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From: Katiuscia M. <kma...@us...> - 2006-06-19 19:28:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv6681/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: partial restoring of SwaptionVolStructure interface Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** swaptionvolstructure.xml 19 Jun 2006 17:08:21 -0000 1.6 --- swaptionvolstructure.xml 19 Jun 2006 19:28:04 -0000 1.7 *************** *** 1,11 **** <Category name='swaptionvolstructure'> ! <description>functions to construct QuantLib Swaption Volatility Term Structure objects</description> ! <displayName>Swaption Volatility Term Structures</displayName> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Silvia Frasson ! </copyright> ! <Functions> <Constructor name='qlSwaptionVTSMatrix'> --- 1,113 ---- + <Category name='swaptionvolstructure'> ! <description>functions to construct QuantLib Swaption Volatility Term Structure objects</description> ! <displayName>Swaption Volatility Term Structures</displayName> ! <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Silvia Frasson ! </copyright> ! <Functions> ! ! ! <Member name='qlSwaptionVTSVolatility' libraryClass='SwaptionVolatilityStructure' loopParameter='strike'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> ! <libraryFunction>volatility</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>swaption expiry date</description> ! </Parameter> ! <Parameter name='swapLength' enumeration='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Underlying swap length as period (e.g. 5Y)</description> ! </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>swaption strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</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>vector</tensorRank> ! <description>vector of volatilities</description> ! </ReturnValue> ! </Member> + <Member name='qlSwaptionVTSMaxExpiry' libraryClass='SwaptionVolatilityStructure'> + <description>Returns the latest start date for which the term structure can return vols.</description> + <libraryFunction>maxStartDate</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EO</platforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>max swaption expiry date</description> + </ReturnValue> + </Member> + + <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> + <description>Returns the largest length for which the term structure can return vols.</description> + <libraryFunction>maxLength</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EO</platforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>max underlying swap length as period</description> + </ReturnValue> + </Member> + + <Member name='qlSwaptionVTSMinStrike' libraryClass='SwaptionVolatilityStructure'> + <description>Returns the minimum strike for which the term structure can return vols.</description> + <libraryFunction>minStrike</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EO</platforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>minimum strike</description> + </ReturnValue> + </Member> + + <Member name='qlSwaptionVTSMaxStrike' libraryClass='SwaptionVolatilityStructure'> + <description>Returns the maximum strike for which the term structure can return vols.</description> + <libraryFunction>maxStrike</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EO</platforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>maximum strike</description> + </ReturnValue> + </Member> <Constructor name='qlSwaptionVTSMatrix'> *************** *** 48,199 **** </ParameterList> </Constructor> ! <!-- ! <Member name='qlSwaptionVTSVolatility' libraryClass='SwaptionVolatilityStructure' loopParameter='strike'> ! <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date and underlying swap length.</description> ! <libraryFunction>volatility</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters> ! <Parameter name='expiry' libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>swaption expiry date</description> ! </Parameter> ! <Parameter name='swapLength' enumeration='QuantLib::Period'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Underlying swap length as period (e.g. 5Y)</description> ! </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>swaption strike vector</description> ! </Parameter> ! <Parameter name='allowExtrapolation'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>Extrapolation Flag (TRUE allows extrapolation)</description> ! </Parameter> ! <Parameter name='trigger' ignore='true'> ! <type>any</type> ! <tensorRank>scalar</tensorRank> ! <description>dependency tracking trigger</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Volatility'> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! <description>vector of volatilities</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMaxExpiry' libraryClass='SwaptionVolatilityStructure'> ! <description>Returns the latest start date for which the term structure can return vols.</description> ! <libraryFunction>maxStartDate</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>max swaption expiry date</description> ! </ReturnValue> ! </Member> ! <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> ! <description>Returns the largest length for which the term structure can return vols.</description> ! <libraryFunction>maxLength</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>max underlying swap length as period</description> ! </ReturnValue> ! </Member> ! <Member name='qlSwaptionVTSMinStrike' libraryClass='SwaptionVolatilityStructure'> ! <description>Returns the minimum strike for which the term structure can return vols.</description> ! <libraryFunction>minStrike</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>minimum strike</description> ! </ReturnValue> ! </Member> - <Member name='qlSwaptionVTSMaxStrike' libraryClass='SwaptionVolatilityStructure'> - <description>Returns the maximum strike for which the term structure can return vols.</description> - <libraryFunction>maxStrike</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <platforms>EO</platforms> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>maximum strike</description> - </ReturnValue> - </Member> ! <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the underlying swap day counter.</description> ! <libraryFunction>dayCounter</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>exerciseDates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>swaption exercise dates </description> ! </ReturnValue> ! </Member> ! ! <Member name='qlSwaptionVTSMatrixSwapLengths' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of underlying swap lengths.</description> ! <libraryFunction>lengths</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>underlying swap lengths</description> ! </ReturnValue> ! </Member> ! --> ! </Functions> </Category> - --- 150,200 ---- </ParameterList> </Constructor> ! ! <!--Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the underlying swap day counter.</description> ! <libraryFunction>dayCounter</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </ReturnValue> ! </Member--> ! <Member name='qlSwaptionVTSMatrixExerciseDates' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of swaption exercise dates.</description> ! <libraryFunction>exerciseDates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Date'> ! <type>long</type> ! <tensorRank>vector</tensorRank> ! <description>swaption exercise dates</description> ! </ReturnValue> ! </Member> ! <!--Member name='qlSwaptionVTSMatrixSwapLengths' libraryClass='SwaptionVolatilityMatrix'> ! <description>Returns the vector of underlying swap lengths.</description> ! <libraryFunction>lengths</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <platforms>EO</platforms> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>underlying swap lengths</description> ! </ReturnValue> ! </Member--> ! </Functions> </Category> |
