[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.8, 1.9
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.8, 1.9
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From: Ferdinando A. <na...@us...> - 2006-07-14 18:56:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv26190/gensrc/metadata Modified Files: marketmodels.xml Log Message: updated Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** marketmodels.xml 14 Jul 2006 17:37:16 -0000 1.8 --- marketmodels.xml 14 Jul 2006 18:56:08 -0000 1.9 *************** *** 13,33 **** ! <!-- PseudoRoot base class interface --> ! ! <Member name='qlPseudoRootInitialRates' libraryClass='PseudoRoot'> ! <description>initial rates for the PseudoRoot object</description> ! <libraryFunction>initialRates</libraryFunction> ! <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> <ParameterList> <Parameters/> --- 13,22 ---- ! <!-- MarketModelProduct base class interface --> ! <Member name='qlMarketModelProductPossibleCashFlowTimes' libraryClass='MarketModelProduct'> ! <description>possible cash flow times for the MarketModelProduct object</description> ! <libraryFunction>possibleCashFlowTimes</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> *************** *** 39,45 **** </Member> ! <Member name='qlPseudoRootNumberOfRates' libraryClass='PseudoRoot'> ! <description>number of rates for the PseudoRoot object</description> ! <libraryFunction>numberOfRates</libraryFunction> <ParameterList> <Parameters/> --- 28,35 ---- </Member> ! <Member name='qlMarketModelProductNumberOfProducts' libraryClass='MarketModelProduct'> ! <description>number of products in the MarketModelProduct object</description> ! <libraryFunction>numberOfProducts</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> *************** *** 51,57 **** </Member> ! <Member name='qlPseudoRootNumberOfFactors' libraryClass='PseudoRoot'> ! <description>number of factors for the PseudoRoot object</description> ! <libraryFunction>numberOfFactors</libraryFunction> <ParameterList> <Parameters/> --- 41,48 ---- </Member> ! <Member name='qlMarketModelProductMaxNumberOfCashFlowsPerProductPerStep' libraryClass='MarketModelProduct'> ! <description>Max number of cashflows per product per step for the MarketModelProduct object</description> ! <libraryFunction>maxNumberOfCashFlowsPerProductPerStep</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters/> *************** *** 63,174 **** </Member> ! <Member name='qlPseudoRootPseudoRoot' libraryClass='PseudoRoot'> ! <description>Returns the pseudo root for the i-th step.</description> ! <libraryFunction>pseudoRoot</libraryFunction> ! <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> ! <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> ! <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> --- 54,64 ---- </Member> ! <!-- MarketModelProduct derived classes' constructors --> ! <Constructor name='qlMarketModelForwards'> ! <libraryFunction>MarketModelForwards</libraryFunction> ! <functionCategory>QuantLib</functionCategory> <ParameterList> <Parameters> <Parameter name='rateTimes' libraryType='QuantLib::Array'> <type>double</type> *************** *** 176,198 **** <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> --- 66,83 ---- <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Array'> <type>double</type> <tensorRank>vector</tensorRank> ! <description>forward strikes</description> </Parameter> </Parameters> *************** *** 200,204 **** </Constructor> - <!-- EvolutionDescription class interface and costructor --> --- 85,88 ---- *************** *** 366,369 **** --- 250,438 ---- </Constructor> + <!-- PseudoRoot base class interface --> + + <Member name='qlPseudoRootInitialRates' libraryClass='PseudoRoot'> + <description>initial rates for the PseudoRoot object</description> + <libraryFunction>initialRates</libraryFunction> + <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> + <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> + <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> + <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> + <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> + <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> + + <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> <!-- CurveState class interface and costructor --> *************** *** 597,672 **** </Constructor> - <!-- MarketModelProduct base class interface --> - - <Member name='qlMarketModelProductPossibleCashFlowTimes' libraryClass='MarketModelProduct'> - <description>possible cash flow times for the MarketModelProduct object</description> - <libraryFunction>possibleCashFlowTimes</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - </ReturnValue> - </Member> - - <Member name='qlMarketModelProductNumberOfProducts' libraryClass='MarketModelProduct'> - <description>number of products in the MarketModelProduct object</description> - <libraryFunction>numberOfProducts</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>long</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - - <Member name='qlMarketModelProductMaxNumberOfCashFlowsPerProductPerStep' libraryClass='MarketModelProduct'> - <description>Max number of cashflows per product per step for the MarketModelProduct object</description> - <libraryFunction>maxNumberOfCashFlowsPerProductPerStep</libraryFunction> - <functionCategory>QuantLib</functionCategory> - <ParameterList> - <Parameters/> - </ParameterList> - <ReturnValue> - <type>long</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - - <!-- MarketModelProduct derived classes' constructors --> - - <Constructor name='qlMarketModelForwards'> - <libraryFunction>MarketModelForwards</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='accruals' libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>accrual factors</description> - </Parameter> - <Parameter name='paymentTimes' libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>payment times of the product</description> - </Parameter> - <Parameter name='strikes' libraryType='QuantLib::Array'> - <type>double</type> - <tensorRank>vector</tensorRank> - <description>forward strikes</description> - </Parameter> - </Parameters> - </ParameterList> - </Constructor> - <!-- BrownianGeneratorFactory derived classes constructors --> --- 666,669 ---- *************** *** 783,787 **** <ParameterList> <Parameters> ! <Parameter name='evolver' libraryClass='MarketModelEvolver'> <type>string</type> <tensorRank>scalar</tensorRank> --- 780,784 ---- <ParameterList> <Parameters> ! <Parameter name='marketModelEvolver' libraryClass='MarketModelEvolver'> <type>string</type> <tensorRank>scalar</tensorRank> |
