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From: Giorgio F. <gi...@us...> - 2006-08-03 15:39:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5325/gensrc/metadata Modified Files: couponvectors.xml enumclasses.xml enumtypes.xml Log Message: new CMSCoupon/Conundrum interface Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.10 retrieving revision 1.11 diff -C2 -d -r1.10 -r1.11 *** enumtypes.xml 31 Jul 2006 18:59:37 -0000 1.10 --- enumtypes.xml 3 Aug 2006 15:39:55 -0000 1.11 *************** *** 909,926 **** </Enumeration> - <Enumeration> - <type>QuantLib::ConvexityAdjustmentPricer::Type</type> - <constructor>true</constructor> - <EnumerationDefinitions> - <EnumerationDefinition> - <string>ConundrumByBlack</string> - <value>QuantLib::ConvexityAdjustmentPricer::ConundrumByBlack</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>ConundrumByNumericalIntegration</string> - <value>QuantLib::ConvexityAdjustmentPricer::ConundrumByNumericalIntegration</value> - </EnumerationDefinition> - </EnumerationDefinitions> - </Enumeration> </Enumerations> --- 909,912 ---- Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.19 retrieving revision 1.20 diff -C2 -d -r1.19 -r1.20 *** couponvectors.xml 1 Aug 2006 06:50:40 -0000 1.19 --- couponvectors.xml 3 Aug 2006 15:39:55 -0000 1.20 *************** *** 86,160 **** </ParameterList> </Constructor> ! ! <Constructor name='qlCMSCouponVector'> ! <libraryFunction>CMSCouponVector</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixingDays</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </Parameter> ! <Parameter name='spreads'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>spreads</description> ! </Parameter> ! <Parameter name='gearings'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>gearings</description> ! </Parameter> ! <Parameter name='caps'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floors</description> ! </Parameter> ! <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure</description> ! </Parameter> ! <Parameter name='typeOfConvexityAdjustment' enumeration='QuantLib::ConvexityAdjustmentPricer::Type'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>type Of Convexity Adjustment</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> --- 86,160 ---- </ParameterList> </Constructor> ! ! <Constructor name='qlCMSCouponVector'> ! <libraryFunction>CMSCouponVector</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='scheduleID' libraryClass='Schedule'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>schedule</description> ! </Parameter> ! <Parameter name='paymentAdjustment' enumeration='QuantLib::BusinessDayConvention'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>payment adjustment</description> ! </Parameter> ! <Parameter name='nominals'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>coupon nominals</description> ! </Parameter> ! <Parameter name='indexID' libraryClass='SwapIndex'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>underlying swap index</description> ! </Parameter> ! <Parameter name='fixingDays'> ! <type>long</type> ! <tensorRank>scalar</tensorRank> ! <description>fixingDays</description> ! </Parameter> ! <Parameter name='dayCountID' enumeration='QuantLib::DayCounter'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>day counter</description> ! </Parameter> ! <Parameter name='spreads'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>spreads</description> ! </Parameter> ! <Parameter name='gearings'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>gearings</description> ! </Parameter> ! <Parameter name='caps'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>floors</description> ! </Parameter> ! <Parameter name='volatility' libToHandle='SwaptionVolatilityStructure'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure</description> ! </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! </Constructor> <Member name='qlGetLeg' objectClass='CouponVector' dependencyTrigger='true'> Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** enumclasses.xml 27 Jul 2006 14:06:31 -0000 1.5 --- enumclasses.xml 3 Aug 2006 15:39:55 -0000 1.6 *************** *** 28,31 **** --- 28,47 ---- </EnumerationDefinitions> </Enumeration> + + <Enumeration> + <type>QuantLib::VanillaCMSCouponPricer</type> + <EnumerationDefinitions> + <EnumerationDefinition> + <string>ConundrumByBlack</string> + <value>CONUNDRUM_BY_BLACK_Pricer</value> + <libraryClass>QuantLib::ConundrumPricerByBlack</libraryClass> + </EnumerationDefinition> + <EnumerationDefinition> + <string>ConundrumByNumericalIntegration</string> + <value>CONUNDRUM_BY_NUMERICAL_INTEGRATION_Pricer</value> + <libraryClass>QuantLib::ConundrumPricerByNumericalIntegration</libraryClass> + </EnumerationDefinition> + </EnumerationDefinitions> + </Enumeration> <Enumeration> |
