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From: Katiuscia M. <kma...@us...> - 2006-06-13 16:52:56
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3974/gensrc/metadata Modified Files: forwardrateagreement.xml Log Message: added third FRA constructor using Index Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** forwardrateagreement.xml 13 Jun 2006 08:46:40 -0000 1.3 --- forwardrateagreement.xml 13 Jun 2006 16:52:35 -0000 1.4 *************** *** 73,76 **** --- 73,125 ---- </Constructor> + <Constructor name='qlFRA2'> + <libraryFunction>ForwardRateAgreement</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='valueDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>value date</description> + </Parameter> + <Parameter name='maturityDate' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>maturity date</description> + </Parameter> + <Parameter name='position' enumeration='QuantLib::Position::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>instrument position (Long for a purchase, Short for a sale)</description> + </Parameter> + <Parameter name='strike'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>strike rate</description> + </Parameter> + <Parameter name='notional'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Notional Amount</description> + </Parameter> + <Parameter name="indexID" libraryClass='Xibor'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>underlying index</description> + </Parameter> + <Parameter name='discountCurve' libraryClass='YieldTermStructure'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>handle to discounting term structure</description> + </Parameter> + <Parameter name='compounding' enumeration='QuantLib::Compounding'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt})</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Member name='qlFRAforwardRate' libraryClass='ForwardRateAgreement'> <description>Returns the relevant forward rate associated with the FRA term.</description> *************** *** 87,90 **** --- 136,167 ---- </Member> + <Member name='qlFRAforwardValue' libraryClass='ForwardRateAgreement'> + <description>Returns the forward value of the FRA.</description> + <libraryFunction>forwardValue</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Returns the forward value of the FRA.</description> + </ReturnValue> + </Member> + + <Member name='qlFRAspotValue' libraryClass='ForwardRateAgreement'> + <description>Returns the spot value of the FRA.</description> + <libraryFunction>spotValue</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>Returns the spot value of the FRA.</description> + </ReturnValue> + </Member> + </Functions> </Category> |
