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QLXL: Cap vs. Caplet vols

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mrbp

QLXL: Cap vs. Caplet vols

Hi,

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

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

Thanks,

Brian

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mrbp

Re: QLXL: Cap vs. Caplet vols

Hi,

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

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

Thanks,

Brian

On 2 May 2017 at 14:09, Brian Phelan <[hidden email]> wrote:

Hi,

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

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

Thanks,
Brian

Luigi Ballabio

Re: QLXL: Cap vs. Caplet vols

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

Luigi

On Wed, May 3, 2017 at 10:36 PM Brian Phelan <[hidden email]> wrote:

Hi,

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

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

Thanks,
Brian

On 2 May 2017 at 14:09, Brian Phelan <[hidden email]> wrote:
Hi,

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

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

Thanks,
Brian

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