[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata ratehelpers.xml, 1.2, 1.3
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata ratehelpers.xml, 1.2, 1.3
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From: Ferdinando A. <na...@us...> - 2006-06-18 12:55:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12234/gensrc/metadata Modified Files: ratehelpers.xml Log Message: Futures convexity adjustment added Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** ratehelpers.xml 17 Jun 2006 23:48:02 -0000 1.2 --- ratehelpers.xml 18 Jun 2006 12:55:34 -0000 1.3 *************** *** 49,52 **** --- 49,72 ---- </Member> + <Member name='qlReferenceQuote' libraryClass='RateHelper'> + <description>retrieve a RateHelper's reference quote</description> + <libraryFunction>referenceQuote</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='trigger' ignore='true'> + <type>any</type> + <tensorRank>scalar</tensorRank> + <description>dependency tracking trigger</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>reference quote</description> + </ReturnValue> + </Member> + <Member name='qlSetQuote' objectClass='RateHelper'> <description>update quote of existing Rate Helper object</description> *************** *** 65,69 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>diff new quote - old quote</description> </ReturnValue> </Member> --- 85,89 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the difference vetween the new quote and the old quote</description> </ReturnValue> </Member> *************** *** 108,150 **** </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> --- 128,131 ---- *************** *** 196,202 **** </Constructor> ! <Member name='qlReferenceQuote' libraryClass='RateHelper'> ! <description>retrieve a RateHelper's reference quote</description> ! <libraryFunction>referenceQuote</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> --- 177,183 ---- </Constructor> ! <Member name='qlConvexityAdjustment' libraryClass='FuturesRateHelper'> ! <description>get convexity adjustment of existing FuturesRateHelper object</description> ! <libraryFunction>convexityAdjustment</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> *************** *** 212,219 **** <type>double</type> <tensorRank>scalar</tensorRank> ! <description>reference quote</description> </ReturnValue> </Member> <Procedure name='qlRateHelperSelection'> <description>select rate helpers for bootstrapping</description> --- 193,264 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the convexity adjustment of the FuturesRateHelper object</description> </ReturnValue> </Member> + <Member name='qlSetConvexityAdjustment' objectClass='FuturesRateHelper'> + <description>update convexity adjustment of existing FuturesRateHelper object</description> + <libraryFunction>setConvexityAdjustment</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='convAdj'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the new convexity adjustment</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the difference vetween the new convexity adjustment and the old convexity adjustment</description> + </ReturnValue> + </Member> + + <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> + <Parameter name='convexityAdj' default='0'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>convexity adjustment (i.e. Forward rate = Futures rate - convexity adjustment)</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + <Procedure name='qlRateHelperSelection'> <description>select rate helpers for bootstrapping</description> |
