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From: Ferdinando A. <na...@us...> - 2006-06-15 20:23:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17035/gensrc/metadata Modified Files: termstructures.xml Added Files: ratehelpers.xml Log Message: ratehelpes in their own files Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** termstructures.xml 15 Jun 2006 19:01:39 -0000 1.8 --- termstructures.xml 15 Jun 2006 20:23:55 -0000 1.9 *************** *** 5,235 **** <include>qlo/termstructures.hpp</include> <include>qlo/vo_termstructures.hpp</include> - <include>qlo/xibor.hpp</include> </includes> <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='period' libraryType='QuantLib::Period'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>deposit legth (e.g. 3M for three months)</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='period' libraryType='QuantLib::Period'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>deposit legth (e.g. 5Y for five years)</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="indexID" libraryClass='Xibor'> - <type>string</type> - <tensorRank>scalar</tensorRank> - <description>floating leg index</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 libraryType='QuantLib::Date'> - <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 libraryType='QuantLib::Date'> - <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</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> --- 5,11 ---- --- NEW FILE: ratehelpers.xml --- <Category name='ratehelpers'> <description>functions to construct QuantLib RateHelper objects</description> <displayName>RateHelper</displayName> <includes> <include>qlo/ratehelpers.hpp</include> <include>qlo/vo_ratehelpers.hpp</include> <include>qlo/xibor.hpp</include> </includes> <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='period' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> <description>deposit legth (e.g. 3M for three months)</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='period' libraryType='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> <description>deposit legth (e.g. 5Y for five years)</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="indexID" libraryClass='Xibor'> <type>string</type> <tensorRank>scalar</tensorRank> <description>floating leg index</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 libraryType='QuantLib::Date'> <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 libraryType='QuantLib::Date'> <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</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> </Functions> </Category> |
