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From: Giorgio F. <gi...@us...> - 2006-09-08 10:05:09
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2511/gensrc/metadata Modified Files: interpolation.xml swaptionvolstructure.xml Log Message: Index: interpolation.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/interpolation.xml,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** interpolation.xml 4 Sep 2006 19:21:04 -0000 1.32 --- interpolation.xml 8 Sep 2006 10:05:06 -0000 1.33 *************** *** 474,478 **** </Member> ! <!-- <Member name='qlSABRInterpolationEndCriteria' libraryClass='SABRInterpolation'> <description>Returns the optimization end criteria of the SABR fit</description> --- 474,478 ---- </Member> ! <Member name='qlSABRInterpolationEndCriteria' libraryClass='SABRInterpolation'> <description>Returns the optimization end criteria of the SABR fit</description> *************** *** 490,494 **** </ReturnValue> </Member> ! --> <!-- Interpolation2D interface --> --- 490,494 ---- </ReturnValue> </Member> ! <!-- Interpolation2D interface --> Index: swaptionvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/swaptionvolstructure.xml,v retrieving revision 1.48 retrieving revision 1.49 diff -C2 -d -r1.48 -r1.49 *** swaptionvolstructure.xml 6 Sep 2006 14:27:44 -0000 1.48 --- swaptionvolstructure.xml 8 Sep 2006 10:05:06 -0000 1.49 *************** *** 574,577 **** --- 574,582 ---- <description>if TRUE parameter guess is not calibrated.</description> </Parameter> + <Parameter name='isAtmCalibrated'> + <type>bool</type> + <tensorRank>scalar</tensorRank> + <description>if TRUE the cube is calibrated to atm matrix .</description> + </Parameter> </Parameters> </ParameterList> *************** *** 665,670 **** </ReturnValue> </Member> - </Functions> </Category> --- 670,726 ---- </ReturnValue> </Member> + + <!-- VarianceSmileSection constructors --> + + <Constructor name='qlVarianceSmileSection'> + <libraryFunction>VarianceSmileSection</libraryFunction> + <functionCategory>QuantLib</functionCategory> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='volCubeBySabr' libraryClass='SwaptionVolatilityCubeBySabr'> + <type>string</type> + <tensorRank>scalar</tensorRank> + <description>Swaption volatility cube by Sabr</description> + </Parameter> + <Parameter name='expiry'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>expiry</description> + </Parameter> + <Parameter name='swapLength'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>smile's underlying swap length</description> + </Parameter> + </Parameters> + </ParameterList> + </Constructor> + + <Member name='qlVolatilityFromSmile' libraryClass='VarianceSmileSection'> + <description>Return the volatility from VarianceSmileSection</description> + <libraryFunction>volatility</libraryFunction> + <supportedPlatforms> + <supportedPlatform>excel</supportedPlatform> + </supportedPlatforms> + <ParameterList> + <Parameters> + <Parameter name='strike'> + <type>double</type> + <tensorRank>scalar</tensorRank> + <description>strike</description> + </Parameter> + </Parameters> + </ParameterList> + <ReturnValue> + <type>double</type> + <tensorRank>scalar</tensorRank> + </ReturnValue> + </Member> + + </Functions> </Category> |
