QS.SIMULATION.CALIBRATION¶
Spills Hull-White calibration quotes, fitted parameters and pricing residuals
Category: QuantSupport - Market.
- QS.SIMULATION.CALIBRATION(context: text, market_index: text, transpose: logical or blank, headers: logical or blank) spilled range¶
- Parameters:
context (text) – Stable workbook-scoped root from QS.CONTEXT.CREATE or revisioned historical context; additions belong to the context and commit after the definition pass
market_index (text) – Market index, for example SOFR; prefixes include Equity:, Credit:, FX:, and Collateral:
transpose (logical or blank) – Optional TRUE transposes the entire spill; omitted or blank defaults to FALSE; table headers move with their fields
headers (logical or blank) – Optional TRUE includes table headers (default); FALSE removes the first header row before transposing; omitted or blank defaults to TRUE
- Returns:
Eleven-column Hull-White diagnostics spill with headers identifier, expiry, t, big_t, market_vol, market_price, model_price, calibrated_sigma, forward_rate, effective_strike, price_error. Expiry is tenor text such as 1Y, not an ISO date; price_error is model_price minus market_price, not an absolute error. headers=FALSE removes the header row before transposing; omitted headers defaults to TRUE. transpose=TRUE exchanges rows and columns; omitted transpose defaults to FALSE. Empty output returns a blank cell.
- Return Type:
spilled range
- Errors:
#VALUE! for invalid index/context handles, a missing simulation, or a simulation without Hull-White calibration diagnostics. Invalid transpose/headers flags return #VALUE!; use TRUE/FALSE or leave optional flags blank.
Formula¶
=QS.SIMULATION.CALIBRATION(context, market_index, transpose, headers)
Calculation¶
Runs on Excel’s main calculation thread.
Native Declaration¶
fn qs_simulation_calibration (context : & str , market_index : & str , transpose : * const xll_rs :: types :: XLOPER12 , headers : * const xll_rs :: types :: XLOPER12 ,) -> Result < * mut xll_rs :: types :: XLOPER12 , XllError >