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From: Ferdinando A. <na...@us...> - 2006-08-07 15:25:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4792/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: SwaptionVolCube initial implementation Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.26 retrieving revision 1.27 diff -C2 -d -r1.26 -r1.27 *** swaptionvolstructure.xml 1 Aug 2006 18:37:07 -0000 1.26 --- swaptionvolstructure.xml 7 Aug 2006 15:25:32 -0000 1.27 *************** *** 10,15 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Silvia Frasson </copyright> <Functions> --- 10,15 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Silvia Frasson </copyright> <Functions> *************** *** 88,92 **** </ReturnValue> </Member> ! <Member name='qlSwaptionVTSMaxExpiry' libraryClass='SwaptionVolatilityStructure'> <description>Returns the latest start date for which the term structure can return vols.</description> --- 88,92 ---- </ReturnValue> </Member> ! <Member name='qlSwaptionVTSMaxExpiry' libraryClass='SwaptionVolatilityStructure'> <description>Returns the latest start date for which the term structure can return vols.</description> *************** *** 106,110 **** <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> ! <libraryFunction>maxLength</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> --- 106,110 ---- <Member name='qlSwaptionVTSMaxSwapLength' libraryClass='SwaptionVolatilityStructure'> <description>Returns the largest length for which the term structure can return vols.</description> ! <libraryFunction>maxLength</libraryFunction> <supportedPlatforms> <supportedPlatform>excel</supportedPlatform> *************** *** 336,339 **** --- 336,403 ---- </Member> + + + + <Member name='qlSwaptionVTSMatrixLocate' objectClass='SwaptionVolatilityMatrix'> + <description>Returns the lower indexes of sourrounding volatility matrix corners.</description> + <libraryFunction>locate</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EO</platforms> + <ParameterList> + <Parameters> + <Parameter name='expiry' libraryType='QuantLib::Date'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>swaption expiry date</description> + </Parameter> + <Parameter name='swapLength' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Underlying swap length as period (e.g. 5Y)</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>long</type> + <tensorRank>vector</tensorRank> + <description>lower indexes of sourrounding volatility matrix corners</description> + </ReturnValue> + </Member> + + <Constructor name='qlSwaptionVolatilityCube'> + <libraryFunction>SwaptionVolatilityCube</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <platforms>EGO</platforms> + <ParameterList> + <Parameters> + <Parameter name='atmVolStructure' libraryClass='SwaptionVolatilityStructure' ql_handle='true'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>At-the-money volatility structure</description> + </Parameter> + <Parameter name='expiries' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>smile cube's expiries as periods</description> + </Parameter> + <Parameter name='swapLengths' libraryType='QuantLib::Period'> + <type>string</type> + <tensorRank>vector</tensorRank> + <description>smile cube's underlying swap lengths</description> + </Parameter> + <Parameter name='strikeSpreads'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>smile cube's strike spreads over the ATM strike rate.</description> + </Parameter> + <Parameter name='volatilities' libraryType='QuantLib::Matrix'> + <type>double</type> + <tensorRank>matrix</tensorRank> + <description>smile cube's volatility spreads over the ATM vols.</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + </Functions> </Category> |
