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From: Ferdinando A. <na...@us...> - 2006-06-14 18:34:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23737/gensrc/metadata Modified Files: instruments.xml swap.xml Added Files: bonds.xml Log Message: Bond refactoring Index: instruments.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/instruments.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** instruments.xml 13 Jun 2006 10:39:38 -0000 1.5 --- instruments.xml 14 Jun 2006 18:34:31 -0000 1.6 *************** *** 2,323 **** <description>functions to construct QuantLib instrument objects</description> <displayName>Instruments</displayName> - <includes> - <include>ql/Instruments/fixedcouponbond.hpp</include> - <include>qlo/vo_instruments.hpp</include> - <include>qlo/fixedcouponbond.hpp</include> - <include>qlo/zerocouponbond.hpp</include> - <include>qlo/termstructures.hpp</include> - </includes> <Functions> - <Member name='qlBondAccruedAmount' libraryClass='FixedCouponBond'> - <description>Accrued: If no settlement is given the default bond settlement is used for calculation.</description> - <libraryFunction>accruedAmount</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='settlementDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the accrual</description> - </ReturnValue> - </Member> - - <Member name='qlBondCleanPrice' libraryClass='FixedCouponBond'> - <description>If no settlement is given the default bond settlement is used for calculation.</description> - <libraryFunction>cleanPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='yield'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>bond yield</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> - <Parameter name='settlementDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the clean price</description> - </ReturnValue> - </Member> - - <Member name='qlBondDirtyPrice' libraryClass='FixedCouponBond'> - <description>dirty price: If no settlement is given the default bond settlement is used for calculation.</description> - <libraryFunction>dirtyPrice</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='yield'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>bond yield</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> - <Parameter name='settlementDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the dirty price</description> - </ReturnValue> - </Member> - - <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> - <description>theoretical clean price: The default bond settlement is used for calculation.</description> - <libraryFunction>cleanPrice</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 theoretical clean price</description> - </ReturnValue> - </Member> - - <Member name='qlBondThDirtyPrice' libraryClass='FixedCouponBond'> - <description>theoretical dirty price: The default bond settlement is used for calculation.</description> - <libraryFunction>dirtyPrice</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 theoretical dirty price</description> - </ReturnValue> - </Member> - - <Member name='qlBondThYield' libraryClass='FixedCouponBond'> - <description>theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> - <libraryFunction>yield</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <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> - <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 theoretical yield</description> - </ReturnValue> - </Member> - - <Member name='qlBondYield' libraryClass='FixedCouponBond'> - <description>Yield: If no settlement is given the default bond settlement is used for calculation.</description> - <libraryFunction>yield</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='cleanPrice'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>Clean Price</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> - <Parameter name='settlementDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement date</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the dirty price</description> - </ReturnValue> - </Member> - - <Constructor name='qlFixedCouponBond'> - <libraryFunction>FixedCouponBond</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='issueDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>issue date</description> - </Parameter> - <Parameter name='firstCouponDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>first coupon date</description> - </Parameter> - <Parameter name='maturityDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>maturity date</description> - </Parameter> - <Parameter name='settlementDays'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement days</description> - </Parameter> - <Parameter name='coupons'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>coupons</description> - </Parameter> - <Parameter name='nominal'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>nominals</description> - </Parameter> - <Parameter name='Redemption'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>Redemption</description> - </Parameter> - <Parameter name='frequency' enumeration='QuantLib::Frequency'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>frequency ID</description> - </Parameter> - <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual365Fixed)</description> - </Parameter> - <Parameter name='accrualBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Accrual Business Day Convention (e.g. ModifiedFollowing)</description> - </Parameter> - <Parameter name='paymentBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>Payment Business Day Convention (e.g. ModifiedFollowing)</description> - </Parameter> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET)</description> - </Parameter> - <Parameter name='startFromEnd'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>build schedule backwards (start from maturity)</description> - </Parameter> - <Parameter name='longFinal'> - <type>bool</type> - <tensorRank>scalar</tensorRank> - <description>long first/last period</description> - </Parameter> - <Parameter name='DiscountCurve' default='""'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>handle of the Yield Curve used for discounting</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - - <Constructor name='qlZeroCouponBond'> - <libraryFunction>ZeroCouponBond</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters> - <Parameter name='issueDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>issue date</description> - </Parameter> - <Parameter name='maturityDate' libraryType='QuantLib::Date'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>maturity date</description> - </Parameter> - <Parameter name='settlementDays'> - <type>long</type> - <tensorRank>scalar</tensorRank> - <description>settlement days</description> - </Parameter> - <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>day counter (e.g. Actual365Fixed)</description> - </Parameter> - <Parameter name='calendar' enumeration='QuantLib::Calendar'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>holiday calendar (e.g. TARGET)</description> - </Parameter> - <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>BusinessDayConvention</description> - </Parameter> - <Parameter name='redemption'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>redemption</description> - </Parameter> - <Parameter name='handleZeroCurve' libraryClass='YieldTermStructure'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>handle of the Zero Curve object</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - <Member name='qlNPV' libraryClass='Instrument'> <description>Returns Instrument's NPV</description> --- 2,8 ---- --- NEW FILE: bonds.xml --- <Category name='bonds'> <description>functions to construct QuantLib instrument objects</description> <displayName>Bonds</displayName> <includes> <include>ql/Instruments/fixedcouponbond.hpp</include> <include>ql/Instruments/zerocouponbond.hpp</include> <include>ql/Instruments/floatingratebond.hpp</include> <include>qlo/vo_bonds.hpp</include> <include>qlo/bonds.hpp</include> <include>qlo/termstructures.hpp</include> </includes> <Functions> <Member name='qlBondSettlementDate' libraryClass='Bond'> <description>Returns the settlement date of the bond.</description> <libraryFunction>settlementDate</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> </ParameterList> <ReturnValue libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>The settlement date of the bond</description> </ReturnValue> </Member> <Member name='qlBondCleanPrice' libraryClass='Bond'> <description>If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='yield'> <type>double</type> <tensorRank>scalar</tensorRank> <description>bond yield</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> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the clean price</description> </ReturnValue> </Member> <Member name='qlBondDirtyPrice' libraryClass='Bond'> <description>dirty price: If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='yield'> <type>double</type> <tensorRank>scalar</tensorRank> <description>bond yield</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> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the dirty price</description> </ReturnValue> </Member> <Member name='qlBondThDirtyPrice' libraryClass='Bond'> <description>theoretical dirty price: The default bond settlement is used for calculation.</description> <libraryFunction>dirtyPrice</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 theoretical dirty price</description> </ReturnValue> </Member> <Member name='qlBondYield' libraryClass='Bond'> <description>Yield: If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>yield</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='cleanPrice'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Clean Price</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> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the dirty price</description> </ReturnValue> </Member> <Member name='qlBondAccruedAmount' libraryClass='Bond'> <description>Accrued: If no settlement is given the default bond settlement is used for calculation.</description> <libraryFunction>accruedAmount</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='settlementDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement date</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> <description>the accrual</description> </ReturnValue> </Member> <Member name='qlBondThCleanPrice' libraryClass='FixedCouponBond'> <description>theoretical clean price: The default bond settlement is used for calculation.</description> <libraryFunction>cleanPrice</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 theoretical clean price</description> </ReturnValue> </Member> <Member name='qlBondThYield' libraryClass='FixedCouponBond'> <description>theoretical bond yield: The default bond settlement and theoretical price are used for calculation.</description> <libraryFunction>yield</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <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> <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 theoretical yield</description> </ReturnValue> </Member> <Constructor name='qlFixedCouponBond'> <libraryFunction>FixedCouponBond</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>issue date</description> </Parameter> <Parameter name='firstCouponDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>first coupon date</description> </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity date</description> </Parameter> <Parameter name='settlementDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement days</description> </Parameter> <Parameter name='coupons'> <type>double</type> <tensorRank>vector</tensorRank> <description>coupons</description> </Parameter> <Parameter name='Redemption'> <type>double</type> <tensorRank>scalar</tensorRank> <description>Redemption</description> </Parameter> <Parameter name='frequency' enumeration='QuantLib::Frequency'> <type>string</type> <tensorRank>scalar</tensorRank> <description>frequency ID</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='accrualBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Accrual Business Day Convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='paymentBusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>Payment Business Day Convention (e.g. ModifiedFollowing)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='startFromEnd'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>build schedule backwards (start from maturity)</description> </Parameter> <Parameter name='longFinal'> <type>bool</type> <tensorRank>scalar</tensorRank> <description>long first/last period</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>discounting term structure</description> </Parameter> </Parameters> </ParameterList> </Constructor> <Constructor name='qlZeroCouponBond'> <libraryFunction>ZeroCouponBond</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='issueDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>issue date</description> </Parameter> <Parameter name='maturityDate' libraryType='QuantLib::Date'> <type>long</type> <tensorRank>scalar</tensorRank> <description>maturity date</description> </Parameter> <Parameter name='settlementDays'> <type>long</type> <tensorRank>scalar</tensorRank> <description>settlement days</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> <type>string</type> <tensorRank>scalar</tensorRank> <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> <type>string</type> <tensorRank>scalar</tensorRank> <description>holiday calendar (e.g. TARGET)</description> </Parameter> <Parameter name='businessDayConvention' enumeration='QuantLib::BusinessDayConvention'> <type>string</type> <tensorRank>scalar</tensorRank> <description>BusinessDayConvention</description> </Parameter> <Parameter name='redemption'> <type>double</type> <tensorRank>scalar</tensorRank> <description>redemption</description> </Parameter> <Parameter name='termStructureID' libraryClass='YieldTermStructure'> <type>string</type> <tensorRank>scalar</tensorRank> <description>discounting term structure</description> </Parameter> </Parameters> </ParameterList> </Constructor> </Functions> </Category> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** swap.xml 6 Jun 2006 19:53:15 -0000 1.5 --- swap.xml 14 Jun 2006 18:34:31 -0000 1.6 *************** *** 22,26 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to discounting term structure</description> </Parameter> </Parameters> --- 22,26 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> </Parameters> |
