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From: Katiuscia M. <kma...@us...> - 2006-08-21 09:44:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv25201/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: added params to SwaptionVolatilityCube constructor to allow instantiatiation of vanilla swap & added method atmStrike returning the vanilla swap's fair rate Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.30 retrieving revision 1.31 diff -C2 -d -r1.30 -r1.31 *** swaptionvolstructure.xml 21 Aug 2006 07:34:29 -0000 1.30 --- swaptionvolstructure.xml 21 Aug 2006 09:44:53 -0000 1.31 *************** *** 4,11 **** <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> <include>qlo/swaptionvolstructure.hpp</include> <include>qlo/vo_swaptionvolstructure.hpp</include> - <include>ql/Volatilities/swaptionvolmatrix.hpp</include> - <include>ql/Volatilities/swaptionconstantvol.hpp</include> </includes> <copyright> --- 4,10 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> + <include>ql/Volatilities/swaptionvolcube.hpp</include> <include>qlo/swaptionvolstructure.hpp</include> <include>qlo/vo_swaptionvolstructure.hpp</include> </includes> <copyright> *************** *** 188,192 **** </Member> - <!-- SwaptionVolatilityStructure constructors --> --- 187,190 ---- *************** *** 364,368 **** </Member> ! <Constructor name='qlSwaptionVolatilityCube'> <libraryFunction>SwaptionVolatilityCube</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 362,368 ---- </Member> ! <!-- SwaptionVolatilityCube constructors --> ! ! <Constructor name='qlSwaptionVolatilityCube' dependencyTrigger='true'> <libraryFunction>SwaptionVolatilityCube</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 397,404 **** --- 397,468 ---- <description>smile cube's volatility spreads over the ATM vols.</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>swap's fixed leg frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly)</description> + </Parameter> + <Parameter name='fixedLegConvention' enumeration='QuantLib::BusinessDayConvention'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap's fixed leg business day convention</description> + </Parameter> + <Parameter name='fixedLegDayCounter' enumeration='QuantLib::DayCounter'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>swap's fixed leg day counter (e.g. Actual/360)</description> + </Parameter> + <Parameter name='iborIndexID' libraryClass='Xibor'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>floating leg Index</description> + </Parameter> + <Parameter name='shortTenor'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>time indicating the short tenor</description> + </Parameter> + <Parameter name='iborIndexShortTenorID' libraryClass='Xibor'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>floating leg short tenor Index</description> + </Parameter> </Parameters> </ParameterList> </Constructor> + <!-- SwaptionVolatilityCube interface --> + + <Member name='qlSwaptionVTSatmStrike' libraryClass='SwaptionVolatilityCube' dependencyTrigger='true'> + <description>Returns the atm swaption strike for a given exercise date and underlying swap length.</description> + <libraryFunction>atmStrike</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <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>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + </Functions> + </Category> |
