[QuantLibAddin-cvs] QuantLibAddin/gensrc/metadata volatilities.xml, 1.10, 1.11

[Ferdinando A. <na...@us...>]

Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv7555/gensrc/metadata

Modified Files:
	volatilities.xml 
Log Message:
introduced stand-alone SabrVolatility function

Index: volatilities.xml
===================================================================
RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/volatilities.xml,v
retrieving revision 1.10
retrieving revision 1.11
diff -C2 -d -r1.10 -r1.11
*** volatilities.xml	4 Sep 2006 19:21:04 -0000	1.10
--- volatilities.xml	18 Sep 2006 07:10:28 -0000	1.11
***************
*** 1,82 ****
  <Category name='volatilities'>
!   <description>functions to construct and use volatility objects</description>
!   <displayName>Volatilities</displayName>
!   <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
!   <includes>
!     <include>qlo/volatilities.hpp</include>
!     <include>qlo/vo_volatilities.hpp</include>
!   </includes>
!   <copyright>
!  Copyright (C) 2005, 2006 Eric Ehlers
! </copyright>
!   <Functions>
  
!     <Constructor name='qlBlackConstantVol'>
!       <libraryFunction>BlackConstantVol</libraryFunction>
!       <supportedPlatforms>
!         <supportedPlatform>excel</supportedPlatform>
!         <supportedPlatform>calc</supportedPlatform>
!         <supportedPlatform>c</supportedPlatform>
!         <supportedPlatform>guile</supportedPlatform>
!       </supportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='settlementDate' libraryType='QuantLib::Date'>
!             <type>long</type>
!             <tensorRank>scalar</tensorRank>
!             <description>settlement date</description>
!           </Parameter>
!           <Parameter name='volatility'>
!             <type>double</type>
!             <tensorRank>scalar</tensorRank>
!             <description>volatility</description>
!           </Parameter>
!           <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>day counter (e.g. Actual/360)</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!     <Constructor name='qlBlackVarianceSurface'>
!       <libraryFunction>BlackVarianceSurface</libraryFunction>
!       <supportedPlatforms>
!         <supportedPlatform>excel</supportedPlatform>
!         <supportedPlatform>calc</supportedPlatform>
!       </supportedPlatforms>
!       <ParameterList>
!         <Parameters>
!           <Parameter name='settlementDate' libraryType='QuantLib::Date'>
!             <type>long</type>
!             <tensorRank>scalar</tensorRank>
!             <description>settlement date</description>
!           </Parameter>
!           <Parameter name='dates' libraryType='QuantLib::Date'>
!             <type>long</type>
!             <tensorRank>vector</tensorRank>
!             <description>dates</description>
!           </Parameter>
!           <Parameter name='strikes'>
!             <type>double</type>
!             <tensorRank>vector</tensorRank>
!             <description>strikes</description>
!           </Parameter>
!           <Parameter name='volatilities' libraryType='QuantLib::Matrix'>
!             <type>double</type>
!             <tensorRank>matrix</tensorRank>
!             <description>volatilities</description>
!           </Parameter>
!           <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
!             <type>string</type>
!             <tensorRank>scalar</tensorRank>
!             <description>day counter (e.g. Actual/360)</description>
!           </Parameter>
!         </Parameters>
!       </ParameterList>
!     </Constructor>
  
!   </Functions>
! </Category>
  
--- 1,134 ----
  <Category name='volatilities'>
!     <description>functions to construct and use volatility objects</description>
!     <displayName>Volatilities</displayName>
!     <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
!     <includes>
!         <include>qlo/volatilities.hpp</include>
!         <include>qlo/vo_volatilities.hpp</include>
!         <include>ql/Math/sabrinterpolation.hpp</include>
!     </includes>
!     <copyright>
!         Copyright (C) 2005, 2006 Eric Ehlers
!     </copyright>
!     <Functions>
  
!         <Procedure name='qlSabrVolatility'>
!             <description>Sabr formula for smile volatility</description>
!             <alias>QuantLib::sabrVolatility</alias>
!             <supportedPlatforms>
!                 <supportedPlatform>excel</supportedPlatform>
!                 <supportedPlatform>calc</supportedPlatform>
!             </supportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='strike'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>option strike</description>
!                     </Parameter>
!                     <Parameter name='forward'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>underlying forward value</description>
!                     </Parameter>
!                     <Parameter name='expTime'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>expiry time (in years)</description>
!                     </Parameter>
!                     <Parameter name='alpha'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>alpha</description>
!                     </Parameter>
!                     <Parameter name='beta'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>beta</description>
!                     </Parameter>
!                     <Parameter name='nu'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>nu</description>
!                     </Parameter>
!                     <Parameter name='rho'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>rho</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!             <ReturnValue>
!                 <type>double</type>
!                 <tensorRank>scalar</tensorRank>
!             </ReturnValue>
!         </Procedure>
  
!         <Constructor name='qlBlackConstantVol'>
!             <libraryFunction>BlackConstantVol</libraryFunction>
!             <supportedPlatforms>
!                 <supportedPlatform>excel</supportedPlatform>
!                 <supportedPlatform>calc</supportedPlatform>
!                 <supportedPlatform>c</supportedPlatform>
!                 <supportedPlatform>guile</supportedPlatform>
!             </supportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='settlementDate' libraryType='QuantLib::Date'>
!                         <type>long</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>settlement date</description>
!                     </Parameter>
!                     <Parameter name='volatility'>
!                         <type>double</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>volatility</description>
!                     </Parameter>
!                     <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
!                         <type>string</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>day counter (e.g. Actual/360)</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
!         <Constructor name='qlBlackVarianceSurface'>
!             <libraryFunction>BlackVarianceSurface</libraryFunction>
!             <supportedPlatforms>
!                 <supportedPlatform>excel</supportedPlatform>
!                 <supportedPlatform>calc</supportedPlatform>
!             </supportedPlatforms>
!             <ParameterList>
!                 <Parameters>
!                     <Parameter name='settlementDate' libraryType='QuantLib::Date'>
!                         <type>long</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>settlement date</description>
!                     </Parameter>
!                     <Parameter name='dates' libraryType='QuantLib::Date'>
!                         <type>long</type>
!                         <tensorRank>vector</tensorRank>
!                         <description>dates</description>
!                     </Parameter>
!                     <Parameter name='strikes'>
!                         <type>double</type>
!                         <tensorRank>vector</tensorRank>
!                         <description>strikes</description>
!                     </Parameter>
!                     <Parameter name='volatilities' libraryType='QuantLib::Matrix'>
!                         <type>double</type>
!                         <tensorRank>matrix</tensorRank>
!                         <description>volatilities</description>
!                     </Parameter>
!                     <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'>
!                         <type>string</type>
!                         <tensorRank>scalar</tensorRank>
!                         <description>day counter (e.g. Actual/360)</description>
!                     </Parameter>
!                 </Parameters>
!             </ParameterList>
!         </Constructor>
  
+     </Functions>
+ </Category>