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ZABR Availability in QuantLibXL

Article Quant Q&A · Author: Srini
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Summary

The document addresses whether a user can build a ZABR model through QuantLibXL, the Excel interface to QuantLib. The accepted answer says that, to the respondent’s knowledge, ZABR classes are available through the C++ library and its Python bindings via SWIG, but are not exposed in QuantLibXL.

It attributes the gap to the extra work required to expose new C++ classes in QuantLibXL, including writing XML interface definitions. This is a practical note about library and language-interface availability, rather than an explanation of the ZABR model or its use in pricing. The answer is explicitly qualified by the respondent’s knowledge and does not establish current version support, provide implementation steps, or compare ZABR with other volatility models. Readers should treat it as a snapshot of interface availability rather than a general statement about QuantLib’s capabilities.

Key ideas

  • The answer reports that ZABR classes were available in QuantLib’s C++ and Python interfaces.
  • It says QuantLibXL had not exposed those classes to Excel at the time described.
  • Adding classes to QuantLibXL requires additional interface definition work.
  • The response is qualified and does not confirm availability across current library versions.

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OptionsVolatilityDerivatives pricing
Full text
# Is there a ZABR model on Quantlib XL


# Is there a ZABR model on Quantlib XL












I am relatively new to QuantlibXL and would like to build a ZABR model in excel. But I cant find much help online. Any help would be appreciated

## Answer by user35980 (score 3, accepted)

https://quant.stackexchange.com/a/58119

ZABR classes are currently only in C++ and Python via SWIG, at least to my knowledge. QuantlibXL is generally not as quick to receive updates to developments in the C++ library because a substantial amount of work goes into writing in the XMLs for each new class.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.