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

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

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv18689/gensrc/metadata

Added Files:
	marketmodels.xml 
Log Message:
exporting MarketModels classes

--- NEW FILE: marketmodels.xml ---
<Category name='marketmodels'>
  <description>functions to construct QuantLib market Models objects</description>
  <displayName>MarketModels</displayName>
  <includes>
    <include>qlo/marketmodels.hpp</include>
    <include>qlo/vo_marketmodels.hpp</include>
  </includes>
  <copyright>
 Copyright (C) 2006 Ferdinando Ametrano
  </copyright>
  <Functions>


	<!-- PseudoRoot base class interface -->

    <Member name='qlPseudoRootInitialRates' libraryClass='PseudoRoot'>
      <description>initial rates for the PseudoRoot object</description>
      <libraryFunction>initialRates</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlPseudoRootDisplacements' libraryClass='PseudoRoot'>
      <description>rates' displacemets for the PseudoRoot object</description>
      <libraryFunction>displacements</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlPseudoRootNumberOfRates' libraryClass='PseudoRoot'>
      <description>number of rates for the PseudoRoot object</description>
      <libraryFunction>numberOfRates</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue>
        <type>long</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlPseudoRootNumberOfFactors' libraryClass='PseudoRoot'>
      <description>number of factors for the PseudoRoot object</description>
      <libraryFunction>numberOfFactors</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue>
        <type>long</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlPseudoRootPseudoRoot' libraryClass='PseudoRoot'>
      <description>Returns the pseudo root for the i-th step.</description>
      <libraryFunction>pseudoRoot</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name="index">
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>evolution step index</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Matrix'>
        <type>double</type>
        <tensorRank>matrix</tensorRank>
      </ReturnValue>
    </Member>

	<!-- PseudoRoot derived class constructors -->


    <!--Constructor name='qlExponentialCorrelation'>
      <libraryFunction>ExponentialCorrelation</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='LongTermCorr'>
            <type>double</type>
            <tensorRank>scalar</tensorRank>
            <description>Long term correlation L in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description>
          </Parameter>
          <Parameter name='beta'>
            <type>double</type>
            <tensorRank>scalar</tensorRank>
            <description>beta in rho=L+(1-L)*exp(-beta*abs(Ti-Tj))</description>
          </Parameter>
          <Parameter name='volatilities'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>volatilities</description>
          </Parameter>
          <Parameter name='rateTimes' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>rate fixing times</description>
          </Parameter>
          <Parameter name='evolutionTimes' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>evolution times in the simulation</description>
          </Parameter>
          <Parameter name='Factors'>
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>number of factors to be retained in the simulation</description>
          </Parameter>
          <Parameter name='initialRates' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>initial rates</description>
          </Parameter>
          <Parameter name='displacements' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>displacements</description>
          </Parameter>
        </Parameters>
      </ParameterList>
    </Constructor-->



	<!-- EvolutionDescription class interface and costructor -->

    <Member name='qlEvolutionDescriptionRatesTimes' libraryClass='EvolutionDescription'>
      <description>rates fixing times for the EvolutionDescription object</description>
      <libraryFunction>rateTimes</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlEvolutionDescriptionTaus' libraryClass='EvolutionDescription'>
      <description>taus for the EvolutionDescription object</description>
      <libraryFunction>taus</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlEvolutionDescriptionEvolutionTimes' libraryClass='EvolutionDescription'>
      <description>evolution times for the EvolutionDescription object</description>
      <libraryFunction>evolutionTimes</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>

    <!--Member name='qlEvolutionDescriptionNumeraires' libraryClass='EvolutionDescription'>
      <description>numeraires for the EvolutionDescription object</description>
      <libraryFunction>numeraires</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue>
        <type>long</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member-->

    <!--Member name='qlEvolutionDescriptionRelevanceRates' libraryClass='EvolutionDescription'-->

    <Member name='qlEvolutionDescriptionNumberOfRates' libraryClass='EvolutionDescription'>
      <description>number of rates for the EvolutionDescription object</description>
      <libraryFunction>numberOfRates</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue>
        <type>long</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlEvolutionDescriptionNumberOfSteps' libraryClass='EvolutionDescription'>
      <description>number of steps for the EvolutionDescription object</description>
      <libraryFunction>numberOfSteps</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue>
        <type>long</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member>

    <!--Constructor name='qlEvolutionDescription'>
      <libraryFunction>EvolutionDescription</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='rateTimes' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>rate fixing times</description>
          </Parameter>
          <Parameter name='evolutionTimes' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>evolution times in the simulation</description>
          </Parameter>
          <Parameter name='numeraires'>
            <type>long</type>
            <tensorRank>vector</tensorRank>
            <description>numeraires used in the simulation</description>
          </Parameter>
        </Parameters>
      </ParameterList>
    </Constructor-->

	
	<!-- CurveState class interface and costructor -->

    <!--Member name='qlCurveStateSetOnForwardRates' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of forward rates</description>
      <libraryFunction>setOnForwardRates</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='rates' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>forward rates</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>void</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member-->

    <!--Member name='qlCurveStateSetOnDiscountRatios' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of discount ratios</description>
      <libraryFunction>setOnDiscountRatios</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='discountRatios' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>discount ratios</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>void</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member-->

    <!--Member name='qlCurveStateSetOnCoterminalSwapRates' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of coterminal swaps</description>
      <libraryFunction>setOnCoterminalSwapRates</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='CoterminalSwaps' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>Coterminal Swaps</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>void</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member-->

    <Member name='qlCurveStateForwardRates' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of forward rates</description>
      <libraryFunction>forwardRates</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlCurveStateDiscountRatios' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of discount ratios</description>
      <libraryFunction>discountRatios</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlCurveStateCoterminalSwapRates' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of coterminal swaps</description>
      <libraryFunction>coterminalSwapRates</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters/>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member>


    <Member name='qlCurveStateForwardRate' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of forward rates</description>
      <libraryFunction>forwardRate</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='index'>
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>forward rate index</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>double</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlCurveStateDiscountRatio' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of discount ratios</description>
      <libraryFunction>discountRatio</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='index1'>
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>discount bond first index</description>
          </Parameter>
          <Parameter name='index2'>
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>discount bond second index</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>double</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member>

    <Member name='qlCurveStateCoterminalSwapRate' libraryClass='CurveState'>
      <description>set the CurveState object on given vector of coterminal swaps</description>
      <libraryFunction>coterminalSwapRate</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='index'>
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>swap rate index</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>double</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Member>

    <!--Constructor name='qlCurveState'>
      <libraryFunction>CurveState</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='rateTimes' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>rate fixing times</description>
          </Parameter>
        </Parameters>
      </ParameterList>
    </Constructor-->

	<!-- DriftCalculator class interface and costructor -->

    <!--Member name='qlDriftCalculatorCompute' objectClass='DriftCalculator'>
      <description>compute the drifts using the DriftCalculator object</description>
      <libraryFunction>compute</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='forwards' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>Coterminal Swaps</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue libraryType='QuantLib::Array'>
        <type>double</type>
        <tensorRank>vector</tensorRank>
      </ReturnValue>
    </Member-->

    <!--Constructor name='qlDriftCalculator'>
      <libraryFunction>DriftCalculator</libraryFunction>
      <functionCategory>QuantLib</functionCategory>
      <ParameterList>
        <Parameters>
          <Parameter name='pseudo' libraryType='QuantLib::Matrix'>
            <type>double</type>
            <tensorRank>matrix</tensorRank>
            <description>Pseudo square root of the covariance matrix</description>
          </Parameter>
          <Parameter name='displacements' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>displacements</description>
          </Parameter>
          <Parameter name='taus' libraryType='QuantLib::Array'>
            <type>double</type>
            <tensorRank>vector</tensorRank>
            <description>taus</description>
          </Parameter>
          <Parameter name='numeraire'>
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>numeraire</description>
          </Parameter>
          <Parameter name='alive'>
            <type>long</type>
            <tensorRank>scalar</tensorRank>
            <description>index of the first rates still alive</description>
          </Parameter>
        </Parameters>
      </ParameterList>
    </Constructor-->

  </Functions>
</Category>