[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata capletvolstructure.xml, NONE, 1.1

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13701/gensrc/metadata

Added Files:
	capletvolstructure.xml 
Log Message:
1) exported capletvolstructure
2) refactored cap floor

--- NEW FILE: capletvolstructure.xml ---

<Category name='capletvolstructure'>
  <description>functions to construct QuantLib Caplet Volatility Term Structure objects</description>
  <displayName>Swaption Volatility Term Structures</displayName>
  <includes>
    <include>qlo/capletvolstructure.hpp</include>
    <include>qlo/vo_capletvolstructure.hpp</include>
    <include>ql/Volatilities/capletconstantvol.hpp</include>
    </includes>
  <copyright>
    Copyright (C) 2006 Ferdinando Ametrano
  </copyright>
  <Functions>

    <!-- CapletVolatilityStructure interface-->
    
    <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strike'>
      <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</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='strike'>
            <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='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'>
      <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='qlCapletVTSMaxStrike' libraryClass='CapletVolatilityStructure'>
      <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>

    <!-- Handle<CapletVolatilityStructure> -->

    <Constructor name='qlHandleCapletVolatilityStructuree'>
      <libraryFunction>Handle&lt;QuantLib::CapletVolatilityStructure&gt;</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure' default='""'>
            <type>string</type>
            <tensorRank>scalar</tensorRank>
            <description>ID of the CapletVolatilityStructure object</description>
          </Parameter>
        </Parameters>
      </ParameterList>
    </Constructor>

    <Member name='qlHandleCapletVolatilityStructureLinkTo' objectClass='Handle&lt;QuantLib::CapletVolatilityStructure&gt;'>
      <libraryFunction>linkTo</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <description>relink handle</description>
      <ParameterList>
        <Parameters>
          <Parameter name='capletVolID' libraryClass='CapletVolatilityStructure'>
            <type>string</type>
            <tensorRank>scalar</tensorRank>
            <description>ID of the CapletVolatilityStructure object</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>void</type>
        <tensorRank>scalar</tensorRank>
        <description>success/failure</description>
      </ReturnValue>
    </Member>


    <!-- CapletVolatilityStructure constructors -->

    <Constructor name='qlCapletVTSConstant'>
      <libraryFunction>CapletConstantVolatility</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <platforms>EGO</platforms>
      <ParameterList>
        <Parameters>
          <Parameter name='nDays' default='0'>
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>number of days to advance from EvaluationDate (usually zero or two): it fixes the date from which expiry time is calculated</description>
          </Parameter>
          <Parameter name='calendar' enumeration='QuantLib::Calendar'>
            <type>string</type>
            <tensorRank>scalar</tensorRank>
            <description>holiday calendar (e.g. TARGET) to advance from global EvaluationDate</description>
          </Parameter>
          <Parameter name='volatility'>
            <type>double</type>
            <tensorRank>scalar</tensorRank>
            <description>swaption constant volatilities </description>
          </Parameter>
          <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
            <type>string</type>
            <tensorRank>scalar</tensorRank>
            <description>day counter (e.g. Actual/360)</description>
          </Parameter>
          <Parameter name='trigger' ignore='true'>
            <type>any</type>
            <tensorRank>scalar</tensorRank>
            <description>dependency tracking trigger</description>
          </Parameter>
        </Parameters>
      </ParameterList>
    </Constructor>


  </Functions>
</Category>