Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16543/gensrc/metadata Added Files: calendar.xml capfloor.xml config.xml couponvectors.xml date.xml daycounter.xml enumerations.xml exercise.xml instruments.xml interpolation.xml mathf.xml options.xml prices.xml processes.xml randomsequencegenerator.xml schedule.xml shortratemodels.xml simpleswap.xml swap.xml termstructures.xml utilities.xml volatilities.xml xibor.xml Log Message: transfer addin-specific code and metadata from gensrc to QuantLibAddin --- NEW FILE: shortratemodels.xml --- <Category name='shortratemodels'> <description>functions to construct QuantLib short-rate model objects</description> <displayName>Short Rate Models</displayName> <Functions> <Constructor name='qlHullWhite'> <libraryFunction>HullWhite</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='handleTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to a term structure object</description> </Parameter> <Parameter name='a'> <type>double</type> <tensorRank>scalar</tensorRank> <description>a</description> </Parameter> <Parameter name='sigma'> <type>double</type> <tensorRank>scalar</tensorRank> <description>volatility</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlVasicek'> <libraryFunction>Vasicek</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='a'> <type>double</type> <tensorRank>scalar</tensorRank> <description>mean reverting speed</description> </Parameter> <Parameter name='b'> <type>double</type> <tensorRank>scalar</tensorRank> <description>short-rate limit value</description> </Parameter> <Parameter name='lambda'> <type>double</type> <tensorRank>scalar</tensorRank> <description>risk premium</description> </Parameter> <Parameter name='sigma'> <type>double</type> <tensorRank>scalar</tensorRank> <description>volatility</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: swap.xml --- <Category name='swap'> <description>functions to construct QuantLib swap objects</description> <displayName>Swap</displayName> <Functions> <Constructor name='qlSwap'> <libraryFunction>Swap</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='paidLegID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to paid leg</description> </Parameter> <Parameter name='recvLegID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to receveid leg</description> </Parameter> <Parameter name='termStructureID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to discounting term structure</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: daycounter.xml --- <Category name='daycounter'> <description>Daycounter related QuantLib functions</description> <displayName>Daycounter</displayName> <includes> <include>ql/Functions/daycounters.hpp</include> </includes> <Functions> <Procedure name='qlDayCount'> <description>calculate the number of days in a period according to a given day count convention</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::dayCount</alias> <platforms>EGO</platforms> <ParameterList> <Parameters> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day-counter convention</description> </Parameter> <Parameter name='startDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date</description> </Parameter> <Parameter name='endDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>end date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>long</type> <tensorRank>scalar</tensorRank> <description>days between the start date and the end date</description> </ReturnValue> </Procedure> <Procedure name='qlYearFraction'> <description>calculate a year fraction</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::yearFraction</alias> <ParameterList> <Parameters> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day-counter convention</description> </Parameter> <Parameter name='startDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date</description> </Parameter> <Parameter name='endDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>end date</description> </Parameter> <Parameter name='refPeriodStart' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date for reference period</description> </Parameter> <Parameter name='refPeriodEnd' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>end date for reference period</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>advanced date</description> </ReturnValue> </Procedure> </Functions> </Category> --- NEW FILE: config.xml --- <Config> <qlaRootDirectory>../../QuantLibAddin/qlo/</qlaRootDirectory> <voRootDirectory>../../QuantLibAddin/qlo/</voRootDirectory> <excelRootDirectory>../../QuantLibXL/qlxl/</excelRootDirectory> <categoryNames> <categoryName>calendar</categoryName> <categoryName>capfloor</categoryName> <categoryName>couponvectors</categoryName> <categoryName>date</categoryName> <categoryName>daycounter</categoryName> <categoryName>exercise</categoryName> <categoryName>instruments</categoryName> <categoryName>interpolation</categoryName> <categoryName>mathf</categoryName> <categoryName>options</categoryName> <categoryName>prices</categoryName> <categoryName>processes</categoryName> <categoryName>randomsequencegenerator</categoryName> <categoryName>schedule</categoryName> <categoryName>shortratemodels</categoryName> <categoryName>simpleswap</categoryName> <categoryName>swap</categoryName> <categoryName>termstructures</categoryName> <categoryName>utilities</categoryName> <categoryName>volatilities</categoryName> <categoryName>xibor</categoryName> </categoryNames> </Config> --- NEW FILE: xibor.xml --- <Category name='xibor'> <description>functions to construct QuantLib Xibor objects</description> <displayName>Indices</displayName> <Functions> <Constructor name='qlXibor'> <libraryFunction>Xibor</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='IndexName'> <type>string</type> <tensorRank>scalar</tensorRank> <description>index name</description> </Parameter> <Parameter name='Currency' enumeration='QuantLib::Currency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Index Currency</description> </Parameter> <Parameter name='tenor'> <type>long</type> <tensorRank>scalar</tensorRank> <description>the tenor of this index</description> </Parameter> <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> <description>time units applying to above tenor</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='BDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual360)</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> <Parameter name='ForwardCurve'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of the Yield Curve used for forecasting</description> </Parameter> <Parameter name='dates' default='0'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates</description> </Parameter> <Parameter name='fixings' default='0'> <type>double</type> <tensorRank>vector</tensorRank> <description>fixings</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlXiborFixing' libraryClass='Xibor'> <description>retrive the fixing for the given Xibor object</description> <libraryFunction>fixing</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='fixingDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>xibor fixing</description> </ReturnValue> </Member> </Functions> </Category> --- NEW FILE: volatilities.xml --- <Category name='volatilities'> <description>functions to construct QuantLib volatility objects</description> <displayName>Volatilities</displayName> <Functions> <Constructor name='qlBlackConstantVol'> <libraryFunction>BlackConstantVol</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> <Parameter name='volatility'> <type>double</type> <tensorRank>scalar</tensorRank> <description>volatility</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlBlackVarianceSurface'> <libraryFunction>BlackVarianceSurface</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> <Parameter name='dates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates</description> </Parameter> <Parameter name='strikes'> <type>double</type> <tensorRank>vector</tensorRank> <description>strikes</description> </Parameter> <Parameter name='volatilities'> <type>double</type> <tensorRank>matrix</tensorRank> <description>volatilities</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: termstructures.xml --- <Category name='termstructures'> <description>functions to construct QuantLib term structure objects</description> <displayName>Term Structures</displayName> <Functions> <Constructor name='qlDepositRateHelper'> <libraryFunction>DepositRateHelper</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='quote'> <type>double</type> <tensorRank>scalar</tensorRank> <description>quote</description> </Parameter> <Parameter name='maturity'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity</description> </Parameter> <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> <description>time units applying to above maturity</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='convention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>business day convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlFuturesRateHelper'> <libraryFunction>FuturesRateHelper</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='price'> <type>double</type> <tensorRank>scalar</tensorRank> <description>future price</description> </Parameter> <Parameter name='IMM'> <type>string</type> <tensorRank>scalar</tensorRank> <description>IMM code</description> </Parameter> <Parameter name='months'> <type>long</type> <tensorRank>scalar</tensorRank> <description>future contract lenght in months</description> </Parameter> <Parameter name='calendar' enumeration ='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='bDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Business Day Convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlSwapRateHelper'> <libraryFunction>SwapRateHelper</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='quote'> <type>double</type> <tensorRank>scalar</tensorRank> <description>quote</description> </Parameter> <Parameter name='maturity'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity</description> </Parameter> <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> <description>time units applying to above maturity</description> </Parameter> <Parameter name='fixingDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>fixing days (e.g. 2)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='fixedLegFrequency' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>fixed leg frequency (e.g. Annual)</description> </Parameter> <Parameter name='fixedLegConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>fixed leg convention (e.g. Unadjusted)</description> </Parameter> <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='floatingLegFrequency' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>floating leg frequency (e.g. Quarterly, Semiannual, etc.)</description> </Parameter> <Parameter name='floatingLegConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>floating leg convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='floatingLegDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlEarliestDate' libraryClass='RateHelper'> <description>retrieve a RateHelper's earliest date</description> <libraryFunction>earliestDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>earliest date</description> </ReturnValue> </Member> <Member name='qlLatestDate' libraryClass='RateHelper'> <description>retrieve a RateHelper's latest date</description> <libraryFunction>latestDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>latest date</description> </ReturnValue> </Member> <Member name='qlSetQuote' objectClass='RateHelper'> <description>update quote of existing Rate Helper object</description> <libraryFunction>setQuote</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='Quote'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the new qoute</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>diff new quote - old quote</description> </ReturnValue> </Member> <Member name='qlReferenceQuote' libraryClass='RateHelper'> <description>retrieve a RateHelper's reference quote</description> <libraryFunction>referenceQuote</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>reference quote</description> </ReturnValue> </Member> <Procedure name='qlRateHelperSelection'> <description>select rate helpers for bootstrapping</description> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='rateHelpers'> <type>string</type> <tensorRank>vector</tensorRank> <description>vector of rate-helper handles</description> </Parameter> <Parameter name='includeFlag'> <type>bool</type> <tensorRank>vector</tensorRank> <description>inclusion boolean</description> </Parameter> <Parameter name='priority'> <type>long</type> <tensorRank>vector</tensorRank> <description>priority integer (higher number for higher priority)</description> </Parameter> <Parameter name='nFutures'> <type>long</type> <tensorRank>scalar</tensorRank> <description>max number of futures to be included</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of instance names of selected rate helpers</description> </ReturnValue> </Procedure> <Constructor name='qlPiecewiseYieldCurve'> <libraryFunction>PiecewiseYieldCurve</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EGO</platforms> <ParameterList> <Parameters> <Parameter name='nDays' default='0'> <type>long</type> <tensorRank>scalar</tensorRank> <description>number of days to advance from EvaluationDate (usually zero or two): it fixes the date at which the discount factor = 1.0</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET) to advance from global EvaluationDate</description> </Parameter> <Parameter name='rateHelpers'> <type>string</type> <tensorRank>vector</tensorRank> <description>vector of rate-helper handles</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlDiscountCurve'> <libraryFunction>DiscountCurve</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='curveDates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates of the curve</description> </Parameter> <Parameter name='curveDiscounts'> <type>double</type> <tensorRank>vector</tensorRank> <description>discount factors for the above dates</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlZeroCurve'> <libraryFunction>ZeroCurve</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='curveDates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates of the curve</description> </Parameter> <Parameter name='curveYields'> <type>double</type> <tensorRank>vector</tensorRank> <description>zero rates for the above dates</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlForwardCurve'> <libraryFunction>ForwardCurve</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='curveDates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates of the curve</description> </Parameter> <Parameter name='forwardYields'> <type>double</type> <tensorRank>vector</tensorRank> <description>forwards rates for the above dates</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlForwardSpreadedTermStructure'> <libraryFunction>ForwardSpreadedTermStructure</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='YieldTermStructure' class='YieldTermStructure' default='""'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to the Yield Curve to be spreaded</description> </Parameter> <Parameter name='spread'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the spread to be applied to the forward rates of the yield curve</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlDiscount' libraryClass='YieldTermStructure' loopParameter='DfDates'> <description>Return a vector of discount factors corresponding to a vector of dates for a given yield term structure</description> <libraryFunction>discount</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='DfDates' libraryType='QuantLib::Date'> <type>any</type> <tensorRank>vector</tensorRank> <description>vector of dates</description> </Parameter> <Parameter name='iPol'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>Interpolate Flag</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>any</type> <tensorRank>vector</tensorRank> <description>vector of discount factors</description> </ReturnValue> </Member> <Member name='qlForwardRate' libraryClass='YieldTermStructure' loopParameter='d2'> <description>return a vector of implied forward interest rates between input date d1 and input date vector d2</description> <libraryFunction>forwardRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='d1' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>date 1</description> </Parameter> <Parameter name='d2' libraryType='QuantLib::Date'> <type>any</type> <tensorRank>vector</tensorRank> <description>date 2</description> </Parameter> <Parameter name='resultDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>result DayCounter</description> </Parameter> <Parameter name='compID' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> <description>comp</description> </Parameter> <Parameter name='freqID' enumeration='QuantLib::Frequency' default='"Annual"'> <type>string</type> <tensorRank>scalar</tensorRank> <description>freq</description> </Parameter> <Parameter name='extrapolate' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>extrapolate</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue return_func='rate'> <type>any</type> <tensorRank>vector</tensorRank> <description>interest rate</description> </ReturnValue> </Member> <Member name='qlZeroRate' libraryClass='YieldTermStructure' loopParameter='dates'> <description>return a vector of implied zero-yield rates for given input dates</description> <libraryFunction>zeroRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='dates' libraryType='QuantLib::Date'> <type>any</type> <tensorRank>vector</tensorRank> <description>date</description> </Parameter> <Parameter name='resultDayCounterID' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>resultDayCounter</description> </Parameter> <Parameter name='compID' enumeration='QuantLib::Compounding'> <type>string</type> <tensorRank>scalar</tensorRank> <description>comp</description> </Parameter> <Parameter name='freqID' enumeration='QuantLib::Frequency' default='"Annual"'> <type>string</type> <tensorRank>scalar</tensorRank> <description>freq</description> </Parameter> <Parameter name='extrapolate' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>extrapolate</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue return_func='rate'> <type>any</type> <tensorRank>vector</tensorRank> <description>interest rate</description> </ReturnValue> </Member> <Member name='qlParRate' libraryClass='YieldTermStructure' loopParameter='tenor'> <description>return a vector of implied par rates corresponding to input vector of tenors for given date/payment frequency</description> <libraryFunction>parRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <platforms>EO</platforms> <ParameterList> <Parameters> <Parameter name='tenor'> <type>any</type> <tensorRank>vector</tensorRank> <description>tenor</description> </Parameter> <Parameter name='startDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date</description> </Parameter> <Parameter name='freqID' enumeration='QuantLib::Frequency' default='"Annual"'> <type>string</type> <tensorRank>scalar</tensorRank> <description>freq</description> </Parameter> <Parameter name='extrapolate' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>extrapolate</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>any</type> <tensorRank>vector</tensorRank> <description>interest rate</description> </ReturnValue> </Member> <Member name='qlReferenceDate' libraryClass='YieldTermStructure'> <description>return the earliest date at which the YieldTermStructure is defined (i.e. discount factor = 1.0)</description> <libraryFunction>referenceDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>earliest date</description> </ReturnValue> </Member> <Member name='qlMaxDate' libraryClass='YieldTermStructure'> <description>return the latest date at which the YieldTermStructure is defined (not considering extrapolation feature)</description> <libraryFunction>maxDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>latest date</description> </ReturnValue> </Member> </Functions> </Category> --- NEW FILE: capfloor.xml --- <Category name='capfloor'> <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> <Functions> <Constructor name='qlAnalyticCapFloorEngine'> <libraryFunction>AnalyticCapFloorEngine</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='handleModel'> <type>string</type> <tensorRank>scalar</tensorRank> <description>affine model (providing a discount bond option pricing formula)</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlCapFloor'> <libraryFunction>CapFloor</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='couponVectorID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>coupon vector</description> </Parameter> <Parameter name='termStructureID'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to term structure</description> </Parameter> <Parameter name='capStrikes'> <type>double</type> <tensorRank>vector</tensorRank> <description>cap strikes</description> </Parameter> <Parameter name='floorStrikes'> <type>double</type> <tensorRank>vector</tensorRank> <description>floor strikes</description> </Parameter> <Parameter name='handleEngine'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle to pricing engine</description> </Parameter> <Parameter name='optionType' enumeration='QuantLib::CapFloor::Type'> <type>string</type> <tensorRank>scalar</tensorRank> <description>option type (cap, floor or collar)</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: utilities.xml --- <Category name='utilities'> <description>diagnostic and utility functions</description> <displayName>Utilities</displayName> <Functions> <Procedure name='qlVersion'> <description>returns the version number of QuantLib</description> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> <description>QuantLib version number</description> </ReturnValue> </Procedure> <Procedure name='qlListRegisteredEnums'> <description>return the names of all registered enums</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::EnumRegistry::instance().getAllRegisteredTypes</alias> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of names of registered enums</description> </ReturnValue> </Procedure> <Procedure name='qlListEnum'> <description>return the members of a given enumeration</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::EnumRegistry::instance().getTypeElements</alias> <ParameterList> <Parameters> <Parameter name='enumId'> <type>string</type> <tensorRank>scalar</tensorRank> <description>name of the enum to list</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of the members of the specified enumeration</description> </ReturnValue> </Procedure> <Procedure name='qlListRegisteredTypes'> <description>return the names of all registered complex types</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::ComplexTypeRegistry::instance().getAllRegisteredTypes</alias> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of names of registered enums</description> </ReturnValue> </Procedure> <Procedure name='qlListType'> <description>return the members of a given complex type</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLibAddin::ComplexTypeRegistry::instance().getTypeElements</alias> <ParameterList> <Parameters> <Parameter name='typeId'> <type>string</type> <tensorRank>scalar</tensorRank> <description>name of the complex type to list</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>string</type> <tensorRank>vector</tensorRank> <description>list of the members of the specified enumeration</description> </ReturnValue> </Procedure> </Functions> </Category> --- NEW FILE: randomsequencegenerator.xml --- <Category name='randomsequencegenerator'> <description>functions to generate random number sequences</description> <displayName>Random Sequence Generator</displayName> <Functions> <Procedure name='qlRand'> <description>returns a random number between 0 and 1.</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::rand</alias> <ParameterList> <Parameters/> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>a random number between 0 and 1</description> </ReturnValue> </Procedure> <!--Procedure name='qlRandomize'> <description>returns a random number between 0 and 1.</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::randomize</alias> <ParameterList> <Parameters> <Parameter name='seed'> <type>long</type> <tensorRank>scalar</tensorRank> <description>the seed used to initialize the random number generator</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>void</type> <tensorRank>scalar</tensorRank> <description>void</description> </ReturnValue> </Procedure--> <Member name='qlVariates' objectClass='RandomSequenceGenerator'> <description>generate variates</description> <libraryFunction>variates</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='samples'> <type>long</type> <tensorRank>scalar</tensorRank> <description>number of samples</description> </Parameter> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dependency tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>matrix</tensorRank> <description>variates</description> </ReturnValue> </Member> <Constructor name='qlMersenneTwisterRsg'> <libraryFunction>MersenneTwisterRsg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dimension'> <type>long</type> <tensorRank>scalar</tensorRank> <description>dimension</description> </Parameter> <Parameter name='seed'> <type>long</type> <tensorRank>scalar</tensorRank> <description>seed</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlFaureRsg'> <libraryFunction>FaureRsg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dimension'> <type>long</type> <tensorRank>scalar</tensorRank> <description>dimension</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlHaltonRsg'> <libraryFunction>HaltonRsg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dimension'> <type>long</type> <tensorRank>scalar</tensorRank> <description>dimension</description> </Parameter> <Parameter name='seed'> <type>long</type> <tensorRank>scalar</tensorRank> <description>seed</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlSobolRsg'> <libraryFunction>SobolRsg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dimension'> <type>long</type> <tensorRank>scalar</tensorRank> <description>dimension</description> </Parameter> <Parameter name='seed'> <type>long</type> <tensorRank>scalar</tensorRank> <description>seed</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: exercise.xml --- <Category name='exercise'> <description>functions to construct QuantLib Exercise objects</description> <displayName>Exercise</displayName> <Functions> <Constructor name='qlAmericanExercise'> <libraryFunction>AmericanExercise</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='earliestDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>earliest exercise date</description> </Parameter> <Parameter name='latestDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>latest exercise date</description> </Parameter> <Parameter name='payoffAtExpiry' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>payoff at expiry</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlEuropeanExercise'> <libraryFunction>EuropeanExercise</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='expiryDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>expiry date</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlBermudanExercise'> <libraryFunction>BermudanExercise</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='dates' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>dates</description> </Parameter> <Parameter name='payoffAtExpiry' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>payoff at expiry</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: mathf.xml --- <Category name='mathf'> <description>Math QuantLib functions</description> <displayName>Math</displayName> <includes> <include>ql/Functions/mathf.hpp</include> </includes> <Functions> <Procedure name='qlPrimeNumber' > <description>returns the N-th prime number</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::PrimeNumbers::get</alias> <ParameterList> <Parameters> <Parameter name='N'> <type>long</type> <tensorRank>scalar</tensorRank> <description>index of the prime number (e.g N=2 returns 3)</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>long</type> <tensorRank>scalar</tensorRank> <description>the N-th prime number</description> </ReturnValue> </Procedure> <Procedure name="qlNormDist"> <description>Returns the normal cumulative distribution for the specified mean and standard deviation.</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::normDist</alias> <ParameterList> <Parameters> <Parameter name="X"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the value for which you want the distribution</description> </Parameter> <Parameter name="Mean" default="0.0"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the arithmetic mean of the distribution</description> </Parameter> <Parameter name="Standard_dev" default="1.0"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the standard deviation of the distribution, a positive number</description> </Parameter> <Parameter name="cumulative" default="TRUE"> <type>bool</type> <tensorRank>scalar</tensorRank> <description>is a logical value: for the cumulative distribution function, use TRUE; for the probability mass function, use FALSE</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the normal cumulative distribution for the specified mean and standard deviation</description> </ReturnValue> </Procedure> <Procedure name="qlNormSDist"> <description>Returns the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::normDist</alias> <ParameterList> <Parameters> <Parameter name="Z"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the value for which you want the distribution</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> </ReturnValue> </Procedure> <Procedure name="qlNormInv"> <description>Returns the inverse of the normal cumulative distribution for the specified mean and standard deviation.</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::normInv</alias> <ParameterList> <Parameters> <Parameter name="Probability"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is a probability corresponding to the normal distribution, a number between 0 and 1 inclusive</description> </Parameter> <Parameter name="Mean" default="0.0"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the arithmetic mean of the distribution</description> </Parameter> <Parameter name="Standard_dev" default="1.0"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is the standard deviation of the distribution, a positive number</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the inverse of the normal cumulative distribution for the specified mean and standard deviation</description> </ReturnValue> </Procedure> <Procedure name="qlNormSInv"> <description>Returns the inverse of the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::normInv</alias> <ParameterList> <Parameters> <Parameter name="Probability"> <type>double</type> <tensorRank>scalar</tensorRank> <description>is a probability corresponding to the normal distribution, a number between 0 and 1 inclusive</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the inverse of the standard normal cumulative distribution (has a mean of zero and standard deviation of one).</description> </ReturnValue> </Procedure> </Functions> </Category> --- NEW FILE: calendar.xml --- <Category name='calendar'> <description>Calendar related QuantLib functions</description> <displayName>Calendar</displayName> <includes> <include>ql/Functions/calendars.hpp</include> <include>qlo/calendar.hpp</include> <include>qlo/vo_calendar.hpp</include> </includes> <Functions> <Procedure name='qlHolidayList' > <description>returns the holidays in a period between two dates according to a given holiday calendar</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::holidayList</alias> <ParameterList> <Parameters> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Calendar to use for holiday determination</description> </Parameter> <Parameter name='fromDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>first date of the period</description> </Parameter> <Parameter name='toDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>last date of the period</description> </Parameter> <Parameter name='includeWeekEnds' default='false'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>include week-end as holidays</description> </Parameter> </Parameters> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>vector</tensorRank> <description>holidays</description> </ReturnValue> </Procedure> <Procedure name='qlAdvanceCalendar' > <description>advances a date according to a given calendar</description> <functionCategory>QuantLib</functionCategory> <alias>QuantLib::advanceCalendar</alias> <ParameterList> <Parameters> <Parameter name='startDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date to be advanced</description> </Parameter> <Parameter name='n'> <type>long</type> <tensorRank>scalar</tensorRank> <description>number of units to advance</description> </Parameter> <Parameter name='timeUnits' enumeration='QuantLib::TimeUnit'> <type>string</type> <tensorRank>scalar</tensorRank> <description>units to advance</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Calendar to be used for advancing the date</description> </Parameter> <Parameter name='rollingConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>rolling convention</description> </Parameter> </Parameters> </ParameterList> <ReturnValue return_func='serialNumber'> <type>long</type> <tensorRank>scalar</tensorRank> <description>advanced date</description> </ReturnValue> </Procedure> <Constructor name='qlJointCalendar'> <libraryFunction>JointCalendar</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='jointCalendarRule' enumeration='QuantLib::JointCalendarRule' default='"JoinHolidays"'> <type>string</type> <tensorRank>scalar</tensorRank> <description>JoinHolidays/JoinBusinessDays</description> </Parameter> <Parameter name='calendars' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>vector</tensorRank> <description>list of two, three or four calendars to join</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> --- NEW FILE: simpleswap.xml --- <Category name='simpleswap'> <description>construct and return a handle to a vanilla swap object</description> <displayName>Vanilla Swap</displayName> <Functions> <Constructor name='qlVanillaSwap'> <libraryFunction>VanillaSwap</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='StartDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>start date</description> </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity date</description> </Parameter> <Parameter name='Nominal'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Notional Amount</description> </Parameter> <Parameter name='PayFixed'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>pay or receive the fixed rate</description> </Parameter> <Parameter name='FixRate'> <type>double</type> <tensorRank>scalar</tensorRank> <description>the fixed rate</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='FixFrq' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Fixed Leg Frequency</description> </Parameter> <Parameter name='FixBDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Fixed Leg Business Day Convention</description> </Parameter> <Parameter name='FixDayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>fixed leg day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='fixStartFromEnd'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>build fixed leg schedule backwards (start from maturity)</description> </Parameter> <Parameter name='fixLongFinal'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>fixed leg schedule long first/last period</description> </Parameter> <!--Parameter name='FltFrq'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Floating Leg Frequency</description> </Parameter--> <Parameter name='FloatdayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>floating day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='IndexHandle'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of the Index for the float leg</description> </Parameter> <Parameter name='fltStartFromEnd'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>build floating leg schedule backwards (start from maturity)</description> </Parameter> <Parameter name='fltLongFinal'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>floating leg schedule long first/last period</description> </Parameter> <Parameter name='FloatSpread'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Index Spread</description> </Parameter> <Parameter name='DiscountCurve'> <type>string</type> <tensorRank>scalar</tensorRank> <description>handle of the Yield Curve used for discounting</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Member name='qlSwapFairRate' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairRate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the fair rate</description> </ReturnValue> </Member> <Member name='qlSwapFairSpread' libraryClass='VanillaSwap'> <description>the fair rate of a swap</description> <libraryFunction>fairSpread</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the fair spread</description> </ReturnValue> </Member> <Member name='qlSwapGetFixLeg' objectClass='VanillaSwap'> <description>The Fixed Leg Details</description> <libraryFunction>getFixLeg</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>matrix</tensorRank> <description>The Fixed Leg Details</description> </ReturnValue> </Member> <Member name='qlSwapFixedLegBPS' libraryClass='VanillaSwap'> <description>the BPS of the fixed leg</description> <libraryFunction>fixedLegBPS</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='trigger' ignore='true'> <type>any</type> <tensorRank>scalar</tensorRank> <description>dep tracking trigger</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <descri... 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