqlAbcdCalibrationEndCriteria

Gets the end criterion the fit met: None before AbcdCalibration.Compute and with every parameter fixed.

Argument	Description
self	a AbcdCalibration handle

Returns enum. C#: EndCriteria

nqlAbcdCalibrationError

The weighted root-mean-square error, √(n·Σwᵢeᵢ²/(n − 1)).

Argument	Description
self	a AbcdCalibration handle

Returns double. C#: Error

nqlAbcdCalibrationErrors

The weighted errors, eᵢ·√wᵢ.

Argument	Description
self	a AbcdCalibration handle

Returns vector. C#: Errors

nqlAbcdCalibrationK

The adjustment factors that match the Black volatilities: each volatility over the fitted one.

Argument	Description
self	a AbcdCalibration handle
t	The maturities (a row or column)
blackVols	The Black volatilities, one per maturity (a row or column)

Returns array:double. C#: K

nqlAbcdCalibrationMaxError

The largest absolute error.

Argument	Description
self	a AbcdCalibration handle

Returns double. C#: MaxError

nqlAbcdCalibrationTransformation

Gets the parameters' transformation the fit used, or null before a fit, QuantLib's empty pointer.

Argument	Description
self	a AbcdCalibration handle

Returns handle. C#: Transformation

nqlAbcdCalibrationValue

The fitted abcd Black volatility at a maturity.

Argument	Description
self	a AbcdCalibration handle
x	The maturity (a number)

Returns double. C#: Value

nqlAbcdCheckPoints

Runs the checks QuantLib's interpolation makes when it is built over a number of points, before it reads their values: the fewest points its implementation takes, and the counts its configuration needs.

Argument	Description
self	a Abcd handle
points	The number of points (a whole number)

Returns None. C#: CheckPoints

nqlAbcdFunction

Initializes a new instance of the AbcdFunction class.

Argument	Description
a	Optional. a (a number)
b	Optional. b (a number)
c	Optional. c, positive (a number)
d	Optional. d, non-negative (a number)

Returns handle. C#: AbcdFunction

nqlAbcdFunctionCovariance

The instantaneous covariance at time t between the T-fixing and S-fixing rates, f(T − t)·f(S − t).

Argument	Description
self	a AbcdFunction handle
t	The time (a number)
T	The first rate's fixing time (a number)
S	The second rate's fixing time (a number)

Returns double. C#: Covariance

nqlAbcdFunctionCovariance2

The integral of the instantaneous covariance between t1 and t2 for the T-fixing and S-fixing rates, the part before the earlier fixing.

Argument	Description
self	a AbcdFunction handle
t1	The lower bound (a number)
t2	The upper bound (a number)
T	The first rate's fixing time (a number)
S	The second rate's fixing time (a number)

Returns double. C#: Covariance

nqlAbcdFunctionInstantaneousCovariance

The instantaneous covariance at time u between the T and S fixing rates, f(T − u)·f(S − u).

Argument	Description
self	a AbcdFunction handle
u	The time (a number)
T	The first rate's fixing time (a number)
S	The second rate's fixing time (a number)

Returns double. C#: InstantaneousCovariance

nqlAbcdFunctionInstantaneousVariance

The instantaneous variance at time u of the T-fixing rate, f(T − u)².

Argument	Description
self	a AbcdFunction handle
u	The time (a number)
T	The rate's fixing time (a number)

Returns double. C#: InstantaneousVariance

nqlAbcdFunctionInstantaneousVolatility

The instantaneous volatility at time u of the T-fixing rate, f(T − u).

Argument	Description
self	a AbcdFunction handle
u	The time (a number)
T	The rate's fixing time (a number)

Returns double. C#: InstantaneousVolatility

nqlAbcdFunctionLongTermVolatility

The volatility function's value at +∞, d.

Argument	Description
self	a AbcdFunction handle

Returns double. C#: LongTermVolatility

nqlAbcdFunctionMaximumVolatility

The volatility function's maximum.

Argument	Description
self	a AbcdFunction handle

Returns double. C#: MaximumVolatility

nqlAbcdFunctionPrimitive

The indefinite integral at time t of the instantaneous covariance between the T-fixing and S-fixing rates, the integral from 0; 0 past either fixing.

Argument	Description
self	a AbcdFunction handle
t	The time (a number)
T	The first rate's fixing time (a number)
S	The second rate's fixing time (a number)

Returns double. C#: Primitive

nqlAbcdFunctionsAbcdBlackVolatility

The Black volatility to time u of the u-fixing rate under abcd instantaneous volatility: its average volatility over [0, u].

Argument	Description
u	The time (a number)
a	a (a number)
b	b (a number)
c	c, positive (a number)
d	d, non-negative (a number)

Returns double. C#: AbcdBlackVolatility

nqlAbcdFunctionShortTermVolatility

The volatility function's value at time 0, f(0).

Argument	Description
self	a AbcdFunction handle

Returns double. C#: ShortTermVolatility

nqlAbcdFunctionVariance

The variance between tMin and tMax of the T-fixing rate, ∫f²(T − u)du over the interval.

Argument	Description
self	a AbcdFunction handle
tMin	The interval's start (a number)
tMax	The interval's end (a number)
T	The rate's fixing time (a number)

Returns double. C#: Variance

nqlAbcdFunctionVolatility

The average volatility in [tMin, tMax] of the T-fixing rate, √(∫f²(T − u)du / (tMax − tMin)); the instantaneous volatility when the two are equal.

Argument	Description
self	a AbcdFunction handle
tMin	The interval's start (a number)
tMax	The interval's end (a number)
T	The rate's fixing time (a number)

Returns double. C#: Volatility

nqlAbcdGlobal

Gets a value indicating whether the interpolation is global: true.

Returns bool. C#: Global

nqlAbcdInterpolate

Builds and fits an AbcdInterpolation over the given points, with this factory's parameters.

Argument	Description
self	a Abcd handle
x	The times, sorted (a row or column)
y	The volatilities, one per time (a row or column)

Returns handle. C#: Interpolate

nqlAbcdMathFunctionA

Gets a.

Argument	Description
self	a AbcdMathFunction handle

Returns double. C#: A

nqlAbcdMathFunctionB

Gets b.

Argument	Description
self	a AbcdMathFunction handle

Returns double. C#: B

nqlAbcdMathFunctionC

Gets c.

Argument	Description
self	a AbcdMathFunction handle

Returns double. C#: C

nqlAbcdMathFunctionCoefficients

Gets the coefficients as given.

Argument	Description
self	a AbcdMathFunction handle

Returns array:double. C#: Coefficients

nqlAbcdMathFunctionD

Gets d.

Argument	Description
self	a AbcdMathFunction handle

Returns double. C#: D

nqlAbcdMathFunctionDefiniteDerivativeCoefficients

The coefficients of the abcd function defined as the definite derivative on a rolling window of length τ = t2 − t.

Argument	Description
self	a AbcdMathFunction handle
t	The window's start (a number)
t2	The window's end (a number)

Returns array:double. C#: DefiniteDerivativeCoefficients

nqlAbcdMathFunctionDefiniteIntegral

The definite integral between two times.

Argument	Description
self	a AbcdMathFunction handle
t1	The lower bound (a number)
t2	The upper bound (a number)

Returns double. C#: DefiniteIntegral

nqlAbcdMathFunctionDefiniteIntegralCoefficients

The coefficients of the abcd function defined as the definite integral on a rolling window of length τ = t2 − t.

Argument	Description
self	a AbcdMathFunction handle
t	The window's start (a number)
t2	The window's end (a number)

Returns array:double. C#: DefiniteIntegralCoefficients

nqlAbcdMathFunctionDerivative

The first derivative at a time, f'(t) = ((b − c·a) − c·b·t)·e −c·t : 0 at a negative time.

Argument	Description
self	a AbcdMathFunction handle
t	The time (a number)

Returns double. C#: Derivative

nqlAbcdMathFunctionDerivativeCoefficients

Gets the derivative's coefficients, an abcd form's: (b − c·a, −c·b, c, 0).

Argument	Description
self	a AbcdMathFunction handle

Returns array:double. C#: DerivativeCoefficients

nqlAbcdMathFunctionEvaluate

The function's value at a time, QuantLib's operator() : 0 at a negative time.

Argument	Description
self	a AbcdMathFunction handle
t	The time (a number)

Returns double. C#: Evaluate

nqlAbcdMathFunctionLongTermValue

The function's value at +∞, d.

Argument	Description
self	a AbcdMathFunction handle

Returns double. C#: LongTermValue

nqlAbcdMathFunctionMaximumLocation

The time at which the function reaches its maximum, MaxValue where it rises toward d: QuantLib's master's (#2841).

Argument	Description
self	a AbcdMathFunction handle

Returns double. C#: MaximumLocation

nqlAbcdMathFunctionMaximumValue

The function's maximum: its value at AbcdMathFunction.MaximumLocation, d at +∞.

Argument	Description
self	a AbcdMathFunction handle

Returns double. C#: MaximumValue

nqlAbcdMathFunctionPrimitive

The indefinite integral at a time, ((−a/c − b/c²) − (b/c)·t)·e −c·t + d·t: 0 at a negative time.

Argument	Description
self	a AbcdMathFunction handle
t	The time (a number)

Returns double. C#: Primitive

nqlAbcdRequiredPoints

Gets the fewest points the interpolation takes: 2.

Returns int32. C#: RequiredPoints

nqlBlackAtmVolCurveAtmVariance

The at-the-money variance at an option tenor.

Argument	Description
self	a BlackAtmVolCurve handle
optionTenor	The option tenor (a period such as "6M")
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double (experimental). C#: AtmVariance

nqlBlackAtmVolCurveAtmVariance2

The at-the-money variance at a maturity date.

Argument	Description
self	a BlackAtmVolCurve handle
maturity	The maturity date (a date)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double (experimental). C#: AtmVariance

nqlBlackAtmVolCurveAtmVariance3

The at-the-money variance at a maturity time.

Argument	Description
self	a BlackAtmVolCurve handle
maturity	The maturity time (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double (experimental). C#: AtmVariance

nqlBlackAtmVolCurveAtmVol

The at-the-money volatility at an option tenor.

Argument	Description
self	a BlackAtmVolCurve handle
optionTenor	The option tenor (a period such as "6M")
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double (experimental). C#: AtmVol

nqlBlackAtmVolCurveAtmVol2

The at-the-money volatility at a maturity date.

Argument	Description
self	a BlackAtmVolCurve handle
maturity	The maturity date (a date)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double (experimental). C#: AtmVol

nqlBlackAtmVolCurveAtmVol3

The at-the-money volatility at a maturity time.

Argument	Description
self	a BlackAtmVolCurve handle
maturity	The maturity time (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double (experimental). C#: AtmVol

nqlBlackConstantVol

Initializes a new instance of the BlackConstantVol class at a reference date.

Argument	Description
referenceDate	The reference date (a date)
calendar	The calendar, or null for QuantLib's empty one (a Calendar handle or its name)
volatility	The volatility (a number)
dayCounter	The day counter (a DayCounter handle or its name)

Returns handle. C#: BlackConstantVol

nqlBlackConstantVolCreate

A constant volatility whose reference date is the context's evaluation date moved by the settlement days on the calendar.

Argument	Description
settlementDays	The settlement days (a whole number)
calendar	The calendar (a Calendar handle or its name)
volatility	The volatility (a number)
dayCounter	The day counter (a DayCounter handle or its name)
context	The evaluation context (a EvaluationContext handle)

Returns handle. C#: Create

nqlBlackConstantVolMaxDate

Gets the latest date for which the curve can return values.

Argument	Description
self	a BlackConstantVol handle

Returns date. C#: MaxDate

nqlBlackConstantVolMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a BlackConstantVol handle

Returns double. C#: MaxStrike

nqlBlackConstantVolMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a BlackConstantVol handle

Returns double. C#: MinStrike

nqlBlackVarianceSurface

Initializes a new instance of the BlackVarianceSurface class.

Argument	Description
referenceDate	The reference date (a date)
calendar	The calendar, or null for QuantLib's empty one (a Calendar handle or its name)
dates	The dates of the matrix's columns, sorted, the first not before the reference date (a row or column)
strikes	The strikes of the matrix's rows (a row or column)
blackVolMatrix	The Black volatilities, one row per strike and one column per date (a range of numbers by rows)
dayCounter	The day counter (a DayCounter handle or its name)
lowerExtrapolation	Optional. How the surface extrapolates below its lowest strike (a BlackVarianceSurfaceExtrapolation name)
upperExtrapolation	Optional. How the surface extrapolates above its highest strike (a BlackVarianceSurfaceExtrapolation name)

Returns handle. C#: BlackVarianceSurface

nqlBlackVarianceSurfaceMaxDate

Gets the latest date for which the curve can return values.

Argument	Description
self	a BlackVarianceSurface handle

Returns date. C#: MaxDate

nqlBlackVarianceSurfaceMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a BlackVarianceSurface handle

Returns double. C#: MaxStrike

nqlBlackVarianceSurfaceMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a BlackVarianceSurface handle

Returns double. C#: MinStrike

nqlBlackVolSurfaceSmileSection

The smile section at an option tenor.

Argument	Description
self	a BlackVolSurface handle
optionTenor	The option tenor (a period such as "6M")
extrapolate	Whether to allow extrapolation (TRUE or FALSE)

Returns handle (experimental). C#: SmileSection

nqlBlackVolSurfaceSmileSection2

The smile section at a date.

Argument	Description
self	a BlackVolSurface handle
date	The date (a date)
extrapolate	Whether to allow extrapolation (TRUE or FALSE)

Returns handle (experimental). C#: SmileSection

nqlBlackVolSurfaceSmileSection3

The smile section at a time.

Argument	Description
self	a BlackVolSurface handle
t	The time (a number)
extrapolate	Whether to allow extrapolation (TRUE or FALSE)

Returns handle (experimental). C#: SmileSection

nqlBlackVolTermStructureAtmLevel

The at-the-money level at a time, or null where the structure gives none.

Argument	Description
self	a BlackVolTermStructure handle
t	The time (a number)

Returns double?. C#: AtmLevel

nqlBlackVolTermStructureBlackForwardVariance

The forward (at-the-money) variance between two dates, at a strike.

Argument	Description
self	a BlackVolTermStructure handle
date1	The first date (a date)
date2	The second date, not before the first (a date)
strike	The strike (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double. C#: BlackForwardVariance

nqlBlackVolTermStructureBlackForwardVariance2

The forward (at-the-money) variance between two times, at a strike.

Argument	Description
self	a BlackVolTermStructure handle
time1	The first time (a number)
time2	The second time, not before the first (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double. C#: BlackForwardVariance

nqlBlackVolTermStructureBlackForwardVol

The forward (at-the-money) volatility between two dates, at a strike.

Argument	Description
self	a BlackVolTermStructure handle
date1	The first date (a date)
date2	The second date, not before the first (a date)
strike	The strike (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double. C#: BlackForwardVol

nqlBlackVolTermStructureBlackForwardVol2

The forward (at-the-money) volatility between two times, at a strike.

Argument	Description
self	a BlackVolTermStructure handle
time1	The first time (a number)
time2	The second time, not before the first (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double. C#: BlackForwardVol

nqlBlackVolTermStructureBlackVariance

The spot variance at a maturity date and strike.

Argument	Description
self	a BlackVolTermStructure handle
maturity	The maturity date (a date)
strike	The strike (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlBlackVolTermStructureBlackVariance2

The spot variance at a maturity time and strike.

Argument	Description
self	a BlackVolTermStructure handle
maturity	The maturity time (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlBlackVolTermStructureBlackVol

The spot volatility at a maturity date and strike.

Argument	Description
self	a BlackVolTermStructure handle
maturity	The maturity date (a date)
strike	The strike (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double. C#: BlackVol

nqlBlackVolTermStructureBlackVol2

The spot volatility at a maturity time and strike.

Argument	Description
self	a BlackVolTermStructure handle
maturity	The maturity time (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns double. C#: BlackVol

nqlBlackVolTermStructureSmileSection

The smile section at a maturity date: the structure's volatilities at that maturity.

Argument	Description
self	a BlackVolTermStructure handle
maturity	The maturity date (a date)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlBlackVolTermStructureSmileSection2

The smile section at a maturity time: the structure's volatilities at that maturity.

Argument	Description
self	a BlackVolTermStructure handle
maturity	The maturity time (a number)
extrapolate	Optional. Whether to allow extrapolation (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlCapFloorTermVolatilityStructureVolatility

The volatility for a given cap/floor length and strike rate.

Argument	Description
self	a CapFloorTermVolatilityStructure handle
length	The length, from the reference date: its option date is computed on the calendar (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlCapFloorTermVolatilityStructureVolatility2

The volatility for a given end date and strike rate.

Argument	Description
self	a CapFloorTermVolatilityStructure handle
end	The end date (a date)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlCapFloorTermVolatilityStructureVolatility3

The volatility for a given end time and strike rate.

Argument	Description
self	a CapFloorTermVolatilityStructure handle
t	The end time, from the reference date (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlCapFloorTermVolCurve

Initializes a new instance of the CapFloorTermVolCurve class with a fixed reference date: the settlement date.

Argument	Description
settlementDate	The settlement date, the reference date (a date)
calendar	The calendar of the option dates, or null, QuantLib's empty calendar, with which the option dates can't be computed (a Calendar handle or its name)
bdc	The convention adjusting the option dates (a BusinessDayConvention name)
optionTenors	The option tenors, positive and increasing (a row or column)
vols	The volatilities, one per option tenor (a row or column)
dc	Optional. The day counter; Actual365Fixed, QuantLib's default, when null (a DayCounter handle or its name)

Returns handle. C#: CapFloorTermVolCurve

nqlCapFloorTermVolCurveCreate

A curve whose reference date is the given number of business days after the evaluation date, on the calendar: QuantLib's floating forms.

Argument	Description
settlementDays	The business days from the evaluation date to the reference date (a whole number)
calendar	The calendar of the business days and of the option dates (a Calendar handle or its name)
bdc	The convention adjusting the option dates (a BusinessDayConvention name)
optionTenors	The option tenors, positive and increasing (a row or column)
vols	The volatilities, one per option tenor (a row or column)
context	The evaluation context (a EvaluationContext handle)
dc	Optional. The day counter; Actual365Fixed, QuantLib's default, when null (a DayCounter handle or its name)

Returns handle. C#: Create

nqlCapFloorTermVolCurveMaxDate

Gets the latest date for which the curve returns volatilities: the last option tenor's date.

Argument	Description
self	a CapFloorTermVolCurve handle

Returns date. C#: MaxDate

nqlCapFloorTermVolCurveMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a CapFloorTermVolCurve handle

Returns double. C#: MaxStrike

nqlCapFloorTermVolCurveMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a CapFloorTermVolCurve handle

Returns double. C#: MinStrike

nqlCapFloorTermVolCurveOptionDates

Gets the option dates, computed from the reference date.

Argument	Description
self	a CapFloorTermVolCurve handle

Returns array:date. C#: OptionDates

nqlCapFloorTermVolCurveOptionTenors

Gets the option tenors.

Argument	Description
self	a CapFloorTermVolCurve handle

Returns array:period. C#: OptionTenors

nqlCapFloorTermVolCurveOptionTimes

Gets the option times, from the reference date.

Argument	Description
self	a CapFloorTermVolCurve handle

Returns array:double. C#: OptionTimes

nqlCapFloorTermVolSurface

Initializes a new instance of the CapFloorTermVolSurface class with a fixed reference date: the settlement date.

Argument	Description
settlementDate	The settlement date, the reference date (a date)
calendar	The calendar of the option dates, or null, QuantLib's empty calendar, with which the option dates can't be computed (a Calendar handle or its name)
bdc	The convention adjusting the option dates (a BusinessDayConvention name)
optionTenors	The option tenors, positive and increasing (a row or column)
strikes	The strikes, increasing (a row or column)
volatilities	The volatilities: a row per option tenor and a column per strike (a range of numbers by rows)
dc	Optional. The day counter; Actual365Fixed, QuantLib's default, when null (a DayCounter handle or its name)

Returns handle. C#: CapFloorTermVolSurface

nqlCapFloorTermVolSurfaceCreate

A surface whose reference date is the given number of business days after the evaluation date, on the calendar: QuantLib's floating forms.

Argument	Description
settlementDays	The business days from the evaluation date to the reference date (a whole number)
calendar	The calendar of the business days and of the option dates (a Calendar handle or its name)
bdc	The convention adjusting the option dates (a BusinessDayConvention name)
optionTenors	The option tenors, positive and increasing (a row or column)
strikes	The strikes, increasing (a row or column)
volatilities	The volatilities: a row per option tenor and a column per strike (a range of numbers by rows)
context	The evaluation context (a EvaluationContext handle)
dc	Optional. The day counter; Actual365Fixed, QuantLib's default, when null (a DayCounter handle or its name)

Returns handle. C#: Create

nqlCapFloorTermVolSurfaceMaxDate

Gets the latest date for which the surface returns volatilities: the last option tenor's date.

Argument	Description
self	a CapFloorTermVolSurface handle

Returns date. C#: MaxDate

nqlCapFloorTermVolSurfaceMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a CapFloorTermVolSurface handle

Returns double. C#: MaxStrike

nqlCapFloorTermVolSurfaceMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a CapFloorTermVolSurface handle

Returns double. C#: MinStrike

nqlCapFloorTermVolSurfaceOptionDates

Gets the option dates, computed from the reference date.

Argument	Description
self	a CapFloorTermVolSurface handle

Returns array:date. C#: OptionDates

nqlCapFloorTermVolSurfaceOptionTenors

Gets the option tenors.

Argument	Description
self	a CapFloorTermVolSurface handle

Returns array:period. C#: OptionTenors

nqlCapFloorTermVolSurfaceOptionTimes

Gets the option times, from the reference date.

Argument	Description
self	a CapFloorTermVolSurface handle

Returns array:double. C#: OptionTimes

nqlCapFloorTermVolSurfaceStrikes

Gets the strikes.

Argument	Description
self	a CapFloorTermVolSurface handle

Returns array:double. C#: Strikes

nqlConstantOptionletVolatility

Initializes a new instance of the ConstantOptionletVolatility class with a fixed reference date.

Argument	Description
referenceDate	The reference date (a date)
cal	The calendar of the option dates, or null, QuantLib's empty calendar, with which option dates can't be computed from tenors (a Calendar handle or its name)
bdc	The convention adjusting option dates computed from tenors (a BusinessDayConvention name)
volatility	The volatility (a number)
dc	The day counter (a DayCounter handle or its name)
type	Optional. The volatility type (a VolatilityType name)
displacement	Optional. The displacement of a shifted lognormal volatility (a number)

Returns handle. C#: ConstantOptionletVolatility

nqlConstantOptionletVolatilityCreate

A constant volatility whose reference date is the given number of business days after the evaluation date.

Argument	Description
settlementDays	The business days from the evaluation date to the reference date (a whole number)
cal	The calendar of the business days and of the option dates (a Calendar handle or its name)
bdc	The convention adjusting option dates computed from tenors (a BusinessDayConvention name)
volatility	The volatility (a number)
dc	The day counter (a DayCounter handle or its name)
context	The evaluation context (a EvaluationContext handle)
type	Optional. The volatility type (a VolatilityType name)
displacement	Optional. The displacement of a shifted lognormal volatility (a number)

Returns handle. C#: Create

nqlConstantOptionletVolatilityDisplacement

Gets the displacement of shifted lognormal volatilities; by default 0.

Argument	Description
self	a ConstantOptionletVolatility handle

Returns double. C#: Displacement

nqlConstantOptionletVolatilityMaxDate

Gets the latest date for which the curve can return values.

Argument	Description
self	a ConstantOptionletVolatility handle

Returns date. C#: MaxDate

nqlConstantOptionletVolatilityMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a ConstantOptionletVolatility handle

Returns double. C#: MaxStrike

nqlConstantOptionletVolatilityMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a ConstantOptionletVolatility handle

Returns double. C#: MinStrike

nqlConstantOptionletVolatilityVolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

Argument	Description
self	a ConstantOptionletVolatility handle

Returns enum. C#: VolatilityType

nqlConstantSwaptionVolatility

Initializes a new instance of the ConstantSwaptionVolatility class with a fixed reference date.

Argument	Description
referenceDate	The reference date (a date)
cal	The calendar of the option dates, or null, QuantLib's empty calendar, with which option dates can't be computed from tenors (a Calendar handle or its name)
bdc	The convention adjusting option dates computed from tenors (a BusinessDayConvention name)
volatility	The volatility (a number)
dc	The day counter (a DayCounter handle or its name)
type	Optional. The volatility type (a VolatilityType name)
shift	Optional. The shift of a shifted lognormal volatility (a number)

Returns handle. C#: ConstantSwaptionVolatility

nqlConstantSwaptionVolatilityCreate

A constant swaption volatility whose reference date is the given number of business days after the evaluation date.

Argument	Description
settlementDays	The business days from the evaluation date to the reference date (a whole number)
cal	The calendar of the business days and of the option dates (a Calendar handle or its name)
bdc	The convention adjusting option dates computed from tenors (a BusinessDayConvention name)
volatility	The volatility (a number)
dc	The day counter (a DayCounter handle or its name)
context	The evaluation context (a EvaluationContext handle)
type	Optional. The volatility type (a VolatilityType name)
shift	Optional. The shift of a shifted lognormal volatility (a number)

Returns handle. C#: Create

nqlConstantSwaptionVolatilityMaxDate

Gets the latest date for which the curve can return values.

Argument	Description
self	a ConstantSwaptionVolatility handle

Returns date. C#: MaxDate

nqlConstantSwaptionVolatilityMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a ConstantSwaptionVolatility handle

Returns double. C#: MaxStrike

nqlConstantSwaptionVolatilityMaxSwapTenor

Gets the largest swap tenor for which the structure returns volatilities: 100 years.

Argument	Description
self	a ConstantSwaptionVolatility handle

Returns period. C#: MaxSwapTenor

nqlConstantSwaptionVolatilityMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a ConstantSwaptionVolatility handle

Returns double. C#: MinStrike

nqlConstantSwaptionVolatilityVolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

Argument	Description
self	a ConstantSwaptionVolatility handle

Returns enum. C#: VolatilityType

nqlExtrapolatorExtensionsDisableExtrapolation

ExtrapolatorExtensions.DisableExtrapolation(Extrapolator x, bool b = true) -> Extrapolator

Argument	Description
x	a Extrapolator handle
b	Optional. TRUE or FALSE

Returns handle. C#: DisableExtrapolation

nqlExtrapolatorExtensionsEnableExtrapolation

ExtrapolatorExtensions.EnableExtrapolation(Extrapolator x, bool b = true) -> Extrapolator

Argument	Description
x	a Extrapolator handle
b	Optional. TRUE or FALSE

Returns handle. C#: EnableExtrapolation

nqlFlatSmileSection

Initializes a new instance of the FlatSmileSection class for an exercise date.

Argument	Description
d	The exercise date (a date)
vol	The volatility (a number)
dc	The day counter of the exercise time (a DayCounter handle or its name)
referenceDate	The reference date (a date)
atmLevel	Optional. The at-the-money level, or null for none, which leaves the section unable to price options (a number)
type	Optional. The volatility type (a VolatilityType name)
shift	Optional. The shift of a shifted lognormal volatility (a number)

Returns handle. C#: FlatSmileSection

nqlFlatSmileSection2

Initializes a new instance of the FlatSmileSection class for an exercise time.

Argument	Description
exerciseTime	The exercise time (a number)
vol	The volatility (a number)
dc	The day counter, or null, QuantLib's empty one; the section only returns it (a DayCounter handle or its name)
atmLevel	Optional. The at-the-money level, or null for none (a number)
type	Optional. The volatility type (a VolatilityType name)
shift	Optional. The shift of a shifted lognormal volatility (a number)

Returns handle. C#: FlatSmileSection

nqlFlatSmileSectionAtmLevel

The at-the-money level, the forward the options are priced on.

Argument	Description
self	a FlatSmileSection handle

Returns double?. C#: AtmLevel

nqlFlatSmileSectionCreate

A flat smile section for an exercise date, whose reference date is the evaluation date.

Argument	Description
d	The exercise date (a date)
vol	The volatility (a number)
dc	The day counter of the exercise time (a DayCounter handle or its name)
context	The evaluation context, whose evaluation date is the reference date (a EvaluationContext handle)
atmLevel	Optional. The at-the-money level, or null for none (a number)
type	Optional. The volatility type (a VolatilityType name)
shift	Optional. The shift of a shifted lognormal volatility (a number)

Returns handle. C#: Create

nqlFlatSmileSectionMaxStrike

The maximum strike: the largest real.

Argument	Description
self	a FlatSmileSection handle

Returns double. C#: MaxStrike

nqlFlatSmileSectionMinStrike

The minimum strike: the lowest real less the shift.

Argument	Description
self	a FlatSmileSection handle

Returns double. C#: MinStrike

nqlInterestRateVolSurfaceIndex

Gets the interest-rate index.

Argument	Description
self	a InterestRateVolSurface handle

Returns handle (experimental). C#: Index

nqlInterestRateVolSurfaceOptionDateFromTenor

The option date of a tenor: the index's fixing date for a start that tenor after the value date of the reference date adjusted on the fixing calendar.

Argument	Description
self	a InterestRateVolSurface handle
p	The tenor (a period such as "6M")

Returns date (experimental). C#: OptionDateFromTenor

nqlInterpolatedSmileSection

Initializes a new instance of the InterpolatedSmileSection class for an exercise time. InterpolatedSmileSection: 2 constructions

Argument	Description
TInterpolator	One of Cubic, Linear (text)
expiryTime	The exercise time (a number)
strikes	The strikes, sorted (a row or column)
stdDevs	The standard deviations, at least one per strike (a row or column)
atmLevel	The at-the-money level, or null, QuantLib's Null() , for none, which leaves the section unable to price options (a number)
interpolator	Optional. The interpolation's factory (a Cubic handle)
dc	Optional. The day counter, or null for QuantLib's default, Actual/365 (Fixed) (a DayCounter handle or its name)
type	Optional. The volatility type (a VolatilityType name)
shift	Optional. The shift (a number)
flatStrikeExtrapolation	Optional. Whether the volatility outside the strikes is the nearest end's (TRUE or FALSE)

Returns handle. C#: InterpolatedSmileSection

nqlInterpolatedSmileSection2

Initializes a new instance of the InterpolatedSmileSection class for an exercise date. InterpolatedSmileSection: 2 constructions

Argument	Description
TInterpolator	One of Cubic, Linear (text)
d	The exercise date (a date)
strikes	The strikes, sorted (a row or column)
stdDevs	The standard deviations, at least one per strike (a row or column)
atmLevel	The at-the-money level, or null, QuantLib's Null() , for none, which leaves the section unable to price options (a number)
dc	The day counter of the exercise time, or null for Actual/365 (Fixed) (a DayCounter handle or its name)
interpolator	The interpolation's factory (a Cubic handle)
referenceDate	The reference date (a date)
type	Optional. The volatility type (a VolatilityType name)
shift	Optional. The shift (a number)
flatStrikeExtrapolation	Optional. Whether the volatility outside the strikes is the nearest end's (TRUE or FALSE)

Returns handle. C#: InterpolatedSmileSection

nqlInterpolatedSmileSectionAtmLevel

The at-the-money level, as given. InterpolatedSmileSection: 2 constructions

Argument	Description
TInterpolator	One of Cubic, Linear (text)
self	a InterpolatedSmileSection handle

Returns double?. C#: AtmLevel

nqlInterpolatedSmileSectionCreate

An interpolated smile section for an exercise date, whose reference date is the evaluation date. InterpolatedSmileSection: 2 constructions

Argument	Description
TInterpolator	One of Cubic, Linear (text)
d	The exercise date (a date)
strikes	The strikes, sorted (a row or column)
stdDevs	The standard deviations, at least one per strike (a row or column)
atmLevel	The at-the-money level, or null, QuantLib's Null() , for none, which leaves the section unable to price options (a number)
context	The evaluation context, whose evaluation date is the reference date (a EvaluationContext handle)
dc	Optional. The day counter of the exercise time, or null for Actual/365 (Fixed) (a DayCounter handle or its name)
interpolator	Optional. The interpolation's factory (a Cubic handle)
type	Optional. The volatility type (a VolatilityType name)
shift	Optional. The shift (a number)
flatStrikeExtrapolation	Optional. Whether the volatility outside the strikes is the nearest end's (TRUE or FALSE)

Returns handle. C#: Create

nqlInterpolatedSmileSectionExerciseTime

Gets the exercise time. InterpolatedSmileSection: 2 constructions

Argument	Description
TInterpolator	One of Cubic, Linear (text)
self	a InterpolatedSmileSection handle

Returns double. C#: ExerciseTime

nqlInterpolatedSmileSectionMaxStrike

The maximum strike: the last. InterpolatedSmileSection: 2 constructions

Argument	Description
TInterpolator	One of Cubic, Linear (text)
self	a InterpolatedSmileSection handle

Returns double. C#: MaxStrike

nqlInterpolatedSmileSectionMinStrike

The minimum strike: the first. InterpolatedSmileSection: 2 constructions

Argument	Description
TInterpolator	One of Cubic, Linear (text)
self	a InterpolatedSmileSection handle

Returns double. C#: MinStrike

nqlInterpolatedSwaptionVolatilityCube

Initializes a new instance of the InterpolatedSwaptionVolatilityCube class.

Argument	Description
atmVolStructure	The at-the-money volatility structure (a SwaptionVolatilityStructure handle)
optionTenors	The option tenors, positive and increasing; at least 2 (a row or column)
swapTenors	The swap tenors, positive, increasing, and in months or years; at least 2 (a row or column)
strikeSpreads	The strike spreads from the at-the-money strike, increasing; at least 2 (a row or column)
volSpreads	The volatility spreads: a row per option and swap tenor pair, the pair (j, k) in row j·(swap tenors) + k, with a spread per strike spread (a range, a row per element)
swapIndexBase	The swap index whose family and conventions give the at-the-money strikes of the swap tenors past the short index's (a SwapIndex handle)
shortSwapIndexBase	The swap index whose family and conventions give the at-the-money strikes of the other swap tenors (a SwapIndex handle)
vegaWeightedSmileFit	QuantLib's flag, which this cube doesn't read (TRUE or FALSE)
context	The evaluation context, which the cube's sections read for their at-the-money strikes (a EvaluationContext handle)

Returns handle. C#: InterpolatedSwaptionVolatilityCube

nqlInterpolatedSwaptionVolatilityCubeVolSpreads

A strike spread's volatility spreads.

Argument	Description
self	a InterpolatedSwaptionVolatilityCube handle
i	The strike spread's index (a whole number)

Returns matrix. C#: VolSpreads

nqlOptionExercise

Gets the exercise.

Argument	Description
self	a Option handle

Returns handle. C#: Exercise

nqlOptionletStripper1

Initializes a new instance of the OptionletStripper1 class, stripping the surface.

Argument	Description
termVolSurface	The cap and floor term-volatility surface (a CapFloorTermVolSurface handle)
index	The index of the caps' and floors' coupons (a IborIndex handle)
context	The evaluation context: its evaluation date starts the Ibor caps, and its fixings and forecasts give the at-the-money rates and the caps' prices (a EvaluationContext handle)
switchStrike	Optional. The strike below which floors are used, or null, QuantLib's Null() , for the average of the at-the-money rates (a number)
accuracy	Optional. The implied volatilities' accuracy (a number)
maxIter	Optional. The implied volatilities' maximum number of evaluations (a whole number)
discount	Optional. The discount curve, or null, QuantLib's empty handle, for the index's forwarding curve (a YieldTermStructure handle)
type	Optional. The type of the stripped volatilities (a VolatilityType name)
displacement	Optional. The displacement of shifted lognormal volatilities (a number)
dontThrow	Optional. Whether an optionlet whose volatility can't be implied gets 0, instead of the strip throwing (TRUE or FALSE)
optionletFrequency	Optional. The optionlets' frequency, or null for the index's tenor; required for an overnight index (a period such as "6M")
paymentLag	Optional. The coupons' payment lag, in business days (a whole number)

Returns handle. C#: OptionletStripper1

nqlOptionletStripper1CapFloorPrices

The caps' and floors' prices on the term volatilities.

Argument	Description
self	a OptionletStripper1 handle

Returns matrix. C#: CapFloorPrices

nqlOptionletStripper1CapFloorVolatilities

The term volatilities the caps and floors were priced on.

Argument	Description
self	a OptionletStripper1 handle

Returns matrix. C#: CapFloorVolatilities

nqlOptionletStripper1OptionletPrices

The optionlets' prices: each cap's or floor's price less the previous one's.

Argument	Description
self	a OptionletStripper1 handle

Returns matrix. C#: OptionletPrices

nqlOptionletStripper1SwitchStrike

Gets the switch strike: the given one, or the average of the at-the-money rates.

Argument	Description
self	a OptionletStripper1 handle

Returns double. C#: SwitchStrike

nqlOptionletStripper2

Initializes a new instance of the OptionletStripper2 class, stripping the curve.

Argument	Description
optionletStripper1	The first stripper, whose surface, index, type, displacement, frequency and payment lag the stripper takes (a OptionletStripper1 handle)
atmCapFloorTermVolCurve	The at-the-money term-volatility curve, on the surface's day counter (a CapFloorTermVolCurve handle)
context	The evaluation context: its evaluation date starts the Ibor caps and sets the adapter's reference date, and its fixings and forecasts give the caps' prices (a EvaluationContext handle)

Returns handle. C#: OptionletStripper2

nqlOptionletStripper2AtmCapFloorPrices

Gets the at-the-money caps' prices on the curve's volatilities, one per option tenor.

Argument	Description
self	a OptionletStripper2 handle

Returns array:double. C#: AtmCapFloorPrices

nqlOptionletStripper2AtmCapFloorStrikes

Gets the at-the-money caps' strikes, one per option tenor of the curve.

Argument	Description
self	a OptionletStripper2 handle

Returns array:double. C#: AtmCapFloorStrikes

nqlOptionletStripper2SpreadsVol

Gets the spreads that reprice the at-the-money caps, one per option tenor.

Argument	Description
self	a OptionletStripper2 handle

Returns array:double. C#: SpreadsVol

nqlOptionletStripperAtmOptionletRates

The at-the-money rates the strip computed, one per fixing date.

Argument	Description
self	a OptionletStripper handle
context	The evaluation context, which the stripped rates don't read (a EvaluationContext handle)

Returns array:double. C#: AtmOptionletRates

nqlOptionletStripperBusinessDayConvention

Gets the surface's business-day convention.

Argument	Description
self	a OptionletStripper handle

Returns enum. C#: BusinessDayConvention

nqlOptionletStripperCalendar

Gets the surface's calendar.

Argument	Description
self	a OptionletStripper handle

Returns handle. C#: Calendar

nqlOptionletStripperDayCounter

Gets the surface's day counter.

Argument	Description
self	a OptionletStripper handle

Returns handle. C#: DayCounter

nqlOptionletStripperDisplacement

Gets the displacement of shifted lognormal volatilities.

Argument	Description
self	a OptionletStripper handle

Returns double. C#: Displacement

nqlOptionletStripperIborIndex

Gets the index of the caps' and floors' coupons.

Argument	Description
self	a OptionletStripper handle

Returns handle. C#: IborIndex

nqlOptionletStripperOptionletAccrualPeriods

Gets the optionlets' accrual periods.

Argument	Description
self	a OptionletStripper handle

Returns array:double. C#: OptionletAccrualPeriods

nqlOptionletStripperOptionletFixingDates

Gets the optionlets' fixing dates.

Argument	Description
self	a OptionletStripper handle

Returns array:date. C#: OptionletFixingDates

nqlOptionletStripperOptionletFixingTenors

Gets the optionlets' fixing tenors.

Argument	Description
self	a OptionletStripper handle

Returns array:period. C#: OptionletFixingTenors

nqlOptionletStripperOptionletFixingTimes

Gets the optionlets' fixing times.

Argument	Description
self	a OptionletStripper handle

Returns array:double. C#: OptionletFixingTimes

nqlOptionletStripperOptionletFrequency

Gets the optionlets' frequency; null where the index's tenor is used.

Argument	Description
self	a OptionletStripper handle

Returns period?. C#: OptionletFrequency

nqlOptionletStripperOptionletMaturities

Gets the number of optionlet fixing dates.

Argument	Description
self	a OptionletStripper handle

Returns int32. C#: OptionletMaturities

nqlOptionletStripperOptionletPaymentDates

Gets the optionlets' payment dates.

Argument	Description
self	a OptionletStripper handle

Returns array:date. C#: OptionletPaymentDates

nqlOptionletStripperOptionletStrikes

The strikes at the i-th fixing date.

Argument	Description
self	a OptionletStripper handle
i	The fixing date's index (a whole number)

Returns array:double. C#: OptionletStrikes

nqlOptionletStripperOptionletVolatilities

The volatilities at the i-th fixing date, one per strike.

Argument	Description
self	a OptionletStripper handle
i	The fixing date's index (a whole number)

Returns array:double. C#: OptionletVolatilities

nqlOptionletStripperPaymentLag

Gets the coupons' payment lag, in business days.

Argument	Description
self	a OptionletStripper handle

Returns int32. C#: PaymentLag

nqlOptionletStripperSettlementDays

Gets the surface's settlement days, if it has them.

Argument	Description
self	a OptionletStripper handle

Returns int32?. C#: SettlementDays

nqlOptionletStripperTermVolSurface

Gets the cap and floor term-volatility surface.

Argument	Description
self	a OptionletStripper handle

Returns handle. C#: TermVolSurface

nqlOptionletStripperVolatilityType

Gets the volatilities' type.

Argument	Description
self	a OptionletStripper handle

Returns enum. C#: VolatilityType

nqlOptionletVolatilityStructureBlackVariance

The Black variance for an option tenor and a strike.

Argument	Description
self	a OptionletVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlOptionletVolatilityStructureBlackVariance2

The Black variance for an option date and a strike: the volatility squared times the time.

Argument	Description
self	a OptionletVolatilityStructure handle
optionDate	The option date (a date)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlOptionletVolatilityStructureBlackVariance3

The Black variance for an option time and a strike: the volatility squared times the time.

Argument	Description
self	a OptionletVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlOptionletVolatilityStructureDisplacement

Gets the displacement of shifted lognormal volatilities; by default 0.

Argument	Description
self	a OptionletVolatilityStructure handle

Returns double. C#: Displacement

nqlOptionletVolatilityStructureSmileSection

The smile section for an option tenor.

Argument	Description
self	a OptionletVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlOptionletVolatilityStructureSmileSection2

The smile section for an option date.

Argument	Description
self	a OptionletVolatilityStructure handle
optionDate	The option date (a date)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlOptionletVolatilityStructureSmileSection3

The smile section for an option time.

Argument	Description
self	a OptionletVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlOptionletVolatilityStructureVolatility

The volatility for an option tenor and a strike.

Argument	Description
self	a OptionletVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlOptionletVolatilityStructureVolatility2

The volatility for an option date and a strike.

Argument	Description
self	a OptionletVolatilityStructure handle
optionDate	The option date (a date)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlOptionletVolatilityStructureVolatility3

The volatility for an option time and a strike.

Argument	Description
self	a OptionletVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlOptionletVolatilityStructureVolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

Argument	Description
self	a OptionletVolatilityStructure handle

Returns enum. C#: VolatilityType

nqlOptionPayoff

Gets the payoff, or null for an option that has none, as a swaption.

Argument	Description
self	a Option handle

Returns handle. C#: Payoff

nqlOptionValidate

Checks the option's terms before an engine prices it: QuantLib's Option::arguments::validate .

Argument	Description
self	a Option handle

Returns None. C#: Validate

nqlPiecewiseConstantAbcdVariance

Initializes a new instance of the PiecewiseConstantAbcdVariance class.

Argument	Description
a	The abcd function's a (a number)
b	The abcd function's b (a number)
c	The abcd function's c (a number)
d	The abcd function's d (a number)
resetIndex	The rate time the rate resets at, below the number of rate times less one (a whole number)
rateTimes	The rate times, at least two, strictly increasing and positive (a row or column)

Returns handle. C#: PiecewiseConstantAbcdVariance

nqlPiecewiseConstantAbcdVarianceGetABCD

The abcd function's parameters.

Argument	Description
self	a PiecewiseConstantAbcdVariance handle

Returns boxed. C#: GetABCD

nqlPiecewiseConstantAbcdVarianceRateTimes

Gets the rate times ending the steps.

Argument	Description
self	a PiecewiseConstantAbcdVariance handle

Returns array:double. C#: RateTimes

nqlPiecewiseConstantAbcdVarianceVariances

Gets each step's variance.

Argument	Description
self	a PiecewiseConstantAbcdVariance handle

Returns array:double. C#: Variances

nqlPiecewiseConstantAbcdVarianceVolatilities

Gets each step's volatility.

Argument	Description
self	a PiecewiseConstantAbcdVariance handle

Returns array:double. C#: Volatilities

nqlPiecewiseConstantVarianceRateTimes

Gets the rate times ending the steps.

Argument	Description
self	a PiecewiseConstantVariance handle

Returns array:double. C#: RateTimes

nqlPiecewiseConstantVarianceTotalVariance

The variance from time zero to the end of the i-th step.

Argument	Description
self	a PiecewiseConstantVariance handle
i	The last step summed, below the number of variances (a whole number)

Returns double. C#: TotalVariance

nqlPiecewiseConstantVarianceTotalVolatility

The volatility from time zero to the end of the i-th step.

Argument	Description
self	a PiecewiseConstantVariance handle
i	The last step, below the number of variances (a whole number)

Returns double. C#: TotalVolatility

nqlPiecewiseConstantVarianceVariance

The i-th step's variance.

Argument	Description
self	a PiecewiseConstantVariance handle
i	The step, below the number of variances (a whole number)

Returns double. C#: Variance

nqlPiecewiseConstantVarianceVariances

Gets each step's variance.

Argument	Description
self	a PiecewiseConstantVariance handle

Returns array:double. C#: Variances

nqlPiecewiseConstantVarianceVolatilities

Gets each step's volatility.

Argument	Description
self	a PiecewiseConstantVariance handle

Returns array:double. C#: Volatilities

nqlPiecewiseConstantVarianceVolatility

The i-th step's volatility.

Argument	Description
self	a PiecewiseConstantVariance handle
i	The step, below the number of volatilities (a whole number)

Returns double. C#: Volatility

nqlSabrFunctionsSabrFlochKennedyVolatility

Le Floc'h and Kennedy's expansion of the lognormal SABR volatility, with no check of its arguments.

Argument	Description
strike	The strike (a number)
forward	The forward (a number)
expiryTime	The time to expiry (a number)
alpha	SABR's α (a number)
beta	SABR's β (a number)
nu	SABR's ν (a number)
rho	SABR's ρ (a number)

Returns double. C#: SabrFlochKennedyVolatility

nqlSabrFunctionsSabrGuess

Le Floc'h and Kennedy's initial guess for a SABR calibration (Le Floc'h and Kennedy, "Explicit SABR Calibration through Simple Expansions"): the parameters matching the at-the-money volatility, skew and curvature that three volatilities around the…

Argument	Description
k_m	The strike before the one closest to the forward (a number)
vol_m	Its volatility (a number)
k_0	The strike closest to the forward (a number)
vol_0	Its volatility (a number)
k_p	The strike after the one closest to the forward (a number)
vol_p	Its volatility (a number)
forward	The forward (a number)
expiryTime	The time to expiry (a number)
beta	SABR's β, which the guess returns as given (a number)
shift	The shift (a number)
volatilityType	Normal, or shifted lognormal (a VolatilityType name)

Returns array:double. C#: SabrGuess

nqlSabrFunctionsSabrVolatility

The SABR volatility of the given type, its arguments checked.

Argument	Description
strike	The strike, positive (a number)
forward	The forward, positive (a number)
expiryTime	The time to expiry, non-negative (a number)
alpha	SABR's α (a number)
beta	SABR's β (a number)
nu	SABR's ν (a number)
rho	SABR's ρ (a number)
volatilityType	Optional. Normal, or shifted lognormal (a VolatilityType name)

Returns double. C#: SabrVolatility

nqlSabrFunctionsShiftedSabrVolatility

The shifted SABR volatility of the given type, its arguments checked.

Argument	Description
strike	The strike; strike + shift positive (a number)
forward	The forward; forward + shift positive (a number)
expiryTime	The time to expiry, non-negative (a number)
alpha	SABR's α (a number)
beta	SABR's β (a number)
nu	SABR's ν (a number)
rho	SABR's ρ (a number)
shift	The shift added to the strike and the forward (a number)
volatilityType	Optional. Normal, or shifted lognormal (a VolatilityType name)

Returns double. C#: ShiftedSabrVolatility

nqlSabrFunctionsUnsafeSabrLogNormalVolatility

Hagan's lognormal SABR volatility, with no check of its arguments.

Argument	Description
strike	The strike (a number)
forward	The forward (a number)
expiryTime	The time to expiry (a number)
alpha	SABR's α (a number)
beta	SABR's β (a number)
nu	SABR's ν (a number)
rho	SABR's ρ (a number)

Returns double. C#: UnsafeSabrLogNormalVolatility

nqlSabrFunctionsUnsafeSabrNormalVolatility

The normal SABR volatility, with no check of its arguments.

Argument	Description
strike	The strike (a number)
forward	The forward (a number)
expiryTime	The time to expiry (a number)
alpha	SABR's α (a number)
beta	SABR's β (a number)
nu	SABR's ν (a number)
rho	SABR's ρ (a number)

Returns double. C#: UnsafeSabrNormalVolatility

nqlSabrFunctionsUnsafeSabrVolatility

The SABR volatility of the given type, with no check of its arguments.

Argument	Description
strike	The strike (a number)
forward	The forward (a number)
expiryTime	The time to expiry (a number)
alpha	SABR's α (a number)
beta	SABR's β (a number)
nu	SABR's ν (a number)
rho	SABR's ρ (a number)
volatilityType	Optional. Normal, or shifted lognormal (a VolatilityType name)

Returns double. C#: UnsafeSabrVolatility

nqlSabrFunctionsUnsafeShiftedSabrVolatility

The shifted SABR volatility of the given type, with no check of its arguments.

Argument	Description
strike	The strike (a number)
forward	The forward (a number)
expiryTime	The time to expiry (a number)
alpha	SABR's α (a number)
beta	SABR's β (a number)
nu	SABR's ν (a number)
rho	SABR's ρ (a number)
shift	The shift added to the strike and the forward (a number)
volatilityType	Optional. Normal, or shifted lognormal (a VolatilityType name)

Returns double. C#: UnsafeShiftedSabrVolatility

nqlSabrFunctionsValidateSabrParameters

Checks SABR's parameters.

Argument	Description
alpha	SABR's α, positive (a number)
beta	SABR's β, in [0, 1] (a number)
nu	SABR's ν, non-negative (a number)
rho	SABR's ρ, in (−1, 1) (a number)

Returns None. C#: ValidateSabrParameters

nqlSabrInterpolatedSmileSectionAlpha

Gets the fitted alpha.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double. C#: Alpha

nqlSabrInterpolatedSmileSectionAtmLevel

The at-the-money level, the forward the options are priced on.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double?. C#: AtmLevel

nqlSabrInterpolatedSmileSectionBeta

Gets the fitted beta.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double. C#: Beta

nqlSabrInterpolatedSmileSectionCreate

A SABR-interpolated smile section for an option date, whose reference date is the evaluation date, from market volatilities: QuantLib's form with values.

Argument	Description
optionDate	The option's exercise date (a date)
forward	The forward (a number)
strikes	The strikes, sorted; with floating strikes, the offsets from the forward. At least one per volatility (a row or column)
hasFloatingStrikes	Whether the strikes and the volatilities are offsets from the forward and spreads over the at-the-money volatility (TRUE or FALSE)
atmVolatility	The at-the-money volatility, read with floating strikes (a number)
vols	The market volatilities, or with floating strikes their spreads (a row or column)
alpha	The guess or fixed value of alpha; null for SABR's default guess (a number)
beta	The guess or fixed value of beta; null for SABR's default guess (a number)
nu	The guess or fixed value of nu; null for SABR's default guess (a number)
rho	The guess or fixed value of rho; null for SABR's default guess (a number)
context	The evaluation context, whose evaluation date is the reference date (a EvaluationContext handle)
isAlphaFixed	Optional. Whether alpha is fixed (TRUE or FALSE)
isBetaFixed	Optional. Whether beta is fixed (TRUE or FALSE)
isNuFixed	Optional. Whether nu is fixed (TRUE or FALSE)
isRhoFixed	Optional. Whether rho is fixed (TRUE or FALSE)
vegaWeighted	Optional. Whether the fit's errors are weighted by vega (TRUE or FALSE)
endCriteria	Optional. The fit's end criteria, or null for SABR's default (a EndCriteria handle)
method	Optional. The fit's optimization method, or null for SABR's default (a OptimizationMethod handle)
dc	Optional. The day counter, or null for QuantLib's default, Actual/365 (Fixed) (a DayCounter handle or its name)
shift	Optional. The shift (a number)

Returns handle. C#: Create

nqlSabrInterpolatedSmileSectionCreate2

A SABR-interpolated smile section for an option date, whose reference date is the evaluation date, from market volatilities some of which may be missing: QuantLib's form with quotes.

Argument	Description
optionDate	The option's exercise date (a date)
forward	The forward (a number)
strikes	The strikes, sorted; with floating strikes, the offsets from the forward. At least one per volatility (a row or column)
hasFloatingStrikes	Whether the strikes and the volatilities are offsets from the forward and spreads over the at-the-money volatility (TRUE or FALSE)
atmVolatility	The at-the-money volatility, read with floating strikes (a number)
vols	The market volatilities, or with floating strikes their spreads; null, a quote that isn't valid, leaves its strike out of the fit (a row or column)
alpha	The guess or fixed value of alpha; null for SABR's default guess (a number)
beta	The guess or fixed value of beta; null for SABR's default guess (a number)
nu	The guess or fixed value of nu; null for SABR's default guess (a number)
rho	The guess or fixed value of rho; null for SABR's default guess (a number)
context	The evaluation context, whose evaluation date is the reference date (a EvaluationContext handle)
isAlphaFixed	Optional. Whether alpha is fixed (TRUE or FALSE)
isBetaFixed	Optional. Whether beta is fixed (TRUE or FALSE)
isNuFixed	Optional. Whether nu is fixed (TRUE or FALSE)
isRhoFixed	Optional. Whether rho is fixed (TRUE or FALSE)
vegaWeighted	Optional. Whether the fit's errors are weighted by vega (TRUE or FALSE)
endCriteria	Optional. The fit's end criteria, or null for SABR's default (a EndCriteria handle)
method	Optional. The fit's optimization method, or null for SABR's default (a OptimizationMethod handle)
dc	Optional. The day counter, or null for QuantLib's default, Actual/365 (Fixed) (a DayCounter handle or its name)
shift	Optional. The shift (a number)

Returns handle. C#: Create

nqlSabrInterpolatedSmileSectionEndCriteria

Gets the fit's end criteria.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns enum. C#: EndCriteria

nqlSabrInterpolatedSmileSectionMaxError

Gets the fit's largest error.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double. C#: MaxError

nqlSabrInterpolatedSmileSectionMaxStrike

The maximum strike for which the section returns volatilities.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double. C#: MaxStrike

nqlSabrInterpolatedSmileSectionMinStrike

The minimum strike for which the section returns volatilities.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double. C#: MinStrike

nqlSabrInterpolatedSmileSectionNu

Gets the fitted nu.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double. C#: Nu

nqlSabrInterpolatedSmileSectionRho

Gets the fitted rho.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double. C#: Rho

nqlSabrInterpolatedSmileSectionRmsError

Gets the fit's root-mean-square error.

Argument	Description
self	a SabrInterpolatedSmileSection handle

Returns double. C#: RmsError

nqlSabrSmileSection

Initializes a new instance of the SabrSmileSection class for an exercise time.

Argument	Description
timeToExpiry	The exercise time (a number)
forward	The forward (a number)
sabrParameters	α, β, ν and ρ, in that order; values after the fourth are ignored (a row or column)
shift	Optional. The shift (a number)
volatilityType	Optional. The volatility type (a VolatilityType name)

Returns handle. C#: SabrSmileSection

nqlSabrSmileSection2

Initializes a new instance of the SabrSmileSection class for an exercise date.

Argument	Description
d	The exercise date (a date)
forward	The forward (a number)
sabrParameters	α, β, ν and ρ, in that order; values after the fourth are ignored (a row or column)
referenceDate	The reference date (a date)
dc	Optional. The day counter of the exercise time, or null for QuantLib's default, Actual/365 (Fixed) (a DayCounter handle or its name)
shift	Optional. The shift (a number)
volatilityType	Optional. The volatility type (a VolatilityType name)

Returns handle. C#: SabrSmileSection

nqlSabrSmileSectionAlpha

Gets α.

Argument	Description
self	a SabrSmileSection handle

Returns double. C#: Alpha

nqlSabrSmileSectionAtmLevel

The at-the-money level: the forward.

Argument	Description
self	a SabrSmileSection handle

Returns double?. C#: AtmLevel

nqlSabrSmileSectionBeta

Gets β.

Argument	Description
self	a SabrSmileSection handle

Returns double. C#: Beta

nqlSabrSmileSectionCreate

A SABR smile section for an exercise date, whose reference date is the evaluation date.

Argument	Description
d	The exercise date (a date)
forward	The forward (a number)
sabrParameters	α, β, ν and ρ, in that order (a row or column)
context	The evaluation context, whose evaluation date is the reference date (a EvaluationContext handle)
dc	Optional. The day counter of the exercise time, or null for Actual/365 (Fixed) (a DayCounter handle or its name)
shift	Optional. The shift (a number)
volatilityType	Optional. The volatility type (a VolatilityType name)

Returns handle. C#: Create

nqlSabrSmileSectionMaxStrike

The maximum strike: the largest real.

Argument	Description
self	a SabrSmileSection handle

Returns double. C#: MaxStrike

nqlSabrSmileSectionMinStrike

The minimum strike: minus the shift.

Argument	Description
self	a SabrSmileSection handle

Returns double. C#: MinStrike

nqlSabrSmileSectionNu

Gets ν.

Argument	Description
self	a SabrSmileSection handle

Returns double. C#: Nu

nqlSabrSmileSectionRho

Gets ρ.

Argument	Description
self	a SabrSmileSection handle

Returns double. C#: Rho

nqlSabrSwaptionVolatilityCube

Initializes a new instance of the SabrSwaptionVolatilityCube class, and calibrates it.

Argument	Description
atmVolStructure	The at-the-money volatility structure; a SwaptionVolatilityDiscrete for an at-the-money-calibrated or single-pass cube (a SwaptionVolatilityStructure handle)
optionTenors	The option tenors, positive and increasing; at least 2 (a row or column)
swapTenors	The swap tenors, positive, increasing, and in months or years; at least 2 (a row or column)
strikeSpreads	The strike spreads from the at-the-money strike, increasing; at least 1 (a row or column)
volSpreads	The volatility spreads: a row per option and swap tenor pair, the pair (j, k) in row j·(swap tenors) + k, with a spread per strike spread (a range, a row per element)
swapIndexBase	The swap index whose family and conventions give the at-the-money strikes of the swap tenors past the short index's (a SwapIndex handle)
shortSwapIndexBase	The swap index whose family and conventions give the at-the-money strikes of the other swap tenors (a SwapIndex handle)
vegaWeightedSmileFit	Whether the fits weight their errors by the strikes' vegas (TRUE or FALSE)
parametersGuess	The guesses of α, β, ν and ρ: a row per option and swap tenor pair, laid out as the volatility spreads (a range, a row per element)
isParameterFixed	Whether each of α, β, ν and ρ is fixed at its guess (a row or column)
isAtmCalibrated	Whether the cube fills and fits its dense grid (TRUE or FALSE)
context	The evaluation context, which the at-the-money strikes read (a EvaluationContext handle)
endCriteria	Optional. The fits' end criteria, or null for the SABR fit's default (a EndCriteria handle)
maxErrorTolerance	Optional. The error a fit must stay below, or null for QuantLib's 0.01, 0.0015 with vega weights (a number)
optMethod	Optional. The fits' optimizer, or null for the SABR fit's default (a OptimizationMethod handle)
errorAccept	Optional. The error at or below which a fit is accepted and its restarts stop, or null for a fifth of the tolerance (a number)
useMaxError	Optional. Whether a fit is scored by its maximum error, not its root-mean-square error (TRUE or FALSE)
maxGuesses	Optional. The most minimizations of a fit (a whole number)
backwardFlat	Optional. Whether the parameters are interpolated backward flat in option time (TRUE or FALSE)
cutoffStrike	Optional. The lowest strike plus shift a fit takes (a number)
singlePassCalibration	Optional. Whether the cube fits its dense grid alone, from the quoted spreads (TRUE or FALSE)

Returns handle. C#: SabrSwaptionVolatilityCube

nqlSabrSwaptionVolatilityCubeDenseSabrParameters

The dense parameters: the fits at the dense grid's nodes.

Argument	Description
self	a SabrSwaptionVolatilityCube handle

Returns matrix. C#: DenseSabrParameters

nqlSabrSwaptionVolatilityCubeMarketVolCube

The market volatilities at the cube's nodes: the at-the-money volatility plus each spread.

Argument	Description
self	a SabrSwaptionVolatilityCube handle

Returns matrix. C#: MarketVolCube

nqlSabrSwaptionVolatilityCubeMarketVolCube2

A strike spread's market volatilities at the cube's nodes.

Argument	Description
self	a SabrSwaptionVolatilityCube handle
i	The strike spread's index (a whole number)

Returns matrix. C#: MarketVolCube

nqlSabrSwaptionVolatilityCubeRecalibration

A cube recalibrated at one β for a swap tenor: QuantLib's recalibration(beta, swapTenor) , each option tenor's β guess the one given, followed by updateAfterRecalibration .

Argument	Description
self	a SabrSwaptionVolatilityCube handle
beta	The β guess for every option tenor (a number)
swapTenor	The swap tenor, one of the cube's (a period such as "6M")
context	The evaluation context, which the at-the-money strikes read (a EvaluationContext handle)

Returns handle. C#: Recalibration

nqlSabrSwaptionVolatilityCubeRecalibration2

A cube recalibrated at a β per option tenor for a swap tenor: QuantLib's recalibration(beta, swapTenor) , which sets the tenor's β guesses and refits its sections, followed by updateAfterRecalibration , which refits the dense grid.

Argument	Description
self	a SabrSwaptionVolatilityCube handle
beta	The β guesses, one per option tenor (a row or column)
swapTenor	The swap tenor, one of the cube's (a period such as "6M")
context	The evaluation context, which the at-the-money strikes read (a EvaluationContext handle)

Returns handle. C#: Recalibration

nqlSabrSwaptionVolatilityCubeRecalibration3

A cube recalibrated on a β term structure for a swap tenor: QuantLib's recalibration(swapLengths, beta, swapTenor) , the βs given at the option dates of the periods given, interpolated linearly at the cube's option times and flat outside them,…

Argument	Description
self	a SabrSwaptionVolatilityCube handle
swapLengths	The periods whose option dates the βs are given at, increasing; at least 2 (a row or column)
beta	The βs, one per period (a row or column)
swapTenor	The swap tenor, one of the cube's (a period such as "6M")
context	The evaluation context, which the at-the-money strikes read (a EvaluationContext handle)

Returns handle. C#: Recalibration

nqlSabrSwaptionVolatilityCubeSparseSabrParameters

The sparse parameters: the fits at the cube's own nodes, or in a single pass the dense ones.

Argument	Description
self	a SabrSwaptionVolatilityCube handle

Returns matrix. C#: SparseSabrParameters

nqlSabrSwaptionVolatilityCubeVolCubeAtmCalibrated

The market volatilities the fits took: the market volatilities at the cube's nodes and, for a cube that fills its dense grid, the filled volatilities at the dense nodes.

Argument	Description
self	a SabrSwaptionVolatilityCube handle

Returns matrix. C#: VolCubeAtmCalibrated

nqlSabrVolSurface

Initializes a new instance of the SabrVolSurface class.

Argument	Description
index	The interest-rate index (a InterestRateIndex handle)
atmCurve	The at-the-money volatility curve (a BlackAtmVolCurve handle)
optionTenors	The option tenors (a row or column)
atmRateSpreads	The strike spreads around the fixing, increasing, at least two (a row or column)
volSpreads	The volatility spreads, one row per option tenor, one column per strike spread (a range, a row per element)
context	The evaluation context the fixings, the forecasts and the sections read (a EvaluationContext handle)

Returns handle (experimental). C#: SabrVolSurface

nqlSabrVolSurfaceAtmCurve

Gets the at-the-money volatility curve.

Argument	Description
self	a SabrVolSurface handle

Returns handle (experimental). C#: AtmCurve

nqlSabrVolSurfaceMaxDate

Gets the latest date for which the curve can return values.

Argument	Description
self	a SabrVolSurface handle

Returns date (experimental). C#: MaxDate

nqlSabrVolSurfaceMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a SabrVolSurface handle

Returns double (experimental). C#: MaxStrike

nqlSabrVolSurfaceMaxTime

Gets the latest time for which the curve can return values.

Argument	Description
self	a SabrVolSurface handle

Returns double (experimental). C#: MaxTime

nqlSabrVolSurfaceMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a SabrVolSurface handle

Returns double (experimental). C#: MinStrike

nqlSabrVolSurfaceOptionTenors

Gets the option tenors.

Argument	Description
self	a SabrVolSurface handle

Returns array:period (experimental). C#: OptionTenors

nqlSabrVolSurfaceVolatilitySpreads

The volatility spreads at an option tenor's date, interpolated linearly between the option times.

Argument	Description
self	a SabrVolSurface handle
p	The option tenor (a period such as "6M")

Returns array:double (experimental). C#: VolatilitySpreads

nqlSabrVolSurfaceVolatilitySpreads2

The volatility spreads at a date, interpolated linearly between the option times.

Argument	Description
self	a SabrVolSurface handle
d	The date (a date)

Returns array:double (experimental). C#: VolatilitySpreads

nqlSmileSectionAtmLevel

The at-the-money level, the forward the options are priced on.

Argument	Description
self	a SmileSection handle

Returns double?. C#: AtmLevel

nqlSmileSectionDayCounter

Gets the day counter; null, QuantLib's empty day counter, where none was given.

Argument	Description
self	a SmileSection handle

Returns handle. C#: DayCounter

nqlSmileSectionDensity

The probability density at a strike, as the difference quotient of two digital call prices.

Argument	Description
self	a SmileSection handle
strike	The strike (a number)
discount	Optional. The discount factor (a number)
gap	Optional. The strikes' distance, at least the strike's size times 1e-6 (a number)

Returns double. C#: Density

nqlSmileSectionDigitalOptionPrice

The price of a digital option, as the difference quotient of two option prices around the strike.

Argument	Description
self	a SmileSection handle
strike	The strike (a number)
type	Optional. Call or put (a OptionType name)
discount	Optional. The discount factor (a number)
gap	Optional. The strikes' distance, at least the strike's size times 1e-10 (a number)

Returns double. C#: DigitalOptionPrice

nqlSmileSectionExerciseDate

Gets the exercise date; null for a section built from an exercise time.

Argument	Description
self	a SmileSection handle

Returns date?. C#: ExerciseDate

nqlSmileSectionExerciseTime

Gets the exercise time.

Argument	Description
self	a SmileSection handle

Returns double. C#: ExerciseTime

nqlSmileSectionMaxStrike

The maximum strike for which the section returns volatilities.

Argument	Description
self	a SmileSection handle

Returns double. C#: MaxStrike

nqlSmileSectionMinStrike

The minimum strike for which the section returns volatilities.

Argument	Description
self	a SmileSection handle

Returns double. C#: MinStrike

nqlSmileSectionOptionPrice

The price of an option on the at-the-money level: Black's formula for a shifted lognormal section, Bachelier's for a normal one, on the section's variance.

Argument	Description
self	a SmileSection handle
strike	The strike (a number)
type	Optional. Call or put (a OptionType name)
discount	Optional. The discount factor (a number)

Returns double. C#: OptionPrice

nqlSmileSectionReferenceDate

The reference date.

Argument	Description
self	a SmileSection handle

Returns date. C#: ReferenceDate

nqlSmileSectionShift

Gets the shift of a shifted lognormal volatility.

Argument	Description
self	a SmileSection handle

Returns double. C#: Shift

nqlSmileSectionVariance

The variance at a strike.

Argument	Description
self	a SmileSection handle
strike	The strike (a number)

Returns double. C#: Variance

nqlSmileSectionVega

The vega of an option on the at-the-money level, for a 1% change of the volatility.

Argument	Description
self	a SmileSection handle
strike	The strike (a number)
discount	Optional. The discount factor (a number)

Returns double. C#: Vega

nqlSmileSectionVolatility

The volatility at a strike.

Argument	Description
self	a SmileSection handle
strike	The strike (a number)

Returns double. C#: Volatility

nqlSmileSectionVolatility2

The volatility at a strike as a volatility of the given type and shift: the section's own where they are its own, otherwise the one implied by the section's out-of-the-money option price.

Argument	Description
self	a SmileSection handle
strike	The strike (a number)
type	The volatility type wanted (a VolatilityType name)
shift	Optional. The shift wanted, for a shifted lognormal volatility (a number)

Returns double. C#: Volatility

nqlSmileSectionVolatilityType

Gets the volatility type.

Argument	Description
self	a SmileSection handle

Returns enum. C#: VolatilityType

nqlSpreadedOptionletVolatility

Initializes a new instance of the SpreadedOptionletVolatility class.

Argument	Description
baseVol	The base structure (a OptionletVolatilityStructure handle)
spread	The spread added to its volatilities (a number)

Returns handle. C#: SpreadedOptionletVolatility

nqlSpreadedOptionletVolatilityBusinessDayConvention

Gets the convention adjusting option dates computed from tenors.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns enum. C#: BusinessDayConvention

nqlSpreadedOptionletVolatilityCalendar

Gets the calendar used for reference and/or option date calculation, if any.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns handle. C#: Calendar

nqlSpreadedOptionletVolatilityDayCounter

Gets the day counter used for date/time conversion.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns handle. C#: DayCounter

nqlSpreadedOptionletVolatilityDisplacement

Gets the displacement of shifted lognormal volatilities; by default 0.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns double. C#: Displacement

nqlSpreadedOptionletVolatilityMaxDate

Gets the latest date for which the curve can return values.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns date. C#: MaxDate

nqlSpreadedOptionletVolatilityMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns double. C#: MaxStrike

nqlSpreadedOptionletVolatilityMaxTime

Gets the latest time for which the curve can return values.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns double. C#: MaxTime

nqlSpreadedOptionletVolatilityMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns double. C#: MinStrike

nqlSpreadedOptionletVolatilitySettlementDays

Gets the settlement days used for the reference date calculation; null for a structure built from its reference date, where QuantLib throws "settlement days not provided".

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns int32?. C#: SettlementDays

nqlSpreadedOptionletVolatilityVolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

Argument	Description
self	a SpreadedOptionletVolatility handle

Returns enum. C#: VolatilityType

nqlSpreadedSwaptionVolatility

Initializes a new instance of the SpreadedSwaptionVolatility class.

Argument	Description
baseVol	The base structure (a SwaptionVolatilityStructure handle)
spread	The spread added to its volatilities (a number)

Returns handle. C#: SpreadedSwaptionVolatility

nqlSpreadedSwaptionVolatilityCalendar

Gets the calendar used for reference and/or option date calculation, if any.

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns handle. C#: Calendar

nqlSpreadedSwaptionVolatilityDayCounter

Gets the day counter used for date/time conversion.

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns handle. C#: DayCounter

nqlSpreadedSwaptionVolatilityMaxDate

Gets the latest date for which the curve can return values.

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns date. C#: MaxDate

nqlSpreadedSwaptionVolatilityMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns double. C#: MaxStrike

nqlSpreadedSwaptionVolatilityMaxSwapTenor

Gets the largest swap tenor for which the structure returns volatilities.

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns period. C#: MaxSwapTenor

nqlSpreadedSwaptionVolatilityMaxTime

Gets the latest time for which the curve can return values.

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns double. C#: MaxTime

nqlSpreadedSwaptionVolatilityMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns double. C#: MinStrike

nqlSpreadedSwaptionVolatilitySettlementDays

Gets the settlement days used for the reference date calculation; null for a structure built from its reference date, where QuantLib throws "settlement days not provided".

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns int32?. C#: SettlementDays

nqlSpreadedSwaptionVolatilityVolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

Argument	Description
self	a SpreadedSwaptionVolatility handle

Returns enum. C#: VolatilityType

nqlStrippedOptionlet

Initializes a new instance of the StrippedOptionlet class with the same strikes at every fixing date.

Argument	Description
settlementDays	The business days from the evaluation date to the reference date (a whole number)
calendar	The calendar (a Calendar handle or its name)
bdc	The business-day convention (a BusinessDayConvention name)
iborIndex	The index whose fixings are the at-the-money rates (a IborIndex handle)
optionletDates	The fixing dates, increasing, the first after the evaluation date (a row or column)
strikes	The strikes, increasing (a row or column)
v	The volatilities: a row per fixing date, a volatility per strike (a range, a row per element)
dc	The day counter of the fixing times (a DayCounter handle or its name)
context	The evaluation context: its evaluation date sets the reference date (a EvaluationContext handle)
type	Optional. The volatilities' type (a VolatilityType name)
displacement	Optional. The displacement of shifted lognormal volatilities (a number)

Returns handle. C#: StrippedOptionlet

nqlStrippedOptionlet2

Initializes a new instance of the StrippedOptionlet class with strikes per fixing date.

Argument	Description
settlementDays	The business days from the evaluation date to the reference date (a whole number)
calendar	The calendar (a Calendar handle or its name)
bdc	The business-day convention (a BusinessDayConvention name)
iborIndex	The index whose fixings are the at-the-money rates (a IborIndex handle)
optionletDates	The fixing dates, increasing, the first after the evaluation date (a row or column)
strikes	The strikes: a row per fixing date, each increasing (a range, a row per element)
v	The volatilities: a row per fixing date, a volatility per strike of the row (a range, a row per element)
dc	The day counter of the fixing times (a DayCounter handle or its name)
context	The evaluation context: its evaluation date sets the reference date (a EvaluationContext handle)
type	Optional. The volatilities' type (a VolatilityType name)
displacement	Optional. The displacement of shifted lognormal volatilities (a number)

Returns handle. C#: StrippedOptionlet

nqlStrippedOptionletAdapterCreate

An adapter on a stripper, whose reference date is the stripper's settlement days after the evaluation date.

Argument	Description
stripper	The stripped optionlet volatilities (a StrippedOptionletBase handle)
context	The evaluation context, whose evaluation date sets the reference date (a EvaluationContext handle)

Returns handle. C#: Create

nqlStrippedOptionletAdapterDisplacement

Gets the displacement of shifted lognormal volatilities; by default 0.

Argument	Description
self	a StrippedOptionletAdapter handle

Returns double. C#: Displacement

nqlStrippedOptionletAdapterMaxDate

Gets the last fixing date.

Argument	Description
self	a StrippedOptionletAdapter handle

Returns date. C#: MaxDate

nqlStrippedOptionletAdapterMaxStrike

The first fixing date's highest strike.

Argument	Description
self	a StrippedOptionletAdapter handle

Returns double. C#: MaxStrike

nqlStrippedOptionletAdapterMinStrike

The first fixing date's lowest strike.

Argument	Description
self	a StrippedOptionletAdapter handle

Returns double. C#: MinStrike

nqlStrippedOptionletAdapterOptionletStripper

Gets the stripper, when it is an OptionletStripper.

Argument	Description
self	a StrippedOptionletAdapter handle

Returns handle. C#: OptionletStripper

nqlStrippedOptionletAdapterVolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

Argument	Description
self	a StrippedOptionletAdapter handle

Returns enum. C#: VolatilityType

nqlStrippedOptionletAtmOptionletRates

The index's fixings on the fixing dates, with today's forecast.

Argument	Description
self	a StrippedOptionlet handle
context	The evaluation context, whose fixings and forecasts the rates read (a EvaluationContext handle)

Returns array:double. C#: AtmOptionletRates

nqlStrippedOptionletBaseAtmOptionletRates

The at-the-money rates, one per fixing date.

Argument	Description
self	a StrippedOptionletBase handle
context	The evaluation context, whose fixings and evaluation date the rates may read (a EvaluationContext handle)

Returns array:double. C#: AtmOptionletRates

nqlStrippedOptionletBaseBusinessDayConvention

Gets the business-day convention.

Argument	Description
self	a StrippedOptionletBase handle

Returns enum. C#: BusinessDayConvention

nqlStrippedOptionletBaseCalendar

Gets the calendar, or null, QuantLib's empty calendar.

Argument	Description
self	a StrippedOptionletBase handle

Returns handle. C#: Calendar

nqlStrippedOptionletBaseDayCounter

Gets the day counter of the fixing times.

Argument	Description
self	a StrippedOptionletBase handle

Returns handle. C#: DayCounter

nqlStrippedOptionletBaseDisplacement

Gets the displacement of shifted lognormal volatilities.

Argument	Description
self	a StrippedOptionletBase handle

Returns double. C#: Displacement

nqlStrippedOptionletBaseOptionletFixingDates

Gets the optionlets' fixing dates.

Argument	Description
self	a StrippedOptionletBase handle

Returns array:date. C#: OptionletFixingDates

nqlStrippedOptionletBaseOptionletFixingTimes

Gets the optionlets' fixing times.

Argument	Description
self	a StrippedOptionletBase handle

Returns array:double. C#: OptionletFixingTimes

nqlStrippedOptionletBaseOptionletMaturities

Gets the number of optionlet fixing dates.

Argument	Description
self	a StrippedOptionletBase handle

Returns int32. C#: OptionletMaturities

nqlStrippedOptionletBaseOptionletStrikes

The strikes at the i-th fixing date.

Argument	Description
self	a StrippedOptionletBase handle
i	The fixing date's index (a whole number)

Returns array:double. C#: OptionletStrikes

nqlStrippedOptionletBaseOptionletVolatilities

The volatilities at the i-th fixing date, one per strike.

Argument	Description
self	a StrippedOptionletBase handle
i	The fixing date's index (a whole number)

Returns array:double. C#: OptionletVolatilities

nqlStrippedOptionletBaseSettlementDays

Gets the settlement days; null where they weren't provided, where QuantLib throws "settlement days not provided for this instance".

Argument	Description
self	a StrippedOptionletBase handle

Returns int32?. C#: SettlementDays

nqlStrippedOptionletBaseVolatilityType

Gets the volatilities' type.

Argument	Description
self	a StrippedOptionletBase handle

Returns enum. C#: VolatilityType

nqlStrippedOptionletBusinessDayConvention

Gets the business-day convention.

Argument	Description
self	a StrippedOptionlet handle

Returns enum. C#: BusinessDayConvention

nqlStrippedOptionletCalendar

Gets the calendar, or null, QuantLib's empty calendar.

Argument	Description
self	a StrippedOptionlet handle

Returns handle. C#: Calendar

nqlStrippedOptionletDayCounter

Gets the day counter of the fixing times.

Argument	Description
self	a StrippedOptionlet handle

Returns handle. C#: DayCounter

nqlStrippedOptionletDisplacement

Gets the displacement of shifted lognormal volatilities.

Argument	Description
self	a StrippedOptionlet handle

Returns double. C#: Displacement

nqlStrippedOptionletOptionletFixingDates

Gets the optionlets' fixing dates.

Argument	Description
self	a StrippedOptionlet handle

Returns array:date. C#: OptionletFixingDates

nqlStrippedOptionletOptionletFixingTimes

Gets the optionlets' fixing times.

Argument	Description
self	a StrippedOptionlet handle

Returns array:double. C#: OptionletFixingTimes

nqlStrippedOptionletOptionletMaturities

Gets the number of optionlet fixing dates.

Argument	Description
self	a StrippedOptionlet handle

Returns int32. C#: OptionletMaturities

nqlStrippedOptionletOptionletStrikes

The strikes at the i-th fixing date.

Argument	Description
self	a StrippedOptionlet handle
i	The fixing date's index (a whole number)

Returns array:double. C#: OptionletStrikes

nqlStrippedOptionletOptionletVolatilities

The volatilities at the i-th fixing date, one per strike.

Argument	Description
self	a StrippedOptionlet handle
i	The fixing date's index (a whole number)

Returns array:double. C#: OptionletVolatilities

nqlStrippedOptionletSettlementDays

Gets the settlement days; null where they weren't provided, where QuantLib throws "settlement days not provided for this instance".

Argument	Description
self	a StrippedOptionlet handle

Returns int32?. C#: SettlementDays

nqlStrippedOptionletVolatilityType

Gets the volatilities' type.

Argument	Description
self	a StrippedOptionlet handle

Returns enum. C#: VolatilityType

nqlSwaptionVolatilityCubeAtmStrike

The at-the-money strike of an option date and a swap tenor: the forward swap rate.

Argument	Description
self	a SwaptionVolatilityCube handle
optionDate	The option date, the swap index's fixing date (a date)
swapTenor	The swap tenor (a period such as "6M")
context	The evaluation context: the evaluation date, the fixings and the at-par switch the swap index's fixing reads (a EvaluationContext handle)

Returns double. C#: AtmStrike

nqlSwaptionVolatilityCubeAtmStrike2

The at-the-money strike of an option tenor and a swap tenor: the forward swap rate.

Argument	Description
self	a SwaptionVolatilityCube handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapTenor	The swap tenor (a period such as "6M")
context	The evaluation context the swap index's fixing reads (a EvaluationContext handle)

Returns double. C#: AtmStrike

nqlSwaptionVolatilityCubeAtmVol

Gets the at-the-money volatility structure the cube reads: a copy of the one it was built on, with extrapolation enabled.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns handle. C#: AtmVol

nqlSwaptionVolatilityCubeMaxDate

Gets the latest date for which the cube returns volatilities: the at-the-money structure's.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns date. C#: MaxDate

nqlSwaptionVolatilityCubeMaxStrike

The maximum strike: the largest real.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns double. C#: MaxStrike

nqlSwaptionVolatilityCubeMaxSwapTenor

Gets the largest swap tenor for which the cube returns volatilities: the at-the-money structure's.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns period. C#: MaxSwapTenor

nqlSwaptionVolatilityCubeMaxTime

Gets the latest time for which the cube returns volatilities: the at-the-money structure's.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns double. C#: MaxTime

nqlSwaptionVolatilityCubeMinStrike

The minimum strike: the most negative real.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns double. C#: MinStrike

nqlSwaptionVolatilityCubeShortSwapIndexBase

Gets the swap index whose conventions give the other at-the-money strikes.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns handle. C#: ShortSwapIndexBase

nqlSwaptionVolatilityCubeStrikeSpreads

Gets the strike spreads from the at-the-money strike.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns array:double. C#: StrikeSpreads

nqlSwaptionVolatilityCubeSwapIndexBase

Gets the swap index whose conventions give the at-the-money strikes past the short index's tenor.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns handle. C#: SwapIndexBase

nqlSwaptionVolatilityCubeVegaWeightedSmileFit

Gets a value indicating whether a cube that fits its smiles weights them by vega.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns bool. C#: VegaWeightedSmileFit

nqlSwaptionVolatilityCubeVolatilityType

Gets the type of the cube's volatilities: the at-the-money structure's.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns enum. C#: VolatilityType

nqlSwaptionVolatilityCubeVolSpreads

The volatility spreads, as given.

Argument	Description
self	a SwaptionVolatilityCube handle

Returns jagged:double. C#: VolSpreads

nqlSwaptionVolatilityDiscreteBusinessDayConvention

Gets the convention adjusting option dates computed from tenors.

Argument	Description
self	a SwaptionVolatilityDiscrete handle

Returns enum. C#: BusinessDayConvention

nqlSwaptionVolatilityDiscreteCalendar

Gets the calendar used for reference and/or option date calculation, if any.

Argument	Description
self	a SwaptionVolatilityDiscrete handle

Returns handle. C#: Calendar

nqlSwaptionVolatilityDiscreteDayCounter

Gets the day counter used for date/time conversion.

Argument	Description
self	a SwaptionVolatilityDiscrete handle

Returns handle. C#: DayCounter

nqlSwaptionVolatilityDiscreteOptionDateFromTime

The option date of an option time, interpolated linearly between the grid's option dates.

Argument	Description
self	a SwaptionVolatilityDiscrete handle
optionTime	The option time (a number)

Returns date. C#: OptionDateFromTime

nqlSwaptionVolatilityDiscreteOptionDates

Gets the option dates.

Argument	Description
self	a SwaptionVolatilityDiscrete handle

Returns array:date. C#: OptionDates

nqlSwaptionVolatilityDiscreteOptionTenors

Gets the option tenors: zero periods for a structure built from option dates.

Argument	Description
self	a SwaptionVolatilityDiscrete handle

Returns array:period. C#: OptionTenors

nqlSwaptionVolatilityDiscreteOptionTimes

Gets the option times: the option dates' times from the reference date.

Argument	Description
self	a SwaptionVolatilityDiscrete handle

Returns array:double. C#: OptionTimes

nqlSwaptionVolatilityDiscreteSwapLengths

Gets the swap lengths: the swap tenors' lengths in years.

Argument	Description
self	a SwaptionVolatilityDiscrete handle

Returns array:double. C#: SwapLengths

nqlSwaptionVolatilityDiscreteSwapTenors

Gets the swap tenors.

Argument	Description
self	a SwaptionVolatilityDiscrete handle

Returns array:period. C#: SwapTenors

nqlSwaptionVolatilityMatrix

Initializes a new instance of the SwaptionVolatilityMatrix class with a fixed reference date, on option tenors.

Argument	Description
referenceDate	The reference date (a date)
calendar	The calendar of the option dates, or null, QuantLib's empty calendar, with which option dates can't be computed from tenors (a Calendar handle or its name)
bdc	The convention adjusting the option dates (a BusinessDayConvention name)
optionTenors	The option tenors, positive and increasing (a row or column)
swapTenors	The swap tenors, positive, increasing, and in months or years (a row or column)
volatilities	The volatilities: a row per option tenor and a column per swap tenor (a range of numbers by rows)
dayCounter	The day counter (a DayCounter handle or its name)
flatExtrapolation	Optional. Whether the volatilities extrapolate flat outside the grid, rather than linearly (TRUE or FALSE)
type	Optional. The volatility type (a VolatilityType name)
shifts	Optional. The shifts, laid out as the volatilities; zero when null or empty, QuantLib's default Matrix() (a range of numbers by rows)

Returns handle. C#: SwaptionVolatilityMatrix

nqlSwaptionVolatilityMatrix2

Initializes a new instance of the SwaptionVolatilityMatrix class with a fixed reference date, on option dates.

Argument	Description
referenceDate	The reference date (a date)
calendar	The calendar of option dates computed from tenors, or null, QuantLib's empty calendar (a Calendar handle or its name)
bdc	The convention adjusting option dates computed from tenors (a BusinessDayConvention name)
optionDates	The option dates, after the reference date and increasing (a row or column)
swapTenors	The swap tenors, positive, increasing, and in months or years (a row or column)
volatilities	The volatilities: a row per option date and a column per swap tenor (a range of numbers by rows)
dayCounter	The day counter (a DayCounter handle or its name)
flatExtrapolation	Optional. Whether the volatilities extrapolate flat outside the grid, rather than linearly (TRUE or FALSE)
type	Optional. The volatility type (a VolatilityType name)
shifts	Optional. The shifts, laid out as the volatilities; zero when null or empty, QuantLib's default Matrix() (a range of numbers by rows)

Returns handle. C#: SwaptionVolatilityMatrix

nqlSwaptionVolatilityMatrixCreate

A volatility matrix whose reference date is the evaluation date, adjusted on the calendar: QuantLib's floating forms, on settlement days 0.

Argument	Description
calendar	The calendar the reference date is adjusted on and the option dates are computed on (a Calendar handle or its name)
bdc	The convention adjusting the option dates (a BusinessDayConvention name)
optionTenors	The option tenors, positive and increasing (a row or column)
swapTenors	The swap tenors, positive, increasing, and in months or years (a row or column)
volatilities	The volatilities: a row per option tenor and a column per swap tenor (a range of numbers by rows)
dayCounter	The day counter (a DayCounter handle or its name)
context	The evaluation context (a EvaluationContext handle)
flatExtrapolation	Optional. Whether the volatilities extrapolate flat outside the grid, rather than linearly (TRUE or FALSE)
type	Optional. The volatility type (a VolatilityType name)
shifts	Optional. The shifts, laid out as the volatilities; zero when null or empty, QuantLib's default Matrix() (a range of numbers by rows)

Returns handle. C#: Create

nqlSwaptionVolatilityMatrixLocate

The lower indexes of the volatility matrix's corners surrounding an option date and a swap tenor.

Argument	Description
self	a SwaptionVolatilityMatrix handle
optionDate	The option date (a date)
swapTenor	The swap tenor (a period such as "6M")

Returns tuple:int32,int32. C#: Locate

nqlSwaptionVolatilityMatrixLocate2

The lower indexes of the volatility matrix's corners surrounding an option time and a swap length.

Argument	Description
self	a SwaptionVolatilityMatrix handle
optionTime	The option time (a number)
swapLength	The swap length, in years (a number)

Returns tuple:int32,int32. C#: Locate

nqlSwaptionVolatilityMatrixMaxDate

Gets the latest date for which the structure returns volatilities: the last option date.

Argument	Description
self	a SwaptionVolatilityMatrix handle

Returns date. C#: MaxDate

nqlSwaptionVolatilityMatrixMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a SwaptionVolatilityMatrix handle

Returns double. C#: MaxStrike

nqlSwaptionVolatilityMatrixMaxSwapTenor

Gets the largest swap tenor for which the structure returns volatilities: the last swap tenor.

Argument	Description
self	a SwaptionVolatilityMatrix handle

Returns period. C#: MaxSwapTenor

nqlSwaptionVolatilityMatrixMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a SwaptionVolatilityMatrix handle

Returns double. C#: MinStrike

nqlSwaptionVolatilityMatrixVolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

Argument	Description
self	a SwaptionVolatilityMatrix handle

Returns enum. C#: VolatilityType

nqlSwaptionVolatilityStructureBlackVariance

The Black variance for an option tenor, a swap tenor and a strike.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapTenor	The swap tenor (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlSwaptionVolatilityStructureBlackVariance2

The Black variance for an option date, a swap tenor and a strike: the volatility squared times the time.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionDate	The option date (a date)
swapTenor	The swap tenor (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlSwaptionVolatilityStructureBlackVariance3

The Black variance for an option time, a swap tenor and a strike: the volatility squared times the time.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
swapTenor	The swap tenor (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlSwaptionVolatilityStructureBlackVariance4

The Black variance for an option tenor, a swap length and a strike.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapLength	The swap length, in years (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlSwaptionVolatilityStructureBlackVariance5

The Black variance for an option date, a swap length and a strike: the volatility squared times the time.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionDate	The option date (a date)
swapLength	The swap length, in years (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlSwaptionVolatilityStructureBlackVariance6

The Black variance for an option time, a swap length and a strike: the volatility squared times the time.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
swapLength	The swap length, in years (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: BlackVariance

nqlSwaptionVolatilityStructureMaxSwapLength

The largest swap length for which the structure returns volatilities: the length of MaxSwapTenor.

Argument	Description
self	a SwaptionVolatilityStructure handle

Returns double. C#: MaxSwapLength

nqlSwaptionVolatilityStructureMaxSwapTenor

Gets the largest swap tenor for which the structure returns volatilities.

Argument	Description
self	a SwaptionVolatilityStructure handle

Returns period. C#: MaxSwapTenor

nqlSwaptionVolatilityStructureShift

The shift for an option tenor and a swap tenor.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapTenor	The swap tenor (a period such as "6M")
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Shift

nqlSwaptionVolatilityStructureShift2

The shift for an option date and a swap tenor.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionDate	The option date (a date)
swapTenor	The swap tenor (a period such as "6M")
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Shift

nqlSwaptionVolatilityStructureShift3

The shift for an option time and a swap tenor.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
swapTenor	The swap tenor (a period such as "6M")
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Shift

nqlSwaptionVolatilityStructureShift4

The shift for an option tenor and a swap length.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapLength	The swap length, in years (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Shift

nqlSwaptionVolatilityStructureShift5

The shift for an option date and a swap length.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionDate	The option date (a date)
swapLength	The swap length, in years (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Shift

nqlSwaptionVolatilityStructureShift6

The shift for an option time and a swap length.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
swapLength	The swap length, in years (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Shift

nqlSwaptionVolatilityStructureSmileSection

The smile section for an option tenor and a swap tenor.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapTenor	The swap tenor (a period such as "6M")
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlSwaptionVolatilityStructureSmileSection2

The smile section for an option date and a swap tenor.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionDate	The option date (a date)
swapTenor	The swap tenor (a period such as "6M")
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlSwaptionVolatilityStructureSmileSection3

The smile section for an option time and a swap tenor: the query is checked with the flag, and the section is the one for the time and the tenor's swap length, checked again without it.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
swapTenor	The swap tenor (a period such as "6M")
extrapolate	Optional. Whether to extrapolate outside the structure's range, in the first check only (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlSwaptionVolatilityStructureSmileSection4

The smile section for an option tenor and a swap length: the query is checked with the flag, and the section is the one for the tenor's option date, checked again without it.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapLength	The swap length, in years (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range, in the first check only (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlSwaptionVolatilityStructureSmileSection5

The smile section for an option date and a swap length: the query is checked with the flag, and the section is the one for the date's time, checked again without it.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionDate	The option date (a date)
swapLength	The swap length, in years (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range, in the first check only (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlSwaptionVolatilityStructureSmileSection6

The smile section for an option time and a swap length.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
swapLength	The swap length, in years (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns handle. C#: SmileSection

nqlSwaptionVolatilityStructureSwapLength

The swap length of a swap tenor: its length in years, a tenor in months counting twelfths.

Argument	Description
self	a SwaptionVolatilityStructure handle
swapTenor	The swap tenor, in months or years (a period such as "6M")

Returns double. C#: SwapLength

nqlSwaptionVolatilityStructureSwapLength2

The swap length between two dates: the days between them in months of 365.25/12 days, rounded to whole months, in years.

Argument	Description
self	a SwaptionVolatilityStructure handle
start	The swap's start date (a date)
end	The swap's end date (a date)

Returns double. C#: SwapLength

nqlSwaptionVolatilityStructureVolatility

The volatility for an option tenor, a swap tenor and a strike.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapTenor	The swap tenor (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlSwaptionVolatilityStructureVolatility2

The volatility for an option date, a swap tenor and a strike.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionDate	The option date (a date)
swapTenor	The swap tenor (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlSwaptionVolatilityStructureVolatility3

The volatility for an option time, a swap tenor and a strike.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
swapTenor	The swap tenor (a period such as "6M")
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlSwaptionVolatilityStructureVolatility4

The volatility for an option tenor, a swap length and a strike.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTenor	The option tenor, from the reference date (a period such as "6M")
swapLength	The swap length, in years (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlSwaptionVolatilityStructureVolatility5

The volatility for an option date, a swap length and a strike.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionDate	The option date (a date)
swapLength	The swap length, in years (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlSwaptionVolatilityStructureVolatility6

The volatility for an option time, a swap length and a strike.

Argument	Description
self	a SwaptionVolatilityStructure handle
optionTime	The option time, from the reference date (a number)
swapLength	The swap length, in years (a number)
strike	The strike (a number)
extrapolate	Optional. Whether to extrapolate outside the structure's range (TRUE or FALSE)

Returns double. C#: Volatility

nqlSwaptionVolatilityStructureVolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

Argument	Description
self	a SwaptionVolatilityStructure handle

Returns enum. C#: VolatilityType

nqlVolatilityTermStructureBusinessDayConvention

Gets the convention adjusting option dates computed from tenors.

Argument	Description
self	a VolatilityTermStructure handle

Returns enum. C#: BusinessDayConvention

nqlVolatilityTermStructureMaxStrike

The maximum strike for which the structure returns values.

Argument	Description
self	a VolatilityTermStructure handle

Returns double. C#: MaxStrike

nqlVolatilityTermStructureMinStrike

The minimum strike for which the structure returns values.

Argument	Description
self	a VolatilityTermStructure handle

Returns double. C#: MinStrike

nqlVolatilityTermStructureOptionDateFromTenor

The option date of a tenor: the reference date advanced by it, on the structure's calendar.

Argument	Description
self	a VolatilityTermStructure handle
p	The tenor (a period such as "6M")

Returns date. C#: OptionDateFromTenor