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From: Giorgio F. <gi...@us...> - 2006-09-05 08:28:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv5265/gensrc/metadata Modified Files: swaptionvolstructure.xml Log Message: work in progress ... Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.43 retrieving revision 1.44 diff -C2 -d -r1.43 -r1.44 *** swaptionvolstructure.xml 5 Sep 2006 07:49:04 -0000 1.43 --- swaptionvolstructure.xml 5 Sep 2006 08:28:33 -0000 1.44 *************** *** 635,638 **** --- 635,668 ---- </ReturnValue> </Member> + + <Member name='qlMarketVolCube' objectClass='SwaptionVolatilityCubeBySabr'> + <description>return the market volatility cube</description> + <libraryFunction>getMarketVolCube</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> + + <Member name='qlVolCubeAtmCalibrated' objectClass='SwaptionVolatilityCubeBySabr'> + <description>return the volatility cube calibrated to ATM matrix</description> + <libraryFunction>getVolCubeAtmCalibrated</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters/> + </ParameterList> + <ReturnValue> + <type>any</type> + <tensorRank>matrix</tensorRank> + </ReturnValue> + </Member> </Functions> |
