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>
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