Volatility

CapHelper

ql.CapHelper(period, quote, index, frequency, dayCounter, includeFirstOptionlet (bool), YieldTermStructure, errorType=BlackCalibrationHelper.RelativePriceError)

period = ql.Period('2y')
quote = ql.QuoteHandle(ql.SimpleQuote(0.55))
today = ql.Date().todaysDate()
yts = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.02, ql.Actual360()))
index = ql.Euribor6M(yts)

helper = ql.CapHelper(period, quote, index, ql.Semiannual, ql.Actual360(), False, yts)

SwaptionHelper

ql.SwaptionHelper(maturity, length, volatility, index, fixedLegTenor, fixedLegDayCounter, floatingLegDayCounter, termStructure, errorType=ql.BlackCalibrationHelper.RelativePriceError, strike=Null< Real >(), nominal=1.0, type=ql.ShiftedLognormal, shift=0.0)

maturity = ql.Period('5Y')
length = ql.Period('5Y')
volatility = ql.QuoteHandle(ql.SimpleQuote(0.0055))
index = ql.Euribor6M()
fixedLegTenor = ql.Period('1Y')
fixedLegDayCounter = ql.Thirty360()
floatingLegDayCounter = ql.Actual360()

crv = ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360())
yts = ql.YieldTermStructureHandle(crv)

ql.SwaptionHelper(
  maturity, length, volatility, index, fixedLegTenor,
  fixedLegDayCounter, floatingLegDayCounter, yts
)

ql.SwaptionHelper(exerciseDate, length, volatility, index, fixedLegTenor, fixedLegDayCounter, floatingLegDayCounter, termStructure, errorType=ql.BlackCalibrationHelper.RelativePriceError, strike=Null< Real >(), nominal=1.0, type=ql.ShiftedLognormal, shift=0.0)

exerciseDate = ql.Date(15,6,2020)
length = ql.Period('5Y')
volatility = ql.QuoteHandle(ql.SimpleQuote(0.0055))
index = ql.Euribor6M()
fixedLegTenor = ql.Period('1Y')
fixedLegDayCounter = ql.Thirty360()
floatingLegDayCounter = ql.Actual360()

crv = ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360())
yts = ql.YieldTermStructureHandle(crv)

ql.SwaptionHelper(
  exerciseDate, length, volatility, index, fixedLegTenor,
  fixedLegDayCounter, floatingLegDayCounter, yts
)

ql.SwaptionHelper(exerciseDate, endDate, volatility, index, fixedLegTenor, fixedLegDayCounter, floatingLegDayCounter, termStructure, errorType=ql.BlackCalibrationHelper.RelativePriceError, strike=Null< Real >(), nominal=1.0, type=ql.ShiftedLognormal, shift=0.0)

exerciseDate = ql.Date(15,6,2020)
endDate = ql.Date(15,6,2025)
volatility = ql.QuoteHandle(ql.SimpleQuote(0.0055))
index = ql.Euribor6M()
fixedLegTenor = ql.Period('1Y')
fixedLegDayCounter = ql.Thirty360()
floatingLegDayCounter = ql.Actual360()
blackCalibrationHelper = ql.BlackCalibrationHelper.RelativePriceError
strike = ql.nullDouble()
nominal = 1.0

crv = ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360())
yts = ql.YieldTermStructureHandle(crv)

ql.SwaptionHelper(
  exerciseDate, endDate, volatility, index, fixedLegTenor,
  fixedLegDayCounter, floatingLegDayCounter, yts,
  blackCalibrationHelper, strike, nominal
)

HestonModelHelper

ql.HestonModelHelper(tenor, calendar, spot, strike, volQuote, riskFreeCurveHandle, dividendCurveHandle, errorType=ql.BlackCalibrationHelper.RelativePriceError)

spot, strike = 100, 110

tenor = ql.Period("3M")
calendar = ql.NullCalendar()
dayCount = ql.Actual365Fixed()
volQuote = ql.QuoteHandle(ql.SimpleQuote(0.22))

today = ql.Date().todaysDate()
riskFreeCurve = ql.FlatForward(today, 0.04, dayCount)
dividendCurve = ql.FlatForward(today, 0.0, dayCount)
riskFreeHandle = ql.YieldTermStructureHandle(riskFreeCurve)
dividendHandle = ql.YieldTermStructureHandle(dividendCurve)

ql.HestonModelHelper(tenor, calendar, spot, strike, volQuote, riskFreeHandle, dividendHandle)