quantlibxl yield term structure / volatility surface and american option

Question

I'm new to quantlib and I'm only using the excel addins to be precise. Do you now is it possible to call a yield term structure and a volatility surface when pricing an american option (fairly sure you can)? What is the name of the object called? In the example I found for pricing american option, those quantity are not objects but directly scalars (using qlBlackConstantVol and just a double for the risk free rate). thanks

Answer 1

Yes, the underlying C++ library provides the classes you need.

For the yield term structure, you can use classes such as InterpolatedDiscountCurve or InterpolatedZeroCurve if you already have a set of nodes for your curve, or PiecewiseYieldCurve if you want to bootstrap it over market rates; they are exported to Excel as qlDiscountCurve, qlZeroCurve and qlPiecewiseYielOndCurve, respectively.

For volatility, you have BlackVarianceCurve if you want to specify the at-the-money volatility with respect to time, of BlackVarianceSurface if you want to specify the smile as well. The former doesn't seem to be available in Excel; the latter is exported as qlBlackVarianceSurface.

Once you have built your curves, you can use them as you did with the flat ones.