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From: Ferdinando A. <na...@us...> - 2006-06-26 21:31:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv11101/gensrc/metadata Modified Files: bonds.xml capfloor.xml pricingengines.xml processes.xml ratehelpers.xml swap.xml swaption.xml swaptionvolstructure.xml termstructures.xml vanillaswap.xml volatilities.xml Log Message: cap floor refactored Index: vanillaswap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/vanillaswap.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** vanillaswap.xml 19 Jun 2006 08:10:01 -0000 1.5 --- vanillaswap.xml 26 Jun 2006 21:31:03 -0000 1.6 *************** *** 2,5 **** --- 2,10 ---- <description>functions to construct and use QuantLib::VanillaSwap objects</description> <displayName>Vanilla Swap</displayName> + <includes> + <include>qlo/vanillaswap.hpp</include> + <include>qlo/vo_vanillaswap.hpp</include> + <include>qlo/termstructures.hpp</include> + </includes> <copyright> Copyright (C) 2005, 2006 Eric Ehlers *************** *** 57,61 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='fixStartFromEnd'> --- 62,66 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>fixed leg day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='fixStartFromEnd'> *************** *** 77,81 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='IndexID' libraryClass='Xibor'> --- 82,86 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>floating day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='IndexID' libraryClass='Xibor'> Index: swap.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swap.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** swap.xml 19 Jun 2006 08:10:01 -0000 1.9 --- swap.xml 26 Jun 2006 21:31:03 -0000 1.10 *************** *** 2,5 **** --- 2,10 ---- <description>functions to construct and use QuantLib::Swap objects</description> <displayName>Swap</displayName> + <includes> + <include>qlo/swap.hpp</include> + <include>qlo/vo_swap.hpp</include> + <include>qlo/termstructures.hpp</include> + </includes> <copyright> Copyright (C) 2005 Eric Ehlers Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** ratehelpers.xml 22 Jun 2006 18:37:04 -0000 1.9 --- ratehelpers.xml 26 Jun 2006 21:31:03 -0000 1.10 *************** *** 128,132 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 128,132 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 172,176 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name="indexID" libraryClass='Xibor'> --- 172,176 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name="indexID" libraryClass='Xibor'> *************** *** 256,260 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='convexityAdj' default='0'> --- 256,260 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='convexityAdj' default='0'> Index: swaption.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaption.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** swaption.xml 23 Jun 2006 18:29:08 -0000 1.4 --- swaption.xml 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 3,11 **** <displayName>Swaption</displayName> <includes> - <include>qlo/pricingengines.hpp</include> <include>qlo/swaption.hpp</include> - <include>qlo/exercise.hpp</include> - <include>qlo/vanillaswap.hpp</include> <include>qlo/vo_swaption.hpp</include> </includes> <copyright> --- 3,12 ---- <displayName>Swaption</displayName> <includes> <include>qlo/swaption.hpp</include> <include>qlo/vo_swaption.hpp</include> + <include>qlo/vanillaswap.hpp</include> + <include>qlo/termstructures.hpp</include> + <include>qlo/pricingengines.hpp</include> + <include>qlo/exercise.hpp</include> </includes> <copyright> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** processes.xml 19 Jun 2006 08:10:01 -0000 1.4 --- processes.xml 26 Jun 2006 21:31:03 -0000 1.5 *************** *** 25,29 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='settlementDate' libraryType='QuantLib::Date'> --- 25,29 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='settlementDate' libraryType='QuantLib::Date'> Index: pricingengines.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/pricingengines.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** pricingengines.xml 22 Jun 2006 16:58:03 -0000 1.5 --- pricingengines.xml 26 Jun 2006 21:31:02 -0000 1.6 *************** *** 3,10 **** <displayName>Pricing Engines</displayName> <includes> - <include>qlo/termstructures.hpp</include> <include>qlo/pricingengines.hpp</include> - <include>qlo/swaptionvolstructure.hpp</include> <include>qlo/vo_pricingengines.hpp</include> </includes> <copyright> --- 3,12 ---- <displayName>Pricing Engines</displayName> <includes> <include>qlo/pricingengines.hpp</include> <include>qlo/vo_pricingengines.hpp</include> + <include>qlo/termstructures.hpp</include> + <include>qlo/swaptionvolstructure.hpp</include> + <include>qlo/capletvolstructure.hpp</include> + <include>qlo/shortratemodels.hpp</include> </includes> <copyright> *************** *** 32,35 **** --- 34,51 ---- <ParameterList> <Parameters> + <Parameter name='vol' libraryClass='CapletVolatilityStructure' ql_handle='true'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>CapletVolatilityStructure</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Constructor name='qlBlackCapFloorEngine2'> + <libraryFunction>BlackCapFloorEngine</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> <Parameter name='vol'> <type>double</type> *************** *** 41,44 **** --- 57,74 ---- </Constructor> + <Constructor name='qlAnalyticCapFloorEngine'> + <libraryFunction>AnalyticCapFloorEngine</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters> + <Parameter name='handleModel' libraryClass='AffineModel'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>affine model (providing a discount bond option pricing formula)</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + </Functions> </Category> Index: bonds.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/bonds.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** bonds.xml 19 Jun 2006 08:29:23 -0000 1.9 --- bonds.xml 26 Jun 2006 21:31:02 -0000 1.10 *************** *** 254,258 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> --- 254,258 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='calendar' enumeration='QuantLib::Calendar'> *************** *** 323,327 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='accrualBDC' enumeration='QuantLib::BusinessDayConvention'> --- 323,327 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='accrualBDC' enumeration='QuantLib::BusinessDayConvention'> *************** *** 417,421 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='accrualBDC' enumeration='QuantLib::BusinessDayConvention'> --- 417,421 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='accrualBDC' enumeration='QuantLib::BusinessDayConvention'> Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** volatilities.xml 20 Jun 2006 09:18:11 -0000 1.3 --- volatilities.xml 26 Jun 2006 21:31:03 -0000 1.4 *************** *** 25,29 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 25,29 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 59,63 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 59,63 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> Index: termstructures.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/termstructures.xml,v retrieving revision 1.14 retrieving revision 1.15 diff -C2 -d -r1.14 -r1.15 *** termstructures.xml 22 Jun 2006 10:17:05 -0000 1.14 --- termstructures.xml 26 Jun 2006 21:31:03 -0000 1.15 *************** *** 334,338 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 334,338 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> *************** *** 363,367 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 363,367 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 387,391 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 387,391 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> *************** *** 411,415 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> </Parameters> --- 411,415 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> </Parameters> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.15 retrieving revision 1.16 diff -C2 -d -r1.15 -r1.16 *** swaptionvolstructure.xml 23 Jun 2006 17:53:29 -0000 1.15 --- swaptionvolstructure.xml 26 Jun 2006 21:31:03 -0000 1.16 *************** *** 176,180 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 176,180 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> *************** *** 221,225 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 221,225 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> *************** *** 256,260 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual365Fixed)</description> </Parameter> <Parameter name='trigger' ignore='true'> --- 256,260 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>day counter (e.g. Actual/360)</description> </Parameter> <Parameter name='trigger' ignore='true'> Index: capfloor.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capfloor.xml,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** capfloor.xml 19 Jun 2006 08:10:00 -0000 1.4 --- capfloor.xml 26 Jun 2006 21:31:02 -0000 1.5 *************** *** 2,23 **** <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> <copyright> Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> ! <Constructor name='qlAnalyticCapFloorEngine'> ! <libraryFunction>AnalyticCapFloorEngine</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='handleModel' libraryClass='AffineModel'> ! <type>string</type> <tensorRank>scalar</tensorRank> ! <description>affine model (providing a discount bond option pricing formula)</description> </Parameter> </Parameters> </ParameterList> ! </Constructor> <Constructor name='qlCapFloor'> --- 2,78 ---- <description>functions to construct QuantLib cap/floor objects</description> <displayName>Caps/Floors</displayName> + <includes> + <include>qlo/capfloor.hpp</include> + <include>qlo/vo_capfloor.hpp</include> + <include>qlo/termstructures.hpp</include> + <include>qlo/pricingengines.hpp</include> + </includes> <copyright> + Copyright (C) 2006 Ferdinando Ametrano Copyright (C) 2005 Aurelien Chanudet </copyright> <Functions> ! <!--Member name='qlCapFloorType' libraryClass='CapFloor'> ! <description>CapFloortype (e.g. Cap, Floor, Collar)</description> ! <libraryFunction>type</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue enumeration='QuantLib::CapFloor::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description></description> ! </ReturnValue> ! </Member--> ! ! <Member name='qlCapFloorCapRates' libraryClass='CapFloor'> ! <description>cap rates</description> ! <libraryFunction>capRates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description></description> ! </ReturnValue> ! </Member> ! ! <Member name='qlCapFloorFloorRates' libraryClass='CapFloor'> ! <description>floor rates</description> ! <libraryFunction>floorRates</libraryFunction> ! <functionCategory>QuantLib</functionCategory> ! <ParameterList> ! <Parameters/> ! </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description></description> ! </ReturnValue> ! </Member> ! ! <Member name='qlCapFloorImpliedVolatility' libraryClass='CapFloor'> ! <description>implied volatility</description> ! <libraryFunction>impliedVolatility</libraryFunction> <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> ! <Parameter name='price'> ! <type>double</type> <tensorRank>scalar</tensorRank> ! <description>Price used to infer the implied volatility</description> </Parameter> </Parameters> </ParameterList> ! <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description></description> ! </ReturnValue> ! </Member> <Constructor name='qlCapFloor'> *************** *** 26,38 **** <ParameterList> <Parameters> ! <Parameter name='couponVectorID'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>coupon vector</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> <Parameter name='capStrikes'> --- 81,93 ---- <ParameterList> <Parameters> ! <Parameter name='optionType' enumeration='QuantLib::CapFloor::Type'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>option type (cap, floor or collar)</description> </Parameter> ! <Parameter name='couponVectorID' objectClass='CouponVector'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>coupon vector</description> </Parameter> <Parameter name='capStrikes'> *************** *** 46,58 **** <description>floor strikes</description> </Parameter> ! <Parameter name='handleEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>handle to pricing engine</description> </Parameter> ! <Parameter name='optionType' enumeration='QuantLib::CapFloor::Type'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>option type (cap, floor or collar)</description> </Parameter> </Parameters> --- 101,113 ---- <description>floor strikes</description> </Parameter> ! <Parameter name='termStructureID' libraryClass='YieldTermStructure' ql_handle='true'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>discounting term structure</description> </Parameter> ! <Parameter name='capFloorEngineID' libraryClass='BlackCapFloorEngine'> <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Black cap floor pricing engine</description> </Parameter> </Parameters> *************** *** 60,63 **** --- 115,133 ---- </Constructor> + <Member name='qlCapFloorLegAnalysis' objectClass='CapFloor'> + <description>The cap/floor cash flow analysis</description> + <libraryFunction>legAnalysis</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description></description> + </ReturnValue> + </Member> + + </Functions> </Category> |
