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>
|