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From: Ferdinando A. <na...@us...> - 2006-06-23 17:53:32
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15771/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: more constructors added to SwaptionVolMatrix. WARNING: The volatility matrix must have: a) increasing exercise dates or periods from top to bottom b) increasing lenghts from left to right Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** swaptionvolstructure.xml 23 Jun 2006 10:34:30 -0000 1.14 --- swaptionvolstructure.xml 23 Jun 2006 17:53:29 -0000 1.15 *************** *** 15,18 **** --- 15,20 ---- <Functions> + <!-- SwaptionVolatilityStructure interface--> + <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> *************** *** 116,119 **** --- 118,122 ---- </Member> + <!-- Handle<SwaptionVolatilityStructure> --> <Constructor name='qlHandleSwaptionVolatilityStructure'> *************** *** 152,156 **** ! <Constructor name='qlSwaptionVTSConstant'> --- 155,159 ---- ! <!-- SwaptionVolatilityStructure constructors --> <Constructor name='qlSwaptionVTSConstant'> *************** *** 190,198 **** <ParameterList> <Parameters> ! <Parameter name='referenceDate' libraryType='QuantLib::Date'> ! <type>long</type> <tensorRank>scalar</tensorRank> ! <description>reference date</description> </Parameter> <Parameter name='exerciseDates' libraryType='QuantLib::Date'> <type>long</type> --- 193,241 ---- <ParameterList> <Parameters> ! <Parameter name='expiries' libraryType='QuantLib::Period'> ! <type>string</type> ! <tensorRank>vector</tensorRank> ! <description>swaption expiries as periods</description> ! </Parameter> ! <Parameter name='calendar' enumeration='QuantLib::Calendar'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>holiday calendar (e.g. TARGET) used for calculating the exercise dates from the expiries</description> ! </Parameter> ! <Parameter name='BusinessDayConvention' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Business day convention used for calculating the exercise dates from the expiries</description> </Parameter> + <Parameter name='swapLengths' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>underlying swap lengths</description> + </Parameter> + <Parameter name='volatilities' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>swaption volatilities</description> + </Parameter> + <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter (e.g. Actual365Fixed)</description> + </Parameter> + <Parameter name='trigger' ignore='true'> + <type>any</type> + <tensorRank>scalar</tensorRank> + <description>dependency tracking trigger</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Constructor name='qlSwaptionVTSMatrix2'> + <libraryFunction>SwaptionVolatilityMatrix</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EGO</platforms> + <ParameterList> + <Parameters> <Parameter name='exerciseDates' libraryType='QuantLib::Date'> <type>long</type> *************** *** 224,227 **** --- 267,272 ---- </Constructor> + <!-- SwaptionVolatilityMatrix interface --> + <Member name='qlSwaptionVTSMatrixDayCounter' libraryClass='SwaptionVolatilityMatrix'> <description>Returns the underlying swap day counter.</description> |
