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Re: Shifted Log Normal in QuantLib XL

Posted by Luigi Ballabio on Jun 04, 2015; 9:12am
URL: http://quantlib.414.s1.nabble.com/Shifted-Log-Normal-in-QuantLib-XL-tp16511p16622.html

You can.  You can't do other things, such as calibrating a Hull-White model over displaced volatilities.

About the stripping: OptionletVolatilitySurface is an abstract type and is probably not exported to an Excel function. You'd probably call qlStrippedOptionletAdapter and that's it. But I'm not familiar with the Excel interface, so take it with a grain of salt.

Luigi


On Wed, Jun 3, 2015 at 4:30 PM, Sparviero <[hidden email]> wrote:
Thank you for the reply Luigi.
 
Can you explain me the problem in more detail pls?
If the market give us vols on a Black + shift 3% why we can't just bootstrap the vols and then do the pricing via a qlBlackCapFloorEngine with a 3% displacement using the fwd vols obtained?
 
I have also a question on the vols bootstrapping. I red some month ago a post where a user was boostrapping the vols with this procedure:
creating a CapFloorVolTermStructure wih the market vols;
create an OptionletStripper1;
mold the OptionletStripper1 into an OptionletVolatilitySurface via a StrippedOptionletAdapter.....
 
I do not understand the last. I do not find an object qlOptionletVolatilitySurface and I do not understand what to do, can you help?
 
Many Thanks,
 
Iacopo

2015-05-08 15:30 GMT+02:00 Luigi Ballabio [via QuantLib] <[hidden email]>:
That's correct. However, the drift is not yet available everywhere the model is used (calibration etc.)

Luigi


On Thu, May 7, 2015 at 6:07 PM, Sparviero <[hidden email]> wrote:
Thanks Luigi.
 
I can see the field "displacment" in both the qlBlackCapFloorPricingEngine and qlBlackSwaptionEngine.
Maybe this is the shift  to get a shifted-Black engine or I'm making a mistake?
 
Regards,
 
Iacopo
 

2015-05-07 16:59 GMT+02:00 Luigi Ballabio [via QuantLib] <[hidden email]>:
Some support has been added recently (see <https://github.com/lballabio/quantlib/pull/167> and <https://github.com/lballabio/quantlib/pull/216>) but it hasn't made it into a release yet. However, that's only on the C++ side. So far there has been no work to export this to QuantLibXL, as far as I know.

Luigi


On Tue, Apr 21, 2015 at 7:58 PM, Sparviero <[hidden email]> wrote:
Hi all,

I would know if anybody is working on the shifted log normal model to price
IR derivatives in QuantLibXL.
For me the goal is the pricing of structured bonds. The market is now giving
the vol and the shift to put in a shifted log normal model both for the CF
and Swpt Surface.
I would know if there is a way to use a shifted LN model in QuantLibXL, or
something that can take into account negative rates (maybe a Normal one?),
to price Cap&Floor and Swaptions.

Many thanks,

Iacopo



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