[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.27, 1.28
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[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata marketmodels.xml, 1.27, 1.28
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From: Ferdinando A. <na...@us...> - 2006-09-01 14:27:03
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4064/gensrc/metadata Modified Files: marketmodels.xml Log Message: abcd fit Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** marketmodels.xml 1 Sep 2006 14:09:34 -0000 1.27 --- marketmodels.xml 1 Sep 2006 14:27:00 -0000 1.28 *************** *** 4,7 **** --- 4,8 ---- <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory> <includes> + <include>qlo/optimization.hpp</include> <include>qlo/marketmodels.hpp</include> <include>qlo/vo_marketmodels.hpp</include> *************** *** 800,803 **** --- 801,947 ---- </Member> + <Member name='qlAbcdA' libraryClass='Abcd'> + <description>Returns the a coefficient in the abcd vol parametrization</description> + <libraryFunction>a</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdB' libraryClass='Abcd'> + <description>Returns the a coefficient in the abcd vol parametrization</description> + <libraryFunction>b</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdC' libraryClass='Abcd'> + <description>Returns the a coefficient in the abcd vol parametrization</description> + <libraryFunction>c</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdD' libraryClass='Abcd'> + <description>Returns the a coefficient in the abcd vol parametrization</description> + <libraryFunction>d</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdK' libraryClass='Abcd'> + <description>Returns the 'k' adjustment factors needed to match Black vols</description> + <libraryFunction>k</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='blackVols'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Black vol vector.</description> + </Parameter> + <Parameter name='times' vectorIterator='begin'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Reference time for the above Black vol vector.</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>vector</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdError' libraryClass='Abcd'> + <description>Returs the error between the abdc implied Black vols and a given Balck vol vector</description> + <libraryFunction>error</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='blackVols'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Black vol vector.</description> + </Parameter> + <Parameter name='times' vectorIterator='begin'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Reference time for the above Black vol vector.</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlAbcdCalibrate' libraryClass='Abcd'> + <description>Calibrates the a, b, c, d parameters of the vol parametrization</description> + <libraryFunction>calibrate</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='blackVols'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Black vol vector.</description> + </Parameter> + <Parameter name='times' vectorIterator='begin'> + <type>double</type> + <tensorRank>vector</tensorRank> + <description>Reference time for the above Black vol vector.</description> + </Parameter> + <!--<Parameter name='optimizationMethod' libraryClass='OptimizationMethod' default='boost::shared_ptr<QuantLib::OptimizationMethod>()'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>optimization method</description> + </Parameter>--> + </Parameters> + </ParameterList> + <ReturnValue enumeration='QuantLib::EndCriteria::Type'> + <type>string</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + <Constructor name='qlAbcd'> <libraryFunction>Abcd</libraryFunction> *************** *** 807,829 **** <ParameterList> <Parameters> ! <Parameter name='a'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the a coefficient in the abcd vol parametrization</description> </Parameter> ! <Parameter name='b'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the b coefficient in the abcd vol parametrization</description> </Parameter> ! <Parameter name='c'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the c coefficient in the abcd vol parametrization</description> </Parameter> ! <Parameter name='d'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the d coefficient in the abcd vol parametrization</description> </Parameter> </Parameters> --- 951,993 ---- <ParameterList> <Parameters> ! <Parameter name='a' default='-0.06'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the a coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated.</description> </Parameter> ! <Parameter name='b' default='0.17'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the b coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated.</description> </Parameter> ! <Parameter name='c' default='0.54'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the c coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated.</description> </Parameter> ! <Parameter name='d' default='0.17'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>the d coefficient in the abcd vol parametrization. Used as guess if the object is later calibrated.</description> ! </Parameter> ! <Parameter name='aIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the a coefficient must be kept fixed in later calibrations</description> ! </Parameter> ! <Parameter name='bIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the a coefficient must be kept fixed in later calibrations</description> ! </Parameter> ! <Parameter name='cIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the a coefficient must be kept fixed in later calibrations</description> ! </Parameter> ! <Parameter name='dIsFixed' default='false'> ! <type>bool</type> ! <tensorRank>scalar</tensorRank> ! <description>TRUE if the a coefficient must be kept fixed in later calibrations</description> </Parameter> </Parameters> |
