|
From: Mario P. <mar...@us...> - 2006-08-31 14:53:23
|
Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv30166/gensrc/metadata Modified Files: calendar.xml processes.xml swaptionvolstructure.xml volatilities.xml Log Message: 1) reverting vo_ files back into qlo 2) exported new SwaptionVolCube class Index: volatilities.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** volatilities.xml 28 Aug 2006 10:05:24 -0000 1.8 --- volatilities.xml 31 Aug 2006 14:53:17 -0000 1.9 *************** *** 3,6 **** --- 3,10 ---- <displayName>Volatilities</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> + <includes> + <include>qlo/volatilities.hpp</include> + <include>qlo/vo_volatilities.hpp</include> + </includes> <copyright> Copyright (C) 2005, 2006 Eric Ehlers Index: calendar.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/calendar.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** calendar.xml 28 Aug 2006 10:05:24 -0000 1.17 --- calendar.xml 31 Aug 2006 14:53:17 -0000 1.18 *************** *** 3,6 **** --- 3,10 ---- <displayName>Calendar</displayName> <xlFunctionWizardCategory>QuantLib - Date</xlFunctionWizardCategory> + <includes> + <include>qlo/calendar.hpp</include> + <include>qlo/vo_calendar.hpp</include> + </includes> <copyright> Copyright (C) 2006 Eric Ehlers Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.34 retrieving revision 1.35 diff -C2 -d -r1.34 -r1.35 *** swaptionvolstructure.xml 31 Aug 2006 10:17:24 -0000 1.34 --- swaptionvolstructure.xml 31 Aug 2006 14:53:17 -0000 1.35 *************** *** 481,484 **** --- 481,563 ---- </Constructor> + <!-- SwaptionVolatilityCubeBySabr constructors --> + + <Constructor name='qlSwaptionVolatilityCubeBySabr' dependencyTrigger='true'> + <libraryFunction>SwaptionVolatilityCubeBySabr</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='atmVolStructure' libToHandle='SwaptionVolatilityStructure'> + <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> + <Parameter name='calendar' enumeration='QuantLib::Calendar'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>holiday calendar (e.g. TARGET)</description> + </Parameter> + <Parameter name='swapSettlementDays'> + <type>long</type> + <tensorRank>scalar</tensorRank> + <description>underlying swap settlement days (e.g. 2)</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 --> Index: processes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/processes.xml,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** processes.xml 28 Aug 2006 10:05:24 -0000 1.9 --- processes.xml 31 Aug 2006 14:53:17 -0000 1.10 *************** *** 3,6 **** --- 3,10 ---- <displayName>Processes</displayName> <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> + <includes> + <include>qlo/processes.hpp</include> + <include>qlo/vo_processes.hpp</include> + </includes> <copyright> Copyright (C) 2004, 2005 Eric Ehlers |
