[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.25, 1.26
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.25, 1.26
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From: Ferdinando A. <na...@us...> - 2006-08-31 21:19:20
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29514/gensrc/metadata Modified Files: marketmodels.xml Log Message: exported more abcd methods Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** marketmodels.xml 31 Aug 2006 15:15:37 -0000 1.25 --- marketmodels.xml 31 Aug 2006 21:19:17 -0000 1.26 *************** *** 538,542 **** <!-- Abcd Volatility --> ! <Member name='qlAbcdCovariance' libraryClass='Abcd'> <description>Returns covariance in [tMin,tMax] between T and S fixing rates.</description> <libraryFunction>covariance</libraryFunction> --- 538,646 ---- <!-- Abcd Volatility --> ! <Member name='qlAbcdInstantaneousValue' libraryClass='Abcd' loopParameter='u'> ! <description>Returns the instantaneous volatility as function of residual time to maturity. [a + b*T] * e^{-c*T} + d</description> ! <libraryFunction>operator()</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='u'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>residual time(s) to maturity</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlAbcdInstantaneousCovariance' libraryClass='Abcd' loopParameter='u'> ! <description>Returns covariance at calendar time u between T and S fixing rates.</description> ! <libraryFunction>instantaneousCovariance</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='u'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>calendar time(s)</description> ! </Parameter> ! <Parameter name='T'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing time of first rate</description> ! </Parameter> ! <Parameter name='S'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing time of second rate</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlAbcdInstantaneousVariance' libraryClass='Abcd' loopParameter='u'> ! <description>Returns variance at calendar time u of T-fixing rate.</description> ! <libraryFunction>instantaneousVariance</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='u'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>calendar time(s)</description> ! </Parameter> ! <Parameter name='T'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing time of the rate</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlAbcdInstantaneousVolatility' libraryClass='Abcd' loopParameter='u'> ! <description>Returns volatility at calendar time u of T-fixing rate.</description> ! <libraryFunction>instantaneousVolatility</libraryFunction> ! <supportedPlatforms> ! <supportedPlatform>excel</supportedPlatform> ! </supportedPlatforms> ! <ParameterList> ! <Parameters> ! <Parameter name='u'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>calendar time(s)</description> ! </Parameter> ! <Parameter name='T'> ! <type>double</type> ! <tensorRank>scalar</tensorRank> ! <description>fixing calendar time of the rate</description> ! </Parameter> ! </Parameters> ! </ParameterList> ! <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> ! </ReturnValue> ! </Member> ! ! <Member name='qlAbcdCovariance' libraryClass='Abcd' loopParameter='tMax'> <description>Returns covariance in [tMin,tMax] between T and S fixing rates.</description> <libraryFunction>covariance</libraryFunction> *************** *** 553,557 **** <Parameter name='tMax'> <type>double</type> ! <tensorRank>scalar</tensorRank> <description>upper bound of the covariance integral</description> </Parameter> --- 657,661 ---- <Parameter name='tMax'> <type>double</type> ! <tensorRank>vector</tensorRank> <description>upper bound of the covariance integral</description> </Parameter> *************** *** 559,579 **** <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> --- 663,683 ---- <type>double</type> <tensorRank>scalar</tensorRank> ! <description>fixing calendar time of first rate</description> </Parameter> <Parameter name='S'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>fixing calendar time of second rate</description> </Parameter> </Parameters> </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> ! <Member name='qlAbcdVariance' libraryClass='Abcd' loopParameter='tMax'> ! <description>Returns variance in [tMin,tMax] of T-fixing rate.</description> <libraryFunction>variance</libraryFunction> <supportedPlatforms> *************** *** 589,593 **** --- 693,728 ---- <Parameter name='tMax'> <type>double</type> + <tensorRank>vector</tensorRank> + <description>upper bound of the covariance integral</description> + </Parameter> + <Parameter name='T'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>fixing calendar time of the rate</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdVolatility' libraryClass='Abcd' loopParameter='tMax'> + <description>Returns volatility in [tMin,tMax] of T fixing rate.</description> + <libraryFunction>volatility</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>vector</tensorRank> <description>upper bound of the covariance integral</description> </Parameter> *************** *** 600,605 **** </ParameterList> <ReturnValue> ! <type>double</type> ! <tensorRank>scalar</tensorRank> </ReturnValue> </Member> --- 735,740 ---- </ParameterList> <ReturnValue> ! <type>any</type> ! <tensorRank>vector</tensorRank> </ReturnValue> </Member> |
