qlBlackVarianceSurface – Create volatility structure represented by variance surface

This function creates a volatility structure which is represented by a surface in variance values in the space of (strike, maturity) points. Volatility for an arbitrary point in the parameter space is returned by bi-linear interpolation of variance. This function can be used in place of qlBlackConstantVol – Create a Volatility Structure with constant volatility for all times and strikes in all the examples presented here.

Usage:

=qlBlackVarianceSurface(<ObjPrefix>,
                        <SettlementDate>, <Calendar>,
                        <Dates>, <Strikes>, <Volatilities>,
                        <DayCounter>)

<ObjPrefix>

Optional prefix for names of objects created with this function

<SettlementDate>

Reference date to which the volatility is zero

<Calendar>

Calendar to use in the underlying term structure. Used to adjustment to a business day

<Dates>

Sequence of dates or maturities (e.g. “1Y”) specifying the times to which observed volatilities are supplied

<Strikes>

Sequence of strikes at which observed volatilities are supplied

<Volatilities>

Matrix of observed volatilities, arranged so that maturities run in columns and strikes run in rows. The number of columns must be same as length of <Dates> and number of rows the same as length of <Strikes>

<DayCounter>

The day counter to use for calculating the length of time to use to convert the user-supplied annualised volatility to actual volatility during an interval

Example usage:

0	1d	1w	1m	2m	3m	6m	1y	->	0	1d	1w	1m	2m	3m	6m	1y
0.8	0.05	0.04	0.04	0.05	0.05	0.05	0.05	->	0.8	0.05	0.04	0.04	0.05	0.05	0.05	0.05
0.9	0.04	3.5000000000000003E-2	3.5000000000000003E-2	0.04	0.04	0.04	0.04	->	0.9	0.04	3.5000000000000003E-2	3.5000000000000003E-2	0.04	0.04	0.04	0.04
1	0.03	0.03	0.03	0.04	0.04	0.04	0.04	->	1	0.03	0.03	0.03	0.04	0.04	0.04	0.04
1.1	0.04	3.5000000000000003E-2	3.5000000000000003E-2	0.04	0.04	0.05	0.05	->	1.1	0.04	3.5000000000000003E-2	3.5000000000000003E-2	0.04	0.04	0.05	0.05
1.2	0.05	0.04	0.04	0.05	0.05	0.05	0.05	->	1.2	0.05	0.04	0.04	0.05	0.05	0.05	0.05
=qlBlackVarianceSurface(,”0D”, “TARGET”, R[-6]C[1]:R[-6]C[7],R[-5]C:R[-1]C,R[-5]C[1]:R[-1]C[7])	nil	nil	nil	nil	nil	nil	nil	->	obj_00008#0001	nil	nil	nil	nil	nil	nil	nil