Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv19331/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 1.44
retrieving revision 1.45
diff -C2 -d -r1.44 -r1.45
*** swaptionvolstructure.xml 5 Sep 2006 08:28:33 -0000 1.44
--- swaptionvolstructure.xml 5 Sep 2006 15:27:28 -0000 1.45
***************
*** 529,548 ****
<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='fixedLegFreq' 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='fixedLegBDC' enumeration='QuantLib::BusinessDayConvention'>
<type>string</type>
<tensorRank>scalar</tensorRank>
<description>swap's fixed leg business day convention</description>
</Parameter>
! <Parameter name='fixedLegDC' enumeration='QuantLib::DayCounter'>
<type>string</type>
<tensorRank>scalar</tensorRank>
--- 529,548 ----
<description>holiday calendar (e.g. TARGET)</description>
</Parameter>
! <Parameter name='swapSettlDays'>
<type>long</type>
<tensorRank>scalar</tensorRank>
<description>underlying swap settlement days (e.g. 2)</description>
</Parameter>
! <Parameter name='fxdLegFreq' 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='fxdLegBDC' enumeration='QuantLib::BusinessDayConvention'>
<type>string</type>
<tensorRank>scalar</tensorRank>
<description>swap's fixed leg business day convention</description>
</Parameter>
! <Parameter name='fxdLegDC' enumeration='QuantLib::DayCounter'>
<type>string</type>
<tensorRank>scalar</tensorRank>
***************
*** 564,573 ****
<description>floating leg short tenor Index</description>
</Parameter>
! <Parameter name='beta'>
<type>double</type>
<tensorRank>scalar</tensorRank>
! <description>beta parameter for all expiries and tenors</description>
</Parameter>
! <Parameter name='maxTolerance'>
<type>double</type>
<tensorRank>scalar</tensorRank>
--- 564,578 ----
<description>floating leg short tenor Index</description>
</Parameter>
! <Parameter name='guess'>
<type>double</type>
+ <tensorRank>vector</tensorRank>
+ <description>initial guess for alpha, beta, nu, rho</description>
+ </Parameter>
+ <Parameter name='isBetaFixed'>
+ <type>bool</type>
<tensorRank>scalar</tensorRank>
! <description>if TRUE beta guess is not calibrated</description>
</Parameter>
! <Parameter name='maxTol'>
<type>double</type>
<tensorRank>scalar</tensorRank>
|