[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata index.xml, 1.10, 1.11
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata index.xml, 1.10, 1.11
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From: Katiuscia M. <kma...@us...> - 2006-07-19 18:06:08
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7114/gensrc/metadata Modified Files: index.xml Log Message: exposed SwapRate Index constructor and methods to Excel Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** index.xml 19 Jul 2006 16:39:46 -0000 1.10 --- index.xml 19 Jul 2006 18:06:02 -0000 1.11 *************** *** 9,15 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov </copyright> <Functions> --- 9,16 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2005 Eric Ehlers ! Copyright (C) 2005 Plamen Neykov </copyright> <Functions> *************** *** 128,132 **** <ParameterList> <Parameters> ! <Parameter name='IndexName'> <type>string</type> <tensorRank>scalar</tensorRank> --- 129,133 ---- <ParameterList> <Parameters> ! <Parameter name='FamilyName'> <type>string</type> <tensorRank>scalar</tensorRank> *************** *** 173,177 **** <Member name='qlIndexFamilyName' libraryClass='Xibor'> ! <description>retrieve the family name for the given Index (e.g. EURIBOR6m)</description> <libraryFunction>familyName</libraryFunction> <ParameterList> --- 174,178 ---- <Member name='qlIndexFamilyName' libraryClass='Xibor'> ! <description>retrieve the family name for the given Index (e.g. EURIBOR)</description> <libraryFunction>familyName</libraryFunction> <ParameterList> *************** *** 309,312 **** --- 310,517 ---- </ReturnValue> </Procedure> + + <Constructor name='qlSwapRate'> + <libraryFunction>SwapRate</libraryFunction> + <ParameterList> + <Parameters> + <Parameter name='FamilyName'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>index name</description> + </Parameter> + <Parameter name='tenor'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>swap tenor in years</description> + </Parameter> + <Parameter name='fixingDays'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>swap rate fixing days (e.g. 2)</description> + </Parameter> + <Parameter name='Currency' enumeration='QuantLib::Currency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Index Currency</description> + </Parameter> + <Parameter name='calendar' enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='fixedLegFrequency' enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>frequency of the underlying swap's fixed leg (e.g. annual)</description> + </Parameter> + <Parameter name='fixedLegBDC' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>business day convention of the underlying swap's fixed leg (e.g. ModifiedFollowing)</description> + </Parameter> + <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> + </Parameter> + <Parameter name='indexID' libraryClass='Xibor'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap's underlying index</description> + </Parameter> + <Parameter name='indexFixingDays'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>fixing days of the index underlying the swap (e.g. 2)</description> + </Parameter> + <Parameter name='floatingLegFrequency' enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>frequency of the underlying swap's floating leg (e.g. semiannual)</description> + </Parameter> + <Parameter name='floatingLegBDC' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>business day convention of the underlying swap's floating leg (e.g. ModifiedFollowing)</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Member name='qlSwapRateFamilyName' libraryClass='SwapRate'> + <description>retrieve the family name for the given swap rate index (e.g. SWAP)</description> + <libraryFunction>familyName</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwapRateTenor' libraryClass='SwapRate'> + <description>retrieve the tenor for the given swap rate index (e.g. )</description> + <libraryFunction>tenor</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwapRateCalendar' libraryClass='SwapRate'> + <description>retrieve the calendar for the given swap rate index (e.g. TARGET)</description> + <libraryFunction>calendar</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwapRateCurrency' libraryClass='SwapRate'> + <description>retrieve the currency for the given swap rate index (e.g. EUR)</description> + <libraryFunction>currency</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Currency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwapRateFixedLegFreq' libraryClass='SwapRate'> + <description>retrieve the frequency for the underlying swap's fixed leg (e.g. annual)</description> + <libraryFunction>fixedLegFrequency</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwapRateFixedLegBDC' libraryClass='SwapRate'> + <description>retrieve the business day convention for the underlying swap's fixed leg (e.g. Modified Following)</description> + <libraryFunction>fixedLegConvention</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwapRateFixedLegDayCounter' libraryClass='SwapRate'> + <description>retrieve the day count fraction for the underlying swap's fixed leg (e.g. 30/360::BondBasis)</description> + <libraryFunction>fixedLegDayCounter</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwapRateFloatingLegFreq' libraryClass='SwapRate'> + <description>retrieve the frequency for the underlying swap's floating leg (e.g. semiannual)</description> + <libraryFunction>floatingLegFrequency</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::Frequency'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlSwapRateFloatingLegBDC' libraryClass='SwapRate'> + <description>retrieve the business day convention for the underlying swap's floating leg (e.g. Modified Following)</description> + <libraryFunction>floatingLegConvention</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <!--<Member name='qlSwapRateUnderlyingIndex' libraryClass='SwapRate'> + <description>retrieve the swap's underlying index (e.g. EURIBOR6m)</description> + <libraryFunction>libor</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member>--> + + <Member name='qlSwapRateIndexFixingDays' libraryClass='SwapRate'> + <description>retrieve the settlement days for the index underlying the swap (e.g. 2)</description> + <libraryFunction>indexFixingDays</libraryFunction> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>long</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <!-- fixedRateSchedule --> + + <!-- underlyingSwap --> </Functions> |
