[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata shortratemodels.xml, 1.9, 1.10

[Chiara F. <chi...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22379/gensrc/metadata

Modified Files:
	shortratemodels.xml 
Log Message:
exported qlFuturesConvexityBias:
 Futures convexity bias calculated as in G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997.

Index: shortratemodels.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/shortratemodels.xml,v
retrieving revision 1.9
retrieving revision 1.10
diff -C2 -d -r1.9 -r1.10
*** shortratemodels.xml	29 Jul 2006 15:32:32 -0000	1.9
--- shortratemodels.xml	8 Aug 2006 18:28:13 -0000	1.10
***************
*** 1,69 ****
  <Category name='shortratemodels'>
!   <description>functions to construct QuantLib short-rate model objects</description>
!   <displayName>Short Rate Models</displayName>
!   <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
!   <copyright>
!  Copyright (C) 2005 Eric Ehlers
!  Copyright (C) 2005 Aurelien Chanudet
!   </copyright>
!   <Functions>
  
!     <Constructor name='qlHullWhite'>
!       <libraryFunction>HullWhite</libraryFunction>
!       <supportedPlatforms>
!         <supportedPlatform>excel</supportedPlatform>
!       </supportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='termStructure' libToHandle='YieldTermStructure'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>YieldTermStructure</description>
!           </Parameter>
!           <Parameter name='a'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>a</description>
!           </Parameter>
!           <Parameter name='sigma'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>volatility</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!     <Constructor name='qlVasicek'>
!       <libraryFunction>Vasicek</libraryFunction>
!       <supportedPlatforms>
!         <supportedPlatform>excel</supportedPlatform>
!       </supportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='a'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>mean reverting speed</description>
!           </Parameter>
!           <Parameter name='b'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>short-rate limit value</description>
!           </Parameter>
!           <Parameter name='lambda'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>risk premium</description>
!           </Parameter>
!           <Parameter name='sigma'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>volatility</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!   </Functions>
  </Category>
--- 1,112 ----
  <Category name='shortratemodels'>
!     <description>functions to construct QuantLib short-rate model objects</description>
!     <displayName>Short Rate Models</displayName>
!     <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
!     <copyright>
!         Copyright (C) 2006 Ferdinando Ametrano
!         Copyright (C) 2005 Aurelien Chanudet
!         Copyright (C) 2005 Eric Ehlers
!         Copyright (C) 2006 Chiara Fornarola
!     </copyright>
!     <Functions>
  
!         <Constructor name='qlHullWhite'>
!             <libraryFunction>HullWhite</libraryFunction>
!             <supportedPlatforms>
!                 <supportedPlatform>excel</supportedPlatform>
!             </supportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='termStructure' libToHandle='YieldTermStructure'>
!                         <type>string</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>YieldTermStructure</description>
!                     </Parameter>
!                     <Parameter name='a'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>a</description>
!                     </Parameter>
!                     <Parameter name='sigma'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>volatility</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!         <Constructor name='qlVasicek'>
!             <libraryFunction>Vasicek</libraryFunction>
!             <supportedPlatforms>
!                 <supportedPlatform>excel</supportedPlatform>
!             </supportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='a'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>mean reverting speed</description>
!                     </Parameter>
!                     <Parameter name='b'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>short-rate limit value</description>
!                     </Parameter>
!                     <Parameter name='lambda'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>risk premium</description>
!                     </Parameter>
!                     <Parameter name='sigma'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>volatility</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!         <Procedure name='qlFuturesConvexityBias'>
!             <description>Returns Futures convexity bias (ForwardRate = FuturesImpliedRate - ConvexityBias) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997</description>
!             <alias>QuantLib::convexityBias</alias>
!             <supportedPlatforms>
!                 <supportedPlatform>excel</supportedPlatform>
!             </supportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='futuresPrice'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>Futures price (e.g. 94.56)</description>
!                     </Parameter>
!                     <Parameter name='t'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>Maturity date of the futures contract in years(e.g. 5.0)</description>
!                     </Parameter>
!                     <Parameter name='T'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>Maturity of the underlying Libor deposit in years (e.g. 5.25)</description>
!                     </Parameter>
!                     <Parameter name='sigma'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>Hull-White volatility (e.g. 0.015)</description>
!                     </Parameter>
!                     <Parameter name='a' default='0.03'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>Hull-White mean reversion (e.g. 0.03)</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!             <ReturnValue libraryType='QuantLib::Rate'>
!                 <type>double</type>
!                 <tensorRank>scalar</tensorRank>
!             </ReturnValue>
!         </Procedure>
! 
!     </Functions>
  </Category>