[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.6, 1.7
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.6, 1.7
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From: Ferdinando A. <na...@us...> - 2006-07-14 09:38:59
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29155/gensrc/metadata Modified Files: marketmodels.xml Log Message: exported AbcdVolatility Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** marketmodels.xml 14 Jul 2006 08:17:03 -0000 1.6 --- marketmodels.xml 14 Jul 2006 09:38:53 -0000 1.7 *************** *** 8,12 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> --- 8,12 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> *************** *** 133,136 **** --- 133,204 ---- + <Constructor name='qlAbcdVolatility'> + <libraryFunction>AbcdVolatility</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='a'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the a coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='b'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the b coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='c'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the c coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='d'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>the d coefficient in the abcd vol parametrization</description> + </Parameter> + <Parameter name='ks'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>K_i adjustment factors in the abcd vol parametrization</description> + </Parameter> + <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='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 --> *************** *** 210,213 **** --- 278,347 ---- </Member> + <Member name='qlEvolutionDescriptionSetNumeraires' libraryClass='EvolutionDescription'> + <description>Set the numeraires to the EvolutionDescription object</description> + <libraryFunction>setNumeraires</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='numeraires' libraryType='QuantLib::Size'> + <type>long</type> + <tensorRank>vector</tensorRank> + <description>numeraires used in the simulation</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionSetTerminalMeasure' libraryClass='EvolutionDescription'> + <description>Set the terminal measure to the EvolutionDescription object</description> + <libraryFunction>setTerminalMeasure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionSetMoneyMarketMeasure' libraryClass='EvolutionDescription'> + <description>Set the money market measure to the EvolutionDescription object</description> + <libraryFunction>setMoneyMarketMeasure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>void</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionIsInTerminalMeasure' libraryClass='EvolutionDescription'> + <description>Returns TRUE if the EvolutionDescription object is using terminal measure</description> + <libraryFunction>isInTerminalMeasure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlEvolutionDescriptionIsInMoneyMarketMeasure' libraryClass='EvolutionDescription'> + <description>Returns TRUE if the EvolutionDescription object is using money market measure</description> + <libraryFunction>isInMoneyMarketMeasure</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>bool</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Constructor name='qlEvolutionDescription'> <libraryFunction>EvolutionDescription</libraryFunction> *************** *** 465,469 **** </Constructor> ! <!-- MarketModelForwards --> <Constructor name='qlMarketModelForwards'> --- 599,603 ---- </Constructor> ! <!-- MarketModelForwards --> <Constructor name='qlMarketModelForwards'> |
