[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.22, 1.23

[Cristina D. <cdu...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv14108/gensrc/metadata

Modified Files:
	marketmodels.xml 
Log Message:
Added:
- qlAbcdVariance
- qlAbcdCovariance

Index: marketmodels.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v
retrieving revision 1.22
retrieving revision 1.23
diff -C2 -d -r1.22 -r1.23
*** marketmodels.xml	30 Aug 2006 09:18:02 -0000	1.22
--- marketmodels.xml	31 Aug 2006 14:15:57 -0000	1.23
***************
*** 538,541 ****
--- 538,608 ----
      <!-- Abcd Volatility -->
  
+     <Member name='qlAbcdCovariance' libraryClass='Abcd'>
+       <description>Returns covariance in [tMin,tMax] between T and S fixing rates.</description>
+       <libraryFunction>covariance</libraryFunction>
+       <supportedPlatforms>
+         <supportedPlatform>excel</supportedPlatform>
+       </supportedPlatforms>
+       <ParameterList>
+         <Parameters>
+           <Parameter name='tMin'>
+             <type>double</type>
+             <tensorRank>scalar</tensorRank>
+             <description>lower bound of the covariance integral</description>
+           </Parameter>
+           <Parameter name='tMax'>
+             <type>double</type>
+             <tensorRank>scalar</tensorRank>
+             <description>upper bound of the covariance integral</description>
+           </Parameter>
+           <Parameter name='T'>
+             <type>double</type>
+             <tensorRank>scalar</tensorRank>
+             <description>fixing time of fisrt rate</description>
+           </Parameter>
+           <Parameter name='S'>
+             <type>double</type>
+             <tensorRank>scalar</tensorRank>
+             <description>fixing time of second rate</description>
+           </Parameter>
+         </Parameters>
+       </ParameterList>
+       <ReturnValue>
+         <type>double</type>
+         <tensorRank>scalar</tensorRank>
+       </ReturnValue>
+     </Member>
+ 
+     <Member name='qlAbcdVariance' libraryClass='Abcd'>
+       <description>Returns variance in [tMin,tMax] of T fixing rate.</description>
+       <libraryFunction>variance</libraryFunction>
+       <supportedPlatforms>
+         <supportedPlatform>excel</supportedPlatform>
+       </supportedPlatforms>
+       <ParameterList>
+         <Parameters>
+           <Parameter name='tMin'>
+             <type>double</type>
+             <tensorRank>scalar</tensorRank>
+             <description>lower bound of the covariance integral</description>
+           </Parameter>
+           <Parameter name='tMax'>
+             <type>double</type>
+             <tensorRank>scalar</tensorRank>
+             <description>upper bound of the covariance integral</description>
+           </Parameter>
+           <Parameter name='T'>
+             <type>double</type>
+             <tensorRank>scalar</tensorRank>
+             <description>fixing time of the rate</description>
+           </Parameter>
+         </Parameters>
+       </ParameterList>
+       <ReturnValue>
+         <type>double</type>
+         <tensorRank>scalar</tensorRank>
+       </ReturnValue>
+     </Member>
+ 
      <Member name='qlAbcdShortTermVolatility' libraryClass='Abcd'>
        <description>Returns the short term volatility implied by Abcd volatility.</description>
***************
*** 625,638 ****
              <description>the d coefficient in the abcd vol parametrization</description>
            </Parameter>
-           <Parameter name='T'>
-             <type>double</type>
-             <tensorRank>scalar</tensorRank>
-             <description></description>
-           </Parameter>
-           <Parameter name='S'>
-             <type>double</type>
-             <tensorRank>scalar</tensorRank>
-             <description></description>
-           </Parameter>
          </Parameters>
        </ParameterList>
--- 692,695 ----